eCommons

 

The Dynamics of Credit Spreads in Hotel Mortgages and Signaling Implications

Other Titles

Abstract

We use a vector autoregression framework to investigate loan pricing in a market with short-term leases (hotels) relative to longer-term leases (office properties), studying how news on the economy and capital markets are incorporated into the relative pricing of risk. We examine the impact of economic variables on the incremental risk premium and establish its informational content. Relative loan prices reflect systematic risk: an improvement in the general economy, an increase in forward looking corporate profitability, an increase in capital availability, and an increase in industry demand forecast a decline in the risk premium differential. We then examine how loan pricing adjusts to expected delinquencies. The spreads themselves contain important economic information and can help forecast delinquencies. Lenders are forward-looking in the pricing of risk and appear to set interest rates in anticipation of future delinquencies.

Journal / Series

Volume & Issue

Description

Sponsorship

Date Issued

2014-01-01

Publisher

Keywords

hotel financing; loan pricing; hotel mortgage loans; relative risk premium

Location

Effective Date

Expiration Date

Sector

Employer

Union

Union Local

NAICS

Number of Workers

Committee Chair

Committee Co-Chair

Committee Member

Degree Discipline

Degree Name

Degree Level

Related Version

Related DOI

Related To

Related Part

Based on Related Item

Has Other Format(s)

Part of Related Item

Related To

https://hdl.handle.net/1813/70891

Related Publication(s)

Link(s) to Related Publication(s)

References

Link(s) to Reference(s)

Previously Published As

Government Document

ISBN

ISMN

ISSN

Other Identifiers

Rights

Required Publisher Statement: © American Real Estate Society. Reprinted with permission. All rights reserved.

Rights URI

Types

article

Accessibility Feature

Accessibility Hazard

Accessibility Summary

Link(s) to Catalog Record