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Within-bank spillovers of real estate shocks
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Cuñat, Vicente, Cvijanović, Dragana and Yuan, Kathy (2018) Within-bank spillovers of real estate shocks. Review of Corporate Finance Studies, 7 (2). pp. 157-193. doi:10.1093/rcfs/cfy001 ISSN 2046-9128.
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Official URL: http://dx.doi.org/10.1093/rcfs/cfy001
Abstract
By considering banks as portfolios of assets in different locations, we study how real estate shocks are transmitted across bank’s business areas, while controlling for local demand shocks and bank location-specific factors. Affected banks substantially alter their loan portfolios: we find evidence of real estate price declines affecting both real estate and non-real-estate types of lending. Banks also roll over and fail to liquidate problematic loans, while accumulating more nonperforming loans. These results provide evidence of internal contagion in real estate shocks within banks.
Item Type: | Journal Article | ||||||||
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Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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Journal or Publication Title: | Review of Corporate Finance Studies | ||||||||
Publisher: | Oxford University Press | ||||||||
ISSN: | 2046-9128 | ||||||||
Official Date: | September 2018 | ||||||||
Dates: |
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Volume: | 7 | ||||||||
Number: | 2 | ||||||||
Page Range: | pp. 157-193 | ||||||||
DOI: | 10.1093/rcfs/cfy001 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Description: | A correction has been published: |
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