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House prices and credit risk: Evidence from the United States

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  • Tajik, Mohammad
  • Aliakbari, Saeideh
  • Ghalia, Thaana
  • Kaffash, Sepideh

Abstract

This paper investigates the determinants of nonperforming loans (NPL), with a special focus on house price fluctuations. Using a panel of U.S. banks, the analysis is carried out across different loan categories and different types of banks. It is found that house price fluctuations significantly affect the dynamics of NPL, while the magnitude of the impact varies across loan categories and bank types.

Suggested Citation

  • Tajik, Mohammad & Aliakbari, Saeideh & Ghalia, Thaana & Kaffash, Sepideh, 2015. "House prices and credit risk: Evidence from the United States," Economic Modelling, Elsevier, vol. 51(C), pages 123-135.
  • Handle: RePEc:eee:ecmode:v:51:y:2015:i:c:p:123-135
    DOI: 10.1016/j.econmod.2015.08.006
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