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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

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

Risk Premia in General Equilibrium

Posch, Olaf - CESifo - 2010

This paper shows that non-linearities imposed by a neoclassical production function alone can generate time-varying and asymmetric risk premia over the business cycle. These (empirical) key features become relevant, and asset market implications improve substantially when we allow for...

Persistent link: https://www.econbiz.de/10008511599

Evaluation of Long-Dated Investments under Uncertain Growth Trend, Volatility and Catastrophes

Gollier, Christian - CESifo - 2012

Because of the uncertainty about how to model the growth process of our economy, there is still much confusion about which discount rates should be used to evaluate actions having long-lasting impacts, as in the contexts of climate change, social security reforms or large public infrastructures...

Persistent link: https://www.econbiz.de/10010603851

Asset Pricing with Uncertain Betas: A Long-Term Perspective

Gollier, Christian - CESifo - 2013

How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...

Persistent link: https://www.econbiz.de/10010877682

Do Markets Care about Central Bank Governor Changes? Evidence from Emerging Markets

Moser, Christoph; Dreher, Axel - CESifo - 2007

sovereign bond spreads to central bank governor changes. The data cover 20 emerging markets over the period 1992-2006. We find …

Persistent link: https://www.econbiz.de/10005765858

Measuring the Social Discount Rate under Uncertainty: A Methodology and Application

Ahsan, Syed; Tsigaris, Panagiotis - CESifo - 2002

It is well recognised that the issue of the social rate of discount applies only to the gains from public investment that accrues to the public sector. When it comes to measurement, however, there is a problem: public investment in infrastructure and the like do not usually yield direct...

Persistent link: https://www.econbiz.de/10005406216

Dusting off the Perception of Risk and Returns in FOREX Markets

Cumperayot, Phornchanok - CESifo - 2003

In this paper, we construct alternative theoretical models for exchange rates by introducing additional risk factors, based on the volatility of macroeconomic fundamentals. The modified flexible-price monetary model is used to characterize the long-run equilibrium of exchange rates, while the...

Persistent link: https://www.econbiz.de/10005094310