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Firla-Cuchra, Maciej; Jenkinson, Tim - Department of Economics, Oxford University - 2005

Securitisations usually involve creating multiple tranches of a single issue with different characteristics, placed on the market as separate securities. Various theoretical explanations have been advanced to explain such tranching. This paper provides the first systematic testing of such...

Persistent link: https://www.econbiz.de/10010661362

Security Design in the Real World: Why are Securitization Issues Tranched?

Firla-Cuchra, Maciej; Jenkinson, Tim - Department of Economics, Oxford University - 2005

Persistent link: https://www.econbiz.de/10005047795

Explaining Launch Spreads on Structured Bonds

Firla-Cuchra, Maciej - Department of Economics, Oxford University - 2005

We investigate determinants of launch spreads in European securitization transactions over the last decade. First, we develop a simple, reduced-form pricing model for all issues across different transaction types and test it. We document the critical importance of credit ratings without...

Persistent link: https://www.econbiz.de/10005047893

Financial Distress, Bankruptcy Law and the Business Cycle

Sussman, Oren; Suarez, Javier - Department of Economics, Oxford University - 2004

This paper explores the business cycle implications of financial distress and bankruptcy law. We find that due to the presence of financial imperfections the effect of liquidations on the price of capital goods can generate endogenous fluctuations. We show that a law reform that...

Persistent link: https://www.econbiz.de/10011146262

Wealth, Credit Conditions and Consumption: Evidence from South Africa

Aron, Janine; Muellbauer, John - Department of Economics, Oxford University - 2011

There is widespread disagreement about the role of housing wealth in explaining consumption. This paper exploits liquid and illiquid wealth time series from household balance sheet data for South Africa, previously constructed by the authors, to explain fluctuations in the ratios of...

Persistent link: https://www.econbiz.de/10009364585

Credit shocks and cycles: a Bayesian calibration approach

Meeks, Roland - Department of Economics, Oxford University - 2006

This paper asks how well a general equilibrium agency cost model describes the dynamic relationship between credit variables and the business cycle. A Bayesian VAR is used to obtain probability intervals for empirical correlations. The agency cost model is found to predict the leading,...

Persistent link: https://www.econbiz.de/10010820335

Limited Asset Markets Participation, Monetary Policy and (Inverted) Keynesian Logic

Bilbie, Florin O. - Department of Economics, Oxford University - 2005

This paper incorporates limited asset markets participation in dynamic general equilibrium and develops a simple analytical framework for monetary policy analysis. Aggregate dynamics and stability properties of an otherwise standard business cycle model depend nonlinearly on the degree of asset...

Persistent link: https://www.econbiz.de/10010820337

Conditional Eurobonds and the Eurozone Sovereign Debt Crisis

Muellbauer, John - Department of Economics, Oxford University - 2013

avoid classic moral hazard problems and to insure the guarantors against default, each country would pay a risk premium … the fall-out from housing market crises are the most relevant economic fundamentals. Formula-based risk spreads based on … long-run growth than mere fiscal contraction. Putting more weight on incentives that come from risk spreads, than on …

Persistent link: https://www.econbiz.de/10011004159

Can Good Events Lead to Bad Outcomes? Endogenous Banking Crises and Fiscal Policy Responses

Feltenstein, Andrew; Rochon, Celine - Department of Economics, Oxford University - 2008

In this paper, we study the impact of labor market restructuring and foreign direct investment on the banking sector, using a dynamic general equilibrium model with a financial sector. Numerical simulations are performed using stylized Chinese data, and banks failures are generated through...

Persistent link: https://www.econbiz.de/10011004205

Linkages between asset classes during the financial crisis, accounting for market microstructure noise and non-synchronous trading

Frank, Nathaniel - Department of Economics, Oxford University - 2009

GARCH models are employed. We find that during the current period of market dislocations and times of increased risk …

Persistent link: https://www.econbiz.de/10011004255

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