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Improving market-based forecasts of short-term interest rates: Time-varying stationarity and the predictive content of switching regime-expectations
Ahrens, Ralf - Center for Financial Studies - 1999
Modeling short-term interest rates as following regime-switching processes has become increasingly popular. Theoretically, regime-switching models are able to capture rational expectations of infrequently occurring discrete events. Technically, they allow for potential time-varying stationarity....
Persistent link: https://www.econbiz.de/10010958750
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Mortgage markets, collateral constraints, and monetary policy: Do institutional factors matter?
Calza, Alessandro; Monacelli, Tommaso; Stracca, Livio - Center for Financial Studies - 2006
We study the role of institutional characteristics of mortgage markets in affecting the strength and timing of the …) there is significant divergence in the structure of mortgage markets across the main industrialised countries; (2) at the …/development of mortgage markets; (3) the transmission of monetary policy shocks on consumption and house prices is stronger in …
Persistent link: https://www.econbiz.de/10010958674
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Mortgage Markets, Collateral Constraints, and Monetary Policy: Do Institutional Factors Matter?
Calza, Alessandro; Monacelli, Tommaso; Stracca, Livio - Center for Financial Studies - 2007
We study the role of institutional characteristics of mortgage markets in affecting the strength and timing of the …) there is significant divergence in the structure of mortgage markets across the main industrialised countries; (2) at the …/development of mortgage markets; (3) the transmission of monetary policy shocks on consumption and house prices is stronger in …
Persistent link: https://www.econbiz.de/10005022449
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Do consumers choose the right credit contracts?
Agarwal, Sumit; Chomsisengphet, Souphala; Liu, Chunlin; … - Center for Financial Studies - 2005
A number of studies have pointed to various mistakes that consumers might make in their consumption-saving and financial decisions. We utilize a unique market experiment conducted by a large U.S. bank to assess how systematic and costly such mistakes are in practice. The bank offered consumers a...
Persistent link: https://www.econbiz.de/10010958552
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A model of mortgage default
Campbell, John Y.; Cocco, João F. - Center for Financial Studies - 2014
This paper solves a dynamic model of households' mortgage decisions incorporating labor income, house price, inflation …, and interest rate risk. It uses a zero-profit condition for mortgage lenders to solve for equilibrium mortgage rates given … borrower characteristics and optimal decisions. The model quantifies the effects of adjustable vs. fixed mortgage rates, loan …
Persistent link: https://www.econbiz.de/10010958614
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Do Consumers Choose the Right Credit Contracts?
Agarwal, Sumit; Chomsisengphet, Souphala; Liu, Chunlin; … - Center for Financial Studies - 2005
A number of studies have pointed to various mistakes that consumers might make in their consumption-saving and financial decisions. We utilize a unique market experiment conducted by a large U.S. bank to assess how systematic and costly such mistakes are in practice. The bank offered consumers a...
Persistent link: https://www.econbiz.de/10005022421
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Instabile Finanzmärkte
Franke, Günter; Krahnen, Jan Pieter - Center for Financial Studies - 2009
Die Vorstellung selbst-stabilisierender, zum Gleichgewicht tendierender Finanzmärkte, lange Zeit als Selbstverständlichkeit angesehen, ist durch die aktuelle Banken- und Kreditkrise in Frage gestellt. Trotz ausgefeilten Risikomanagements der Banken und einer an Basel II orientierten Aufsicht...
Persistent link: https://www.econbiz.de/10010986485
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Dealing with financial crises: How much help from research?
Pagano, Marco - Center for Financial Studies - 2014
Has economic research been helpful in dealing with the financial crises of the early 2000s? On the whole, the answer is negative, although there are bright spots. Economists have largely failed to predict both crises, largely because most of them were not analytically equipped to understand...
Persistent link: https://www.econbiz.de/10010958553
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Everything you always wanted to know about systemic importance (but were afraid to ask)
Alessandri, Piergiorgio; Masciantonio, Sergio; Zaghini, … - Center for Financial Studies - 2014
We develop a methodology to identify and rank systemically important financial institutions (SIFIs). Our approach is consistent with that followed by the Financial Stability Board (FSB) but, unlike the latter, it is free of judgment and it is based entirely on publicly available data, thus...
Persistent link: https://www.econbiz.de/10010958679
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Measuring confidence and uncertainty during the financial crisis: Evidence from the CFS survey
Entorf, Horst; Knoll, Christian; Sattarova, Liliya - Center for Financial Studies - 2011
The CFS survey covers individual situations of banks and other companies of the financial sector during the financial crisis. This provides a rare possibility to analyze appraisals, expectations and forecast errors of the core sector of the recent turmoil. Following standard ways of aggregating...
Persistent link: https://www.econbiz.de/10010958702