Determinants of credit spreads and cash flow-related lending in commercial real estate

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2024-11-26 DOI:10.1016/j.ribaf.2024.102669

Ricarda Haffki , Kerstin Hennig

引用次数: 0

Abstract

The study examines risk-specific determinants of credit spreads and underwriting practices for non-recourse commercial real estate loans using property and loan characteristics. We use the case of banks that maintain their loans on balance sheets and concentrate on non-recourse financing of large cash flow-generating properties in Europe and North America. The unique dataset includes the bank’s credit loan ratings, used in a 2-stage least square estimation as an instrument for the LTV ratio to address endogeneity bias. Additionally, we use the debt yield premium as a second instrument to validate our results. Our findings demonstrate that default risk and credit spreads depend on potential changes in cash flow and property value, which may deteriorate future underwriting ratios, as well as on measures taken to mitigate this risk. The results indicate that banks effectively adjust the loan’s minimum debt yield ratio to potential negative changes.

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商业地产中信贷息差和现金流相关贷款的决定因素

该研究利用财产和贷款特征，考察了信用利差和无追索权商业房地产贷款承销实践的风险特定决定因素。我们以一些银行为例，这些银行将贷款保留在资产负债表上，并专注于为欧洲和北美产生现金流的大型房地产提供无追索权融资。独特的数据集包括银行的信用贷款评级，用于两阶段最小二乘估计，作为LTV比率的工具，以解决内生性偏差。此外，我们使用债券收益率溢价作为第二个工具来验证我们的结果。我们的研究结果表明，违约风险和信用利差取决于现金流和财产价值的潜在变化，这可能会恶化未来的承保比率，也取决于为减轻这种风险而采取的措施。结果表明，银行有效地调整了贷款的最低债务收益率，以应对潜在的负变化。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance