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International Stock Return Comovements
Bekaert, Geert; Hodrick, Robert J; Zhang, Xiaoyan - C.E.P.R. Discussion Papers - 2006
We examine international stock return comovements using country-industry and country-style portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston-Rouwenhorst (1994) model. We then establish the...
Persistent link: https://www.econbiz.de/10005136705
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Aggregate Idiosyncratic Volatility
Bekaert, Geert; Hodrick, Robert J; Zhang, Xiaoyan - C.E.P.R. Discussion Papers - 2010
We examine aggregate idiosyncratic volatility in 23 developed equity markets, measured using various methodologies, and … we find no evidence of upward trends when we extend the sample till 2008. Instead, idiosyncratic volatility appears to be … relatively short duration. We also document that idiosyncratic volatility is highly correlated across countries. Finally, we …
Persistent link: https://www.econbiz.de/10008784734
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Firm Default and Aggregate Fluctuations
Jacobson, Tor; Kindell, Rikard; Lindé, Jesper; … - C.E.P.R. Discussion Papers - 2008
This paper studies the relation between macroeconomic fluctuations and corporate defaults while conditioning on industry affiliation and an extensive set of firm-specific factors. Using a multiperiod logit approach on a panel data set for all incorporated Swedish businesses over 1990-2002, we...
Persistent link: https://www.econbiz.de/10005504257
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The Great Mortgaging: Housing Finance, Crises, and Business Cycles
Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2014
This paper unveils a new resource for macroeconomic research: a long-run dataset covering disaggregated bank credit for …
Persistent link: https://www.econbiz.de/10011083232
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Shifting Credit Standards and the Boom and Bust in US House Prices
Duca, John V; Muellbauer, John; Murphy, Anthony - C.E.P.R. Discussion Papers - 2011
The U.S. house price boom has been linked to an unsustainable easing of mortgage credit standards. However, standard time series models of US house prices omit credit constraints and perform poorly in the 2000’s. We incorporate data on credit constraints for first time buyers into a model of...
Persistent link: https://www.econbiz.de/10009001066
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House Prices and Credit Constraints: Making Sense of the US Experience
Duca, John V; Muellbauer, John; Murphy, Anthony - C.E.P.R. Discussion Papers - 2011
Most US house price models break down in the mid-2000's, due to the omission of exogenous changes in mortgage credit supply (associated with the sub-prime mortgage boom) from house price-to-rent ratio and inverted housing demand models. Previous models lack data on credit constraints facing...
Persistent link: https://www.econbiz.de/10009003148
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Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints
Ortalo-Magné, François; Rady, Sven - C.E.P.R. Discussion Papers - 2001
This Paper presents a dynamic theory of housing market fluctuations. It develops a life-cycle model where households are heterogeneous with respect to income and preferences, and mortgage lending is restricted by a down-payment requirement. The market interaction of young credit-constrained...
Persistent link: https://www.econbiz.de/10005498172
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Rollover Risk and Market Freezes
Acharya, Viral V; Gale, Douglas M; Yorulmazer, Tanju - C.E.P.R. Discussion Papers - 2009
We consider the debt capacity of a risky asset when debt is being rolled over and there is a liquidation cost in case of default. We show that debt capacity depends on how information about the quality of the asset is revealed. When the information structure is based on “optimistic”...
Persistent link: https://www.econbiz.de/10004980204
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Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees
Kelly, Bryan; Lustig, Hanno; van Nieuwerburgh, Stijn - C.E.P.R. Discussion Papers - 2012
We examine the pricing of financial crash insurance during the 2007-2009 financial crisis in U.S. option markets. A large amount of aggregate tail risk is missing from the price of financial sector crash insurance during the financial crisis. The difference in costs of out-of-the-money put...
Persistent link: https://www.econbiz.de/10011083289
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Robust Capital Regulation
Acharya, Viral V; Mehran, Hamid; Schuermann, Til; … - C.E.P.R. Discussion Papers - 2012
We address the following questions concerning bank capital: why are banks so highly levered, what are the consequences … of this leverage for the economy as a whole, and how can robust capital regulation be designed to restrict bank leverage … to levels that do not generate excessive systemic risk? Bank leverage choices are a delicate balancing act: credit …
Persistent link: https://www.econbiz.de/10011083636