Total Impact Points
Avg. Impact Points
Recent PublicationsView all
- [Show abstract] [Hide abstract]
ABSTRACT: 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.
Information provided on this web page is aggregated encyclopedic and bibliographical information relating to the named institution. Information provided is not approved by the institution itself. The institution’s logo (and/or other graphical identification, such as a coat of arms) is used only to identify the institution in a nominal way. Under certain jurisdictions it may be property of the institution.