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Housing Prices, Bank Lending, and Monetary Policy

Greef, Irene de; Haas, Ralph de - EconWPA - 2002

In order to gain more insight into the relationship between housing prices and mortgage lending, we estimate models for … both the Dutch housing and the mortgage market. The empirical analysis presented in this paper offers support for the … hypothesis that in the Netherlands housing prices and mortgage lending are interdependent. According to our model, housing prices …

Persistent link: https://www.econbiz.de/10005412625

Bank Stability and Market Discipline: Debt-for-Equity Swap versus Subordinated Notes

Raviv, Alon - EconWPA - 2004

Several studies have recommended reliance on subordinated debt as a tool for monitoring banks by investors and for enhancing depositors’ protection. However, subordinated debenture increases the level of leverage and thus the probability of costly failure. We propose a novel financial...

Persistent link: https://www.econbiz.de/10005413031

Asset Prices and Banking Distress: A Macroeconomic Approach

Peter, Goetz von - EconWPA - 2004

This paper links banking with asset prices in a monetary macroeconomic model. The main innovation is to consider how falling asset prices affect the banking system through wide-spread borrower default, while deriving explicit solutions and balance sheet effects even far from the steady state. We...

Persistent link: https://www.econbiz.de/10005413177

Boom In, Bust Out: Young Households and the Housing Price Cycle

Ortalo-Magne, Francois; Rady, Sven - EconWPA - 1998

The UK experienced a major residential real estate boom-bust cycle from the mid-Eighties to the mid-Nineties, accompanied by unprecedented shifts in the owner occupancy rate of young households. Previous empirical analyses have pointed toward income changes and financial deregulation as the...

Persistent link: https://www.econbiz.de/10005076946

On the Stability of Different Financial Systems

Fecht, Falko - EconWPA - 2003

An economy in which deposit-taking banks of a Diamond/Dybvig style and an asset market coexist is modelled. Firstly, within this framework we characterize distinct financial systems depending on the fraction of households with direct investment opportunities that are less efficient than those...

Persistent link: https://www.econbiz.de/10005076982

Transparency, Liberalization and Financial Crises

Mehrez, Gil; Kaufmann, Daniel - EconWPA - 2003

We investigate the effect of financial liberalization on the probability of a banking crises in economies with poor transparency We construct a model with imperfect information where banks cannot distinguish between aggregate shocks on the one hand, and government’s policy and firms’...

Persistent link: https://www.econbiz.de/10005561599

Spillovers across High Yield Markets

Moschitz, Julius - EconWPA - 2004

This paper studies the time-variant interactions among US stocks, emerging market bonds and US low-grade corporate bonds. All of these assets are characterized by a similar average return, but returns are far from being perfectly correlated. Therefore, investing in these different assets...

Persistent link: https://www.econbiz.de/10005413232

The intraday price of money: evidence from the e-MID market

Baglioni, Angelo; Monticini, Andrea - EconWPA - 2005

We present a simple model, where intraday and overnight interest rates are linked by a no-arbitrage argument. The hourly interest rate is shown to be a function of the intraday term structure of the overnight rate. This property holds under both assumptions, where an explicit intraday market for...

Persistent link: https://www.econbiz.de/10005413053

CORPORATE CREDIT RISK MODELING: QUANTITATIVE RATING SYSTEM AND PROBABILITY OF DEFAULT ESTIMATION

Fernandes, João - EconWPA - 2005

The literature on corporate credit risk modeling for privately-held firms is scarce. Although firms with unlisted equity or debt represent a significant fraction of the corporate sector worldwide, research in this area has been hampered by the unavailability of public data. This study is an...

Persistent link: https://www.econbiz.de/10005413176

Financial Crisis and Credit Crunch as a Result of Inefficient Financial Intermediation—with Reference to the Asian Financial Crisis

Chan-Lau, Jorge A.; Chen, Zhaohui - EconWPA - 1998

This paper develops a new model of international private debt financing. It shows the possibility of discontinuity in the amount of financial intermediation when the intermediary is inefficient. The model suggests a mechanism that can generate the following sequence of events: A period of...

Persistent link: https://www.econbiz.de/10005119443