بازار املاک و مستغلات و ثبات مالی در مناطق شهرهای بزرگ ایالات متحده: یک مدل پویا با اثرات فضایی

We model bank's non-performing loans as a first-order dynamic panel data regression model with group-specific effects and spatial autoregressive errors. To estimate this model, we develop an ad-hoc generalized method of moments procedure which consists of augmenting moments proposed by the panel literature to estimate short T, pure dynamic panels, with a set of quadratic conditions in the disturbances. Results on estimation of the empirical model point at the negative impact of real estate prices on non-performing loans. Further, our results show that a rise in the number of real estate mortgages backed by government-sponsored enterprises increases non-performing loans, thus deteriorating the quality of banks' loan portfolio.