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Housing, Housing Finance and Credit Risk

Author

Listed:
  • Alessandra Canepa

    (Department of Economics and Statistics, University of Turin, Lungo Dora Siena 100 A, 10153 Turin, Italy)

  • Fawaz Khaled

    (Department of Economics, University of Reading, Reading, Berkshire RG6 6AH, UK)

Abstract

This paper investigates the determinants of credit risk from a broad perspective. Particular attention is given to the role of housing affordability and household indebtedness. However, the impact of credit market developments and regulations is also closely examined. Using a large panel of countries it is found that housing affordability and household fragility significantly affect the risk of banks’ loan portfolios. In addition, an analysis of the conditional quantiles of non-performing loan ratios reveals that financial institutions in countries with greater levels of financial liberalization and less regulated markets also experience greater credit risk.

Suggested Citation

  • Alessandra Canepa & Fawaz Khaled, 2018. "Housing, Housing Finance and Credit Risk," IJFS, MDPI, vol. 6(2), pages 1-23, May.
    • Handle: RePEc:gam:jijfss:v:6:y:2018:i:2:p:50-:d:145475
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    References listed on IDEAS

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