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Finite State Dynamic Games with Asymmetric Information: A Framework for Applied Work

Fershtman, Chaim; Pakes, Ariel - C.E.P.R. Discussion Papers - 2005

We present a framework for the applied analysis of dynamic games with asymmetric information. The framework consists of a definition of equilibrium, and an algorithm to compute it. Our definition of Applied Markov Perfect equilibrium is an extension of the definition of Markov Perfect...

Persistent link: https://www.econbiz.de/10005791237

Moral and Social Constraints to Strategic Default on Mortgages

Guiso, Luigi; Sapienza, Paola; Zingales, Luigi - C.E.P.R. Discussion Papers - 2009

We use survey data to study American households’ propensity to default when the value of their mortgage exceeds the … value of their house even if they can afford to pay their mortgage (strategic default). We find that 26% of the existing … the house. Yet, 17% of households would default, even if they can afford to pay their mortgage, when the equity shortfall …

Persistent link: https://www.econbiz.de/10005039578

Credit Standards and Segregation

Ouazad, Amine; Rancière, Romain - C.E.P.R. Discussion Papers - 2011

How do credit standards on the mortgage market affect neighbourhood choice and the resulting level of urban segregation …-2006 mortgage credit boom on the level of school segregation. Census tract racial composition is strongly correlated with the racial … composition of the 10 closest schools in the cross section. Matching a national data set of mortgage originations with annual …

Persistent link: https://www.econbiz.de/10008873328

Monetary transmission in low income countries

Mishra, Prachi; Montiel, Peter J; Spilimbergo, Antonio - C.E.P.R. Discussion Papers - 2010

This paper reviews the monetary transmission mechanism in low income countries (LICs). We use monetary transmission in advanced and emerging markets as a benchmark to identify aspects of the transmission mechanism that may operate differently in LICs. In particular, we focus on the effects of...

Persistent link: https://www.econbiz.de/10008466328

Explaining Forward Exchange Bias .... Intra-day

Lyons, Richard K; Rose, Andrew K - C.E.P.R. Discussion Papers - 1994

Intra-day interest rates are zero. Consequently, a foreign exchange dealer can short a vulnerable currency in the morning, close this position in the afternoon, and never face an interest cost. This tactic might seem especially attractive in times of crisis, since it suggests an immunity to the...

Persistent link: https://www.econbiz.de/10005124023

Money Illusion and Housing Frenzies

Brunnermeier, Markus K; Julliard, Christian - C.E.P.R. Discussion Papers - 2007

, investors who decide whether to rent or buy a house by simply comparing monthly rent and mortgage payments do not take into … account that inflation lowers future real mortgage costs. We decompose the price-rent ratio in a rational component — meant to …

Persistent link: https://www.econbiz.de/10005067397

Monetary Policy in an Open Economy: The Differential Impact on Exporting and Non-Exporting Firms

Ber, Hedva; Blass, Asher; Yosha, Oved - C.E.P.R. Discussion Papers - 2002

Using firm-level data, we provide evidence that, although monetary policy affects real investment, the effect operates differentially: the greater its export intensity the less a firm is affected by tight money. We examine several interpretations and conclude that the impact is transmitted...

Persistent link: https://www.econbiz.de/10005504673

The Wealth-Consumption Ratio

Lustig, Hanno; van Nieuwerburgh, Stijn; Verdelhan, Adrien - C.E.P.R. Discussion Papers - 2012

We derive new estimates of total wealth, the returns on total wealth, and the wealth effect on consumption. We estimate the prices of aggregate risk from bond yields and stock returns using a no-arbitrage model. Using these risk prices, we compute total wealth as the price of a claim to...

Persistent link: https://www.econbiz.de/10011083953

What Calls to ARMs? International Evidence on Interest Rates and the Choice of Adjustable Rate Mortgages

Badarinza, Cristian; Campbell, John Y; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2014

in total mortgage issuance. Using a nine-country panel and instrumental variables methods, we present evidence that near …-term (one-year) rational expectations of future movements in ARM rates do affect mortgage choice, particularly in more recent …

Persistent link: https://www.econbiz.de/10011084239