Commercial property prices and bank performance
We seek to assess the effect of changes in commercial property prices on bank behaviour and performance in a range of industrialised economies, extending the existing micro literature on bank performance. The results suggest that, consistent with macro-level studies, commercial property prices have a marked impact on the behaviour and performance of individual banks. The evidence found is generally consistent with the view that commercial property provides an important form of collateral that is perceived by banks to reduce risk and encourage lending. Such an impact exists even when conventional independent variables determining bank performance are included. Moreover, there is evidence that the magnitude of this impact is related to the size of the bank, the direction of commercial property price movements, and regional factors. The results have implications for risk managers, regulators and monetary policy makers. Notably, they underline the crucial relevance of commercial property prices as a macroprudential variable that warrants close scrutiny by the authorities.
commercial property prices bank performance panel estimation financial accelerator
E Philip Davis Haibin Zhu
Brunel University, Uxbridge, Middlesex, UB8 3PH, UK Bank for International Settlements, Basel-4002, Switzerland
国际会议
西安
英文
1-36
2006-07-17（万方平台首次上网日期，不代表论文的发表时间）