Our paper investigates the relationship between financial stability and mortgage lending. We estimated the effect of the share of mortgage lending by individual banks (together with some control variables) on two measures of financial stability—the bank Z-score and the non-performing loan ratio—for a sample of 1889 banks in 65 advanced and emerging economies for the period 1987–2014 from the Bankscope database. We specifically compared the behavior of banks in Europe and Asia. We find evidence that an increased share of mortgage lending is positive for financial stability, specifically by lowering the probability of default by financial institutions and reducing the non-performing loan ratio, at least in non-crisis periods, for levels of mortgage shares up to 49–68%. For higher levels of mortgage lending shares, the impact on financial stability turns negative. Also, the occurrence of a banking crisis reduces the diversification benefits associated with mortgage lending. Compared with the base sample, Asian banks show greater financial stability during non-crisis periods, but are more negatively affected by a higher mortgage ratio during crisis periods, while European banks show greater financial stability during non-crisis periods, but are less negatively affected during crisis periods. Finally, a higher level of regulatory quality improves both financial stability measures, but the effects of macroprudential measures are found to be mixed.

中文翻译：

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亚洲和欧洲的抵押贷款、银行危机和金融稳定

我们的论文研究了金融稳定性与抵押贷款之间的关系。我们以 65 家高级银行和银行的 1889 家银行为样本，估计了个别银行的抵押贷款份额（连同一些控制变量）对金融稳定性的两个衡量标准——银行 Z 分数和不良贷款率的影响。来自 Bankscope 数据库的 1987-2014 年新兴经济体。我们专门比较了欧洲和亚洲银行的行为。我们发现证据表明，抵押贷款份额的增加对金融稳定是积极的，特别是通过降低金融机构违约的可能性和降低不良贷款率，至少在非危机时期，抵押贷款份额的水平高达49–68%。对于更高水平的抵押贷款份额，对金融稳定的影响转为负面。此外，银行危机的发生减少了与抵押贷款相关的多元化收益。与基础样本相比，亚洲银行在非危机时期表现出更大的金融稳定性，但在危机时期受到较高的抵押贷款比率的负面影响更大，而欧洲银行在非危机时期表现出更大的金融稳定性，但受到的负面影响较小在危机时期。最后，更高水平的监管质量改善了两种金融稳定措施，但发现宏观审慎措施的效果好坏参半。亚洲银行在非危机时期表现出更大的金融稳定性，但在危机时期受到较高抵押贷款比率的负面影响更大，而欧洲银行在非危机时期表现出更大的金融稳定性，但在危机时期受到的负面影响较小。最后，更高水平的监管质量改善了两种金融稳定措施，但发现宏观审慎措施的效果好坏参半。亚洲银行在非危机时期表现出更大的金融稳定性，但在危机时期受到较高抵押贷款比率的负面影响更大，而欧洲银行在非危机时期表现出更大的金融稳定性，但在危机时期受到的负面影响较小。最后，更高水平的监管质量改善了两种金融稳定措施，但发现宏观审慎措施的效果好坏参半。