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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

U.S. Monetary Shocks and Global Stock Prices

Laeven, Luc; Tong, Hui - C.E.P.R. Discussion Papers - 2010

This paper studies how U.S. monetary policy affects global stock prices. We find that global stock prices respond strongly to changes in U.S. interest rate policy, with stock prices increasing (decreasing) following unexpected monetary loosening (tightening). This impact is more pronounced for...

Persistent link: https://www.econbiz.de/10008692313

The Zero-Interest Rate Bound and the Role of the Exchange Rate for Monetary Policy in Japan

Coenen, Günter; Wieland, Volker - C.E.P.R. Discussion Papers - 2003

In this Paper we study the role of the exchange rate in conducting monetary policy in an economy with near-zero nominal interest rates as experienced in Japan since the mid-1990s. Our analysis is based on an estimated model of Japan, the United States and the euro area with rational expectations...

Persistent link: https://www.econbiz.de/10005788995

Identifying the Monetary Transmission Mechanism Using Structural Breaks

Beyer, Andreas; Farmer, Roger E A - C.E.P.R. Discussion Papers - 2003

We propose a method for estimating a subset of the parameters of a structural rational expectations model by exploiting changes in policy. We define a class of models, midway between a vector autoregression and a structural model, that we call the recoverable structure. We provide an application...

Persistent link: https://www.econbiz.de/10005124223

Asymmetries in Housing and Financial Market Institutions and EMU

Maclennan, Duncan; Muellbauer, John; Stephens, Mark - C.E.P.R. Discussion Papers - 1999

Despite convergence pressures, differences in housing and financial market institutions across the 15 member states of the European Union are still enormous. This paper argues that they have profound effects on the responsiveness of output and inflation in the different countries to changes in...

Persistent link: https://www.econbiz.de/10005504528

Classical time-varying FAVAR models - Estimation, forecasting and structural analysis

Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2011

We propose a classical approach to estimate factor-augmented vector autoregressive (FAVAR) models with time variation in the factor loadings, in the factor dynamics, and in the variance-covariance matrix of innovations. When the time-varying FAVAR is estimated using a large quarterly dataset of...

Persistent link: https://www.econbiz.de/10008921778

Measuring Monetary Policy with VAR Models: An Evaluation

Bagliano, Fabio-Cesare; Favero, Carlo A. - C.E.P.R. Discussion Papers - 1997

This paper evaluates VAR models designed to analyse the monetary policy transmission mechanism in the United States by considering three issues: specification, identification, and the effect of the omission of the long-term interest rate. Specification analysis suggests that only VAR models...

Persistent link: https://www.econbiz.de/10005114174

The Impact of Turkey's Membership on EU Voting

Baldwin, Richard; Widgrén, Mika - C.E.P.R. Discussion Papers - 2005

In this paper, we evaluate the impact of Turkey's membership on EU voting. The aspects that we discuss are decision …

Persistent link: https://www.econbiz.de/10005792179

Protocol Design and (De-)Centralization

Grüner, Hans Peter - C.E.P.R. Discussion Papers - 2007

Should privately informed agents with diverging interests act independently or should they commit to a mechanism? This paper analyzes different communication and decision protocols when communication involves delay. It studies under which conditions agents should (i) choose their actions...

Persistent link: https://www.econbiz.de/10005498109