This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … relationship between observed index returns and macroeco-nomic news as well as market based proxies of default risk, interest rates …, liquidity and risk appetite. The results imply that declining risk appetite and heightened concerns about market illiquidity …

This paper aims to shed light on the characteristics and particularly the determinants of credit-less recoveries. After … building a dataset and documenting some stylised facts of credit-less recoveries in emerging market economies, this paper uses … panel probit models to analyse key determinants of credit-less recoveries. Our main findings are the following. First, our …

exposures after the crisis started. This reflects the surge in counterparty risk and the de-leveraging processes which were … analysis suggests that the risk of contagion is not reduced, while a more diversified portfolio of cross-border exposures might …

of financial market crisis, i.e. those preceded by a spell of credit and real estate expansions. The aim is to …

, (ii) credit supply and (iii) housing demand shocks on the housing market and the broader economy. We find that … clearcut for housing demand shocks. We also find that credit supply shocks matter more in the euro area. JEL Classification: E …