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Contribution Details

Type Master's Thesis
Scope Discipline-based scholarship
Title Do price changes in the real estate market affect banks' stock performance? Compqarison between banks in the U.S., the euro area, and Switzerland
Organization Unit
  • Filip Golubovic
  • Steven Ongena
  • English
Institution University of Zurich
Faculty Faculty of Business, Economics and Informatics
Date 2022
Abstract Text By analyzing the changes in the residential real estate market, including the U.S., the euro area, and Switzerland, analyses are performed to establish a link between two important industries. A contribution to the literature is a comparison between the three regions of primary interest. Including the exogenous shock from the Covid-19 pandemic enriches the study from an additional perspective. Using various quantitative models for panel data regressions on a combined and individual region level, the Fixed Effects model suggests a positive relation between the price changes in residential real estate and changes in the stock prices of individual banks in the U.S. and the euro area. No evidence of a relationship in the Swiss market is found. Including the Covid-19 pandemic as a unique situation, further insights are observable. The Covid-19 period suggests a statistically significant higher effect on the relationship than before the pandemic for the U.S. and the euro area market. In contrast, for the Swiss market, the opposite effect is observed. Nevertheless, controlling for macroeconomic changes, market variations, and bank-specific variables, only correlations can be justified by the results. Due to endogeneity concerns, no causal relationship can be derived from the underlying data and methodology applied to the study. In section 1, an introduction introduces the hypotheses tested and the main idea. Section 2 represents the literature review, where the most critical findings of other published papers are presented and majorly impact the work. Further, an overview of essential variables for the analyses is displayed in section 3, followed by an explanation of the data used for the analyses and the methodology applied to all the analyses in section 4. Section 5 presents the main results and the findings, whereas section 6 rounds up the thesis with a meaningful conclusion. In the end, in section 7, there is an insight into the limitations of the work and an outlook for future potential research in this direction. Keywords:
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