Suchergebnisse

Shows that loan loss expectation plays an important role in determining credit rationing. Shows that the optimal loan size depends on the marginal loan loss, and not on the initial portfolio position of the bank. While an increase in loan administrative costs leads to a larger optimal loan size, restricting the loan size is used to minimize default risks. Also shows that under conditions of uncertainty when default risk is present, and if absolute risk aversion is increasing in wealth, a rise in wealth of the bank will lower the amount of asset to be allocated in risky loans even if credit can be properly priced.

Technical analysis lies on the premiss that short‐term market price at any time is revealed by pattern of prior price movements. Tests empirically the pattern of the real estate prices by employing the ARIMA analysis. Results strongly show that there exist cyclical trends in the office and industrial property prices in Hong Kong. The forecasting method can provide an indication of short‐term market direction, a sense of whether or not the movement will be small or large, and advance warning well ahead of any turning points supplementary to investment strategy. The investor may wish to incorporate forecasts from an ARIMA model into his investment strategy, for timing purposes.

Shows that there is a Granger causality relationship between house prices and mortgage flows in Hong Kong where there is a deposit‐rate ceiling and linked exchange rate. While the demand for housing units is distorted by mortgage constraint, any changes of housing demand or house prices will have a feedback on mortgage lending, and thus tend to iron out the housing demand to a level consistent with the short‐run availability of financing. The results strongly suggest that house prices in Hong Kong tend to lead the mortgage flows, not vice versa. Sudden unexpected changes in housing demand may not affect aggregate mortgage availability within a short period of time. However, as an increase in housing demand makes more permanent contributions to house prices, the higher housing prices will be increasingly translated into higher mortgage flows in the long run.