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http://bura.brunel.ac.uk/handle/2438/10260
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DC Field | Value | Language |
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dc.contributor.author | Moscone, F | - |
dc.contributor.author | Tosetti, E | - |
dc.contributor.author | Canepa, A | - |
dc.date.accessioned | 2015-02-18T10:35:25Z | - |
dc.date.available | 2014-11-01 | - |
dc.date.available | 2015-02-18T10:35:25Z | - |
dc.date.issued | 2014 | - |
dc.identifier.citation | Regional Science and Urban Economics, 49: 129 - 146, (November 2014) | en_US |
dc.identifier.issn | 0166-0462 | - |
dc.identifier.uri | http://www.sciencedirect.com/science/article/pii/S0166046214000842 | - |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/10260 | - |
dc.description.abstract | This paper investigates spatio-temporal variations in ex-post credit risk in the United States, as a function of real estate prices, loan purchases made by government sponsored enterprises, and a set of local characteristics during the recent housing boom and bust.We model bank's non-performing loans as a first-order dynamic panel data regression model with group-specific effects and spatial autoregressive errors. To estimate this model, we develop an ad-hoc generalized method of moments procedure which consists of augmenting moments proposed by the panel literature to estimate short T, pure dynamic panels, with a set of quadratic conditions in the disturbances. Results on estimation of the empirical model point at the negative impact of real estate prices on non-performing loans. Further, our results show that a rise in the number of real estate mortgages backed by government-sponsored enterprises increases non-performing loans, thus deteriorating the quality of banks' loan portfolio. | en_US |
dc.description.sponsorship | The ESRC (Ref. no. RES-061-25-0317). | en_US |
dc.format.extent | 129 - 146 | - |
dc.format.extent | 129 - 146 | - |
dc.language | eng | - |
dc.language.iso | en | en_US |
dc.publisher | Elsevier | en_US |
dc.subject | Dynamic panels | en_US |
dc.subject | GMM estimator | en_US |
dc.subject | House prices | en_US |
dc.subject | Non-performing loans | en_US |
dc.subject | Spatial dependence | en_US |
dc.title | Real estate market and financial stability in US metropolitan areas: A dynamic model with spatial effects | en_US |
dc.type | Article | en_US |
dc.identifier.doi | http://dx.doi.org/10.1016/j.regsciurbeco.2014.08.003 | - |
dc.relation.isPartOf | Regional Science and Urban Economics | - |
dc.relation.isPartOf | Regional Science and Urban Economics | - |
pubs.volume | 49 | - |
pubs.volume | 49 | - |
pubs.organisational-data | /Brunel | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Brunel Business School | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Brunel Business School/Management | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance/Economics and Finance | - |
pubs.organisational-data | /Brunel/Brunel Staff by Institute/Theme | - |
pubs.organisational-data | /Brunel/Brunel Staff by Institute/Theme/Institute of Environmental, Health and Societies | - |
pubs.organisational-data | /Brunel/Brunel Staff by Institute/Theme/Institute of Environmental, Health and Societies/Health Economics | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/Brunel Business School - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/Brunel Business School - URCs and Groups/Centre for Research into Entrepreneurship, International Business and Innovation in Emerging Markets | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Arts - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Arts - URCs and Groups/Brunel Centre for Contemporary Writing | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute for Ageing Studies | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute of Cancer Genetics and Pharmacogenomics | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Centre for Systems and Synthetic Biology | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Information Systems, Computing and Mathematics - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Information Systems, Computing and Mathematics - URCs and Groups/Multidisclipary Assessment of Technology Centre for Healthcare (MATCH) | - |
Appears in Collections: | Brunel Business School Research Papers |
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