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A Study on the Relationship between Housing Price and Domestic Bank Profitability and Stability
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주택가격변동이 국내은행의 수익성 및 재무건전성에 미치는 영향에 관한 연구

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Type
Academic journal
Author
Journal
Korea Real Estate Analysts Association(Kreaa) 부동산학연구 부동산학연구 제23권 제3호 KCI Accredited Journals
Published
2017.1
Pages
5 - 27 (23page)

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A Study on the Relationship between Housing Price and Domestic Bank Profitability and Stability
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Research history (2)

2017

A Study on the Relationship between Housing Price and Domestic Bank Profitability and Stability
Lee ,  Sangjun ,  진창하 부동산학연구 2017.01 Academic journal

2016

A Study on the Relationship between Housing Price and Bank Profitability and Stability
이상준 응용경제학과 2016.01 Thesis
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Abstract· Keywords

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This study analyzes the impact of housing price and deviation on ROA(Return on Asset) and NPL(Non-Performing Loan) of domestic commercial banks by using quarterly financial data of domestic commercial banks, housing price, and macro variables. This study finds that, first, according to DOLS(Dynamic Ordinary Least Square) model estimations, there is a long-term correlation between housing price and household debt. Second, housing price has a positive effect on ROA of domestic banks while it has negative effect on NPL. Notably, the impact of housing price on ROA is consistently positive, meaning that household debt sensitively responds to housing price. Third, deviation has a positive effect on NPL. This result represents the negative effect on the financial stability of a bank increases when the deviation is greater. Therefore, the study suggests that domestic banks should carefully examine the change of housing price in the financial supervision and screening policy of loans.
#은행수익성 #은행건전성 #주택가격변동 #가계대출변동 #DOLS모형 #패널-GMM #Banking Profitability #Banking Risk #Housing Prices #Households Loans #Dynamic-OLS #Panel-GMM

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References (32)

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Bates, L. J. / 2015 / Is the real estate sector more responsive to economy-wide or housing market conditions? An Exploratory Analysis / The Journal of Real Estate Finance an google schola Bernanke, B. / 1996 / The financial accelerator and the flight to quality / The Review of Economics and Statistics 78 (1) : 1 ~ 15 google schola Bernanke, B. S. / 1988 / Credit, money, and aggregate demand / American Economic Review 78 (2) : 435 ~ 439 google schola Bernanke, B. S. / 1995 / Inside the black box:The credit channel of monetary policy transmission / Journal of Economic Perspectives 9 (4) : 27 ~ 48 google schola Bertay, A. C. / 2013 / Do we need big banks? Evidence on performance, strategy and market discipline / Journal of Financial Intermediation 22 (4) : 532 ~ 558 google schola

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