Commercial property prices and bank performance
By: by E. Philip Davis and Haibin Zhu.
Contributors: Zhu, Haibin, 1972-; Bank for International Settlements. Monetary and Economic Dept.
Series: BIS working papers,; no. 175; BIS working papers (Online) ;; no. 175.
Publisher: Bank for International Settlements
Published: 2005
Place of publication: Basel, Switzerland
Language: eng
Format: Electronic resource
Description: "We seek to assess the effect of commercial property price movements on the behaviour and performance of individual banks in a range of industrialised economies, extending the existing micro literature on bank performance. Our results suggest that commercial property prices tend to be positively associated with bank lending and profitability, and negatively associated with banks' net interest margin and bad loan ratios. Such an impact exists even when conventional independent variables determining bank performance are included as controls. Further extensions show that the magnitude of this impact is related to the size of the bank, the strength of bank capitalisation, 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."
Notes: Includes bibliographical references.
Title from PDF file (viewed on Apr. 28, 2005).
"Monetary and Economic Department."
"April 2005."
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.