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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
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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
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Credit, Financial Stability, and the Macroeconomy
Taylor, Alan M. - C.E.P.R. Discussion Papers - 2015
Since the 2008 global financial crisis, and after decades of relative neglect, the importance of the financial system and its episodic crises as drivers of macroeconomic outcomes has attracted fresh scrutiny from academics, policy makers, and practitioners. Theoretical advances are following a...
Persistent link: https://www.econbiz.de/10011213304
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Crash Risk in Currency Markets
Farhi, Emmanuel; Fraiberger, Samuel P.; Gabaix, Xavier; … - C.E.P.R. Discussion Papers - 2009
How much of carry trade excess returns can be explained by the presence of disaster risk? To answer this question, we propose a simple structural model that includes both Gaussian and disaster risk premia and can be estimated even in samples that do not contain disasters. The model points to a...
Persistent link: https://www.econbiz.de/10005016245
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A DSGE model of banks and financial intermediation with default risk
Wickens, Michael R. - C.E.P.R. Discussion Papers - 2011
This paper takes the view that a major contributing factor to the financial crisis of 2008 was a failure to correctly assess and price the risk of default. In order to analyse default risk in the macroeconomy, a simple general equilibrium model with banks and financial intermediation is...
Persistent link: https://www.econbiz.de/10009293986
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Dollar Illiquidity and Central Bank Swap Arrangements During the Global Financial Crisis
Rose, Andrew K; Spiegel, Mark - C.E.P.R. Discussion Papers - 2011
While the global financial crisis was centered in the United States, it led to a surprising appreciation in the dollar, suggesting global dollar illiquidity. In response, the Federal Reserve partnered with other central banks to inject dollars into the international financial system. Empirical...
Persistent link: https://www.econbiz.de/10009293988
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Surviving the crisis: Foreign multinationals vs domestic firms in Ireland
Godart, Olivier; Görg, Holger; Hanley, Aoife - C.E.P.R. Discussion Papers - 2011
Starting from the observation that all firms in Ireland (foreign and domestic in manufacturing and services industries) were hit by the crisis, the paper asks whether there is a difference in the behaviour of foreign and domestic firms. One hypothesis is that foreign multinationals are less...
Persistent link: https://www.econbiz.de/10009320409
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Are Banks Passive Liquidity Backstops? Deposit Rates and Flows during the 2007-2009 Crisis
Acharya, Viral V; Mora, Nada - C.E.P.R. Discussion Papers - 2011
Can banks maintain their advantage as liquidity providers when they are heavily exposed to a financial crisis? The standard argument - that banks can - hinges on deposit inflows that are seeking a safe haven and provide banks with a natural hedge to fund drawn credit lines and other commitments....
Persistent link: https://www.econbiz.de/10009399713
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Identifying the Global Transmission of the 2007-09 Financial Crisis in a GVAR Model
Chudik, Alexander; Fratzscher, Marcel - C.E.P.R. Discussion Papers - 2010
The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite played for the global transmission of the financial crisis. Dealing with identification and the large dimensionality of the empirical exercise with a Global VAR approach, the...
Persistent link: https://www.econbiz.de/10008692308
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The Cross-Country Incidence of the Global Crisis
Lane, Philip R.; Milesi-Ferretti, Gian Maria - C.E.P.R. Discussion Papers - 2010
We examine whether the cross-country incidence and severity of the 2008-2009 global recession is systematically related to pre-crisis macroeconomic and financial factors. We find that the pre-crisis level of development, increases in the ratio of private credit to GDP, current account deficits,...
Persistent link: https://www.econbiz.de/10008466326