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Online Appendix to "Cross-border Residential Mortgage Lending: Theory and Evidence from the European Sovereign Debt Crisis", forthcoming in Real Estate Economics

Real Estate Economics (2017)

Jaime Luque

This Online Appendix contains supplementary material for the paper "Cross-Border Residential Lending: Theory and Evidence from the European Sovereign Debt Crisis" (forthcoming in Real Estate Economics). It starts with the proofs of Lemmas 1, 2, and 3b. Then, we expand on Remark 4 of our theoretical model regarding the role of government guarantees in mortgage finance. We then provide a brief chronology of the European sovereign debt crisis. We also give some facts about the economic impact of this crisis in terms of GDP growth, bond yields, and residential mortgage rates. We then perform some tests that support our argument that year-ends 2009 and 2013 roughly correspond to the period right before the sovereign debt crisis and the period at the end of this crisis, respectively. We also use our novel database to report estimates of the banks credit squeeze by regions and asset types, as well as the change in residential portfolio weights with respect to banks total loan portfolios. Here, we also investigate the reasons behind the credit squeeze in residential mortgages. In addition, we consider alternative definitions of flight-to-quality (FTQ) and risky-lending (RL) by disentangling the possibility of flight-home (FH) from these two variables, and provide similar regressions to the ones in the paper using these alternative dependent variables. Also, we provide alternative definitions of FTQ, FH, and RL both in net terms and in terms of a bank´s total loan portfolios. We also include a table that contains the list of banks contained in our database. Finally, we provide a list of references specific to this Online Appendix.

Economic Theory, Finance and Regional Economics

August 1, 2017

Jaime Luque. "Online Appendix to "Cross-border Residential Mortgage Lending: Theory and Evidence from the European Sovereign Debt Crisis", forthcoming in Real Estate Economics" Real Estate Economics (2017)
Available at: http://works.bepress.com/luque/38/

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