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Simulation and Estimation of Hedonic Models

Heckman, James J. - CESifo - 2003

Making use of restrictions imposed by equilibrium, theoretical progress has been made on the nonparametric and semiparametric estimation and identification of scalar additive hedonic models (Ekeland, Heckman, and Nesheim, 2002) and scalar nonadditive hedonic models (Heckman, Matzkin, and...

Persistent link: https://www.econbiz.de/10005416481

Default Predictors and Credit Scoring Models for Retail Banking

Kocenda, Evžen; Vojtek, Martin - CESifo - 2009

This paper develops a specification of the credit scoring model with high discriminatory power to analyze data on loans at the retail banking market. Parametric and non- parametric approaches are employed to produce three models using logistic regression (parametric) and one model using...

Persistent link: https://www.econbiz.de/10008572500

On Comparing the Accuracy of Default Predictions in the Rating Industry

Güttler, André; Kraemer, Walter - CESifo - 2008

We consider 1927 borrowers from 54 countries who had a credit rating by both Moody's and S&P at the end of 1998, and their subsequent default history up to the end of 2002. Viewing bond ratings as predicted probabilities of default, we consider partial orderings among competing probability...

Persistent link: https://www.econbiz.de/10005181478

Using Bankruptcy to Reduce Foreclosures: Does Strip-down of Mortgages Affect the Supply of Mortgage Credit?

Li, Wenli; Tewari, Ishani; White, Michelle - CESifo - 2014

We assess the credit market impact of allowing mortgage “strip-down” as a foreclosure-prevention measure, where strip …-term reduction in mortgage interest rates and a small, short-term increase in mortgage approval rates, but no long-term effects, and … the circuit court decisions did not consistently affect mortgage terms. These results suggest that strip-down would be an …

Persistent link: https://www.econbiz.de/10010877889

Optimal Risk-Sharing in Mortgage Contracts: The Effects of Potential Prepayment and Default

Brueckner, Jan K.; Lee, Kangoh - CESifo - 2014

Much of the literature on the economics of mortgage markets has studied the FRM-ARM choice made by individual borrowers … of optimal risk-sharing in mortgage contracts. But since only a small literature has studied this question, more research …’s (1986a) model, using it to characterize optimal contracts in the absence of mortgage termination, and then exploring how …

Persistent link: https://www.econbiz.de/10010948814

Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks

Efing, Matthias; Hau, Harald; Kampkötter, Patrick; … - CESifo - 2014

We use payroll data on 1.2 million bank employee years in the Austrian, German, and Swiss banking sector to identify incentive pay in the critical banking segments of treasury/capital market management and investment banking for 66 banks. We document an economically significant correlation of...

Persistent link: https://www.econbiz.de/10010948831

Growth and Earnings Persistence in Banking Firms: A Dynamic Panel Investigation

Shehzad, Choudhry Tanveer; Haan, Jakob de; Scholtens, Bert - CESifo - 2009

This paper investigates (i) whether growth and profitability persist in banking firms, (ii) whether the level and volatility of growth and profitability are bank-size dependent, and (iii) the relationship between growth and profitability of a bank. Using a dynamic panel model estimated by GMM...

Persistent link: https://www.econbiz.de/10008572506

Macroeconomic Factors and Micro-Level Bank Risk

Buch, Claudia M.; Eickmeier, Sandra; Prieto, Esteban - CESifo - 2010

The interplay between banks and the macroeconomy is of key importance for financial and economic stability. We analyze this link using a factor-augmented vector autoregressive model (FAVAR) which extends a standard VAR for the U.S. macroeconomy. The model includes GDP growth, inflation, the...

Persistent link: https://www.econbiz.de/10008671709

Taxing Banks: An Evaluation of the German Bank Levy

Buch, Claudia M.; Hilberg, Björn; Tonzer, Lena - CESifo - 2014

Bank distress can have severe negative consequences for the stability of the financial system, the real economy, and public finances. Regimes for restructuring and restoring banks financed by bank levies and fiscal backstops seek to reduce these costs. Bank levies attempt to internalize systemic...

Persistent link: https://www.econbiz.de/10010877827

Shocks to Bank Lending, Risk-Taking, Securitization, and their Role for U.S. Business Cycle Fluctuations

Peersman, Gert; Wagner, Wolf - CESifo - 2014

Shocks to bank lending, risk-taking and securitization activities that are orthogonal to real economy and monetary policy innovations account for more than 30 percent of U.S. output variation. The dynamic effects, however, depend on the type of shock. Expansionary securitization shocks lead to a...

Persistent link: https://www.econbiz.de/10010752434