Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/10260
Title: Real estate market and financial stability in US metropolitan areas: A dynamic model with spatial effects
Authors: Moscone, F
Tosetti, E
Canepa, A
Keywords: Dynamic panels;GMM estimator;House prices;Non-performing loans;Spatial dependence
Issue Date: 2014
Publisher: Elsevier
Citation: Regional Science and Urban Economics, 49: 129 - 146, (November 2014)
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.
URI: http://www.sciencedirect.com/science/article/pii/S0166046214000842
http://bura.brunel.ac.uk/handle/2438/10260
DOI: http://dx.doi.org/10.1016/j.regsciurbeco.2014.08.003
ISSN: 0166-0462
Appears in Collections:Brunel Business School Research Papers

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