How to order
IMF Publications

Working Papers in full text
2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 All


Other research-related activities and publications of the IMF can be found at IMF Research

Free Email Notification

Receive emails when we post new items of interest to you.

Subscribe or Modify your profile



Exposure to Real Estate Losses: Evidence from the US Banks

Author/Editor: Igan, Deniz | Pinheiro, Marcelo
Authorized for Distribution: April 1, 2009
Electronic Access: Free Full Text (PDF file size is 456KB)
Use the free Adobe Acrobat Reader to view this PDF file.
 
Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.

Summary: We implement a three-step procedure to assess the extent of exposure to real estate in commercial banks. First, we demonstrate interest rates and income to be the major determinants of delinquency. Then, we adopt a stress testing approach to calculate the impact of any adverse changes in these determinants. This suggests that a 1.3 percentage point increase in mortgage interest rate leads to a 20 percent decrease in a typical bank's distance to default. Finally, we look at the cross-sectional differences and indentify the banks with rapid loan growth along with high cost-income ratio as the most vulnerable.
 
Order a print copy
Series: Working Paper No. 09/79
Subject(s): Banking sector | United States | Housing | Commercial banks | Consumer credit | Commercial credit | Real estate prices | Payments arrears | Economic models
Author's keyword(s): Residential and Commercial Real Estate | Delinquency | Distance to Default.
 
English  
    Published:   April 1, 2009        
            Format:   Paper
    Stock No:   WPIEA2009079   Pages:   33
    Price:   US$18.00 (Academic Rate: US$18.00 )
       
     
Please address any questions about this title to publications@imf.org.