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Regulating financial market infrastructures
Ferrarini, Guido; Saguato, Paolo - London School of Economics (LSE) - 2014
to the EU and US regimes, we analyze the role of trading infrastructures as liquidity providers, both in the securities …
Persistent link: https://www.econbiz.de/10011125895
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House prices and credit constraints: making sense of the U.S. experience
Duca, John V.; Muellbauer, John; Murphy, Anthony - London School of Economics (LSE) - 2011
Most US house price models break down in the mid-2000's, due to the omission of exogenous changes in mortgage credit supply (associated with the sub-prime mortgage boom) from house price-to-rent ratio and inverted housing demand models. Previous models lack data on credit constraints facing...
Persistent link: https://www.econbiz.de/10011125991
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Modelling and forecasting UK mortgage arrears and possessions
Aron, Janine; Muellbauer, John - London School of Economics (LSE) - 2010
This paper presents new models for aggregate UK data on mortgage possessions (foreclosures) and mortgage arrears (payment delinquencies). The innovations include the treatment of difficult to observe variations in loan quality and shifts in forbearance policy by lenders, by common latent...
Persistent link: https://www.econbiz.de/10011126430
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Shifting credit standards and the boom and bust in U.S. house prices
Duca, John V.; Muellbauer, John; Murphy, Anthony - London School of Economics (LSE) - 2011
The U.S. house price boom has been linked to an unsustainable easing of mortgage credit standards. However, standard time series models of US house prices omit credit constraints and perform poorly in the 2000’s. We incorporate data on credit constraints for first time buyers into a model of...
Persistent link: https://www.econbiz.de/10011126625
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New Evidence on the Remedies of the Greek Sovereign Debt Problem
APERGIS, Nicholas; COORAY, Arusha - London School of Economics (LSE) - 2013
The goal of the present paper is to investigate not only the dynamics of the Greek public debt, but also what are the appropriate measures required for achieving fiscal consolidation. The empirical estimation is carried out using a macroeconomic dataset spanning the period 1980-2008 and both the...
Persistent link: https://www.econbiz.de/10010735153
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New evidence on the remedies of the Greek sovereign debt problem
Apergis, Nicholas; Cooray, Arusha - London School of Economics (LSE) - 2013
The goal of the present paper is to investigate not only the dynamics of the Greek public debt, but also what are the appropriate measures required for achieving fiscal consolidation. The empirical estimation is carried out using a macroeconomic dataset spanning the period 1980-2008 and both the...
Persistent link: https://www.econbiz.de/10010745161
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A time series analysis of financial fragility in the UK banking system
Goodhart, Charles; Sunirand, Pojanart; Tsomocos, … - London School of Economics (LSE) - 2004
This paper extends the model proposed by Goodhart, Sunirand, and Tsomocos (2003, 2004a, b) to an infinite horizon setting. Thus, we are able to assess how the model conforms with the time series data of the U.K. banking system. We conclude that, since the model performs satisfactorily, it can be...
Persistent link: https://www.econbiz.de/10010744867
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A risk assessment model for banks
Goodhart, Charles; Sunirand, Pojanart; Tsomocos, … - London School of Economics (LSE) - 2004
The objective of this paper is to propose a model to assess risk for banks. Its main innovation is to incorporate endogenous interaction between banks, recognising that the actual risk to which an individual bank is exposed also depends on its interaction with other banks and other private...
Persistent link: https://www.econbiz.de/10010745460
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IT-enabled credit risk modernization: a revolution under the cloak of normality
Scott, Susan V. - London School of Economics (LSE) - 1999
This paper focuses on IT-enabled credit risk modernisation in commercial retail banking. The empirical material is based upon a longitudinal case study conducted during 1993–1996 using an interpretive approach. It documents the introduction of a leading-edge computer-based decision support...
Persistent link: https://www.econbiz.de/10010745039
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The value of insolvency safe harbours
Paech, Philipp - London School of Economics (LSE) - 2015
argument for the existence of safe harbours is liquidity in the financial market. Safe harbour rules do away with a number of … legal concepts, notably those attached to traditional security, and thereby allow for an exponentiation of liquidity … liquidity. To the extent that safe harbours accelerate contagion in terms of crisis, which in principle is a valid argument …
Persistent link: https://www.econbiz.de/10011264787