Real Estate Market Risk in Bank Stock Returns: Evidence for the EU-15 Countries

Martins, António Miguel; Martins, Fábio C.; Serra, Ana Paula

doi:10.2139/ssrn.1913731

Cited by 4 publications

(2 citation statements)

References 13 publications

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“…A shock to REITs' returns spillovers to the banking sector, as well as to insurance companies and savings and loans companies. Martins et al (2011) find that the housing market has a significant impact on the profitability and default risk of banks, specially of small size.…”

Section: Exposure Of the Uk Banking Sector To The Housing Marketmentioning

confidence: 94%

House prices, (un)affordability and systemic risk

Pavlidis

Paya

Skouralis

2020

New Zealand Economic Papers

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This is the first paper to examine the role of the real estate sector and housing unaffordability in the determination of systemic risk. We measure the systemic risk of the UK by employing the ∆CoVaR method developed by Adrian and Brunnermeier (2011, 2016), and we explore both its cross-sectional and time series behaviour. Regarding the former, we show that when the real estate sector is under distress the tail risk of the entire financial system increases significantly. With respect to the latter, the findings of our dynamic model suggest that sustainable house prices positively contribute to the stability of the financial sector; whilst house price exuberance and rapid increases in housing unaffordability amplify systemic risk. Finally, we examine the conjecture that the banking sector comprises a transmission channel from the housing market to the systemic risk of the financial system. Our empirical results are in line with this argument and highlight the key role of housing unaffordability.

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Section: Exposure Of the Uk Banking Sector To The Housing Marketmentioning

confidence: 94%

House prices, (un)affordability and systemic risk

Pavlidis

Paya

Skouralis

2020

New Zealand Economic Papers

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“…Real estate is the business of buying, selling, or renting a building, land, or building, residential or commercial. The study by Martins et al, (2016) revealed that the real estate market has a direct impact on the banking sector as real estate can be one of the main collaterals for loans. This implies that any increase in real estate value will result in increasing bank credit granting.…”

Section: Introductionmentioning

confidence: 99%

Modelling Prediction of Cities Real Estate Price Trend Using Recurrent Neural Network: A Case of Dar es Salaam City

Kalinga,

Nyamle,

Abdalla

2023

TJET

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Real estate refers to a class of real property such as land and its associated infrastructure. The prediction of real estate prices in cities, which is affected by a number of parameters, is an open research problem. The lack of reliable and effective tools for price forecasting in real estate, especially in residential housing, can adversely affect investment flows and the growth of the real estate sector. Taking Tanzania as an example, the price prediction practices rely on human suggestions that are prone to personal bias and subjective to price hysteria for personal gain and impact consumer expectations. To address the challenge, this paper designed a real estate price trend prediction model for the cities using Recurrent Neural Networks (RNN) with a Long Short-Term Memory (LSTM). The study identified the factors influencing real estate property prices, including size, location, time, property quality, accompanied services, market nature, price of land, cost of building materials, and value for money. However, the study spotted the size, price, location, and time as key factors in predicting price trends when using RNN-LSTM. The results show that the proposed RNN-LSTM model performed better with 50% MSE less compared to the Convolutional Neural Network (CNN). In computing the price trend per location, the model prediction accuracy was 97.45%, 79.23%, and 53.8% for the high class, middle class, and low class, respectively, resulting in an average prediction accuracy of 76.8%

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Impact of systemic risk in the real estate sector on banking return

2016

SpringerPlus

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In this paper, we measure systemic risk in the real estate sector based on contingent claims analysis, and then investigate its impact on banking return. Based on the data in China, we find that systemic risk in the real estate sector has a negative effect on banking return, but this effect is temporary; banking risk aversion and implicit interest expense have considerable impact on banking return.

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Real Estate Market Risk in Bank Stock Returns: Evidence for the EU-15 Countries

Cited by 4 publications

References 13 publications

House prices, (un)affordability and systemic risk

House prices, (un)affordability and systemic risk

Modelling Prediction of Cities Real Estate Price Trend Using Recurrent Neural Network: A Case of Dar es Salaam City

Impact of systemic risk in the real estate sector on banking return

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