کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
974025 | 1479790 | 2013 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Determinants of bank credit default swap spreads: The role of the housing sector
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper relates credit spreads (CDS prices) in the UK banking sector with the performance of the housing sector. Using data on banking sector CDS spreads for the period January 2004 to April 2011, we find that house price dynamics are a key driving factor behind the increase in credit spreads as reflected in CDS prices. Also we find that as stock prices increase, both bank capital and bank borrowing capacity increase that in turn decreases credit risk. Furthermore as banking sector liquidity increases banks tend to lend to less credit-worthy (subprime) borrowers that in turn increases credit risk in the banking sector. Collectively the results shed light on the determinants of credit risk in the banking sector.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The North American Journal of Economics and Finance - Volume 24, January 2013, Pages 243–259
Journal: The North American Journal of Economics and Finance - Volume 24, January 2013, Pages 243–259
نویسندگان
Nadia Benbouzid, Sushanta Mallick,