This paper investigates the determinants of credit risk from a broad perspective. Particular attention is given to the role of housing affordability and household indebtedness. However, the impact of credit market developments and regulations is also closely examined. Using a large panel of countries it is found that housing affordability and household fragility significantly affect the risk of banks’ loan portfolios. In addition, an analysis of the conditional quantiles of non-performing loan ratios reveals that financial institutions in countries with greater levels of financial liberalization and less regulated markets also experience greater credit risk.
Canepa, A., & Khaled, F. (2018). Housing, Housing Finance and Credit Risk. International Journal of Financial Studies, 6(2), 50. https://doi.org/10.3390/ijfs6020050