Return Relationships between Listed Banks and Real Estate Firms: Evidence from Seven Asian Economies
This paper studies the return relationships between listed banks and real estate firms in seven Asian economies before and after the Asian financial crisis. We find that listed banks were exposed to real estate risk both before and after the crisis, but that the exposure increased in the post-crisis period. After the crisis, the hidden risk of real estate collateral in the bank lending process was explicit, as was evidenced by the increased sensitivity and the structure break. In terms of causality, the returns of listed real estate firms are found to Granger-cause the returns of listed banks. However, there is mixed evidence as to whether listed bank returns Granger-cause the returns of listed real estate firms. The study is significant because it indicates the importance of lending policies in relation to the real estate market in establishing a healthy financial system. Copyright Springer Science + Business Media, Inc. 2005
Volume (Year): 31 (2005)
Issue (Month): 2 (September)
|Contact details of provider:|| Web page: http://www.springer.com|
|Order Information:||Web: http://www.springer.com/economics/regional+science/journal/11146/PS2|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Joe Peek & Eric S. Rosengren, 1994. "Bank Real Estate Lending and the New England Capital Crunch," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 22(1), pages 33-58.
- Chowdhry, Bhagwan & Goyal, Amit, 2000. "Understanding the financial crisis in Asia," Pacific-Basin Finance Journal, Elsevier, vol. 8(2), pages 135-152, May.
- Kwack, Sung Yeung, 2000. "An empirical analysis of the factors determining the financial crisis in Asia," Journal of Asian Economics, Elsevier, vol. 11(2), pages 195-206.
- Miller, Merton H., 1998. "The current Southeast Asia financial crisis1," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 225-233, August.
- Chinmoy Ghosh & Randall S. Guttery & C.F. Sirmans, 1997. "The Effects of the Real Estate Crisis on Institutional Stock Prices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(4), pages 591-614.
- Mei, Jianping & Saunders, Anthony, 1995. "Bank Risk and Real Estate: An Asset Pricing Perspective," The Journal of Real Estate Finance and Economics, Springer, vol. 10(3), pages 199-224, May.
- Joe Peek & Eric S. Rosengren, 1996.
"Bank Regulatory Agreements and Real Estate Lending,"
Real Estate Economics,
American Real Estate and Urban Economics Association, vol. 24(1), pages 55-73.
- Joe Peek & Eric S. Rosengren, 1995. "Bank regulatory agreements and real estate lending," Working Papers 95-2, Federal Reserve Bank of Boston.
- He, Ling T & Myer, F C Neil & Webb, James R, 1996. "The Sensitivity of Bank Stock Returns to Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 12(2), pages 203-220, March. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:kap:jrefec:v:31:y:2005:i:2:p:189-206. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Rebekah McClure)
If references are entirely missing, you can add them using this form.