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Mortgage Finance in the Face of Rising Climate Risk
Ouazad, Amine - 2019
securitized mortgages. This paper uses the impact of one such sharp rule, the conforming loan limit, on securitization volumes. We … securitization activity in years following such a billion-dollar disaster. Such increase is larger in neighborhoods for which such a …
Persistent link: https://www.econbiz.de/10012480267
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Why Did U.S. Banks Invest in Highly-Rated Securitization Tranches?
Erel, Isil - 2011
-rated tranches. We find, however, that banks active in securitization held more highly-rated tranches. Such a result can be …
Persistent link: https://www.econbiz.de/10012461388
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The Secular Decline of Bank Balance Sheet Lending
Buchak, Greg; Matvos, Gregor; Piskorski, Tomasz; Seru, Amit - National Bureau of Economic Research - 2024
intermediated through arms-length transactions, such as securitization. This paper documents these trends, explores their causes … structural model to explore whether technological improvements in securitization, shifts in saver preferences away from deposits …, and changes in implicit subsidies and costs of bank activities can explain these shifts. Declines in securitization cost …
Persistent link: https://www.econbiz.de/10014486266
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Agency MBS as Safe Assets
He, Zhiguo; Song, Zhaogang - National Bureau of Economic Research - 2022
Measured as yield spreads against AAA corporate bonds, the convenience premium of agency MBS averages 47 basis points over 1995 - 2021, about half of the long-term-Treasury convenience premium. Both MBS convenience premium and issuance amount depend on mortgage rate negatively, consistent with a...
Persistent link: https://www.econbiz.de/10013190993
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The industrial organization and regulation of the securities industry
Lo, Andrew W. (ed.) - 1996
Persistent link: https://www.econbiz.de/10000937532
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Judging Banks' Risk by the Profits They Report
Meiselman, Ben S.; Nagel, Stefan; Purnanandam, Amiyatosh - National Bureau of Economic Research - 2023
In competitive capital markets, risky debt claims that offer high yields in good times have high systematic risk exposure in bad times. We apply this idea to bank risk measurement. We find that banks with high accounting return on equity (ROE) prior to a crisis have higher systematic tail risk...
Persistent link: https://www.econbiz.de/10014337867
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Collateral Damage : The Impact of Shale Gas on Mortgage Lending
Chen, Yanyou; Roberts, James W.; Timmins, Christopher; … - National Bureau of Economic Research - 2021
We analyze mortgage lenders' behavior with respect to shale gas risk during the period of the U.S. shale gas boom, which coincided with fluctuations in the U.S. housing market and increased scrutiny in the lending industry. Shale gas operations have the potential to place affected houses into...
Persistent link: https://www.econbiz.de/10012696403
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Understanding the Ownership Structure of Corporate Bonds
Koijen, Ralph S. J.; Yogo, Motohiro - National Bureau of Economic Research - 2022
Insurers are the largest institutional investors of corporate bonds. However, a standard theory of insurance markets, in which insurers maximize firm value subject to regulatory or risk constraints, predicts no allocation to corporate bonds. We resolve this puzzle in an equilibrium asset pricing...
Persistent link: https://www.econbiz.de/10012814454
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Systemic Sovereign Credit Risk : Lessons from the U.S. and Europe
Ang, Andrew - 2011
We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states, and major European countries. Using a multifactor affine framework that allows for both systemic and sovereign-specific credit shocks, we find that there is considerable...
Persistent link: https://www.econbiz.de/10012461675
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Sorting Out the Real Effects of Credit Supply
Chang, Briana; Gomez, Matthieu; Hong, Harrison G. - National Bureau of Economic Research - 2021
We document that banks which cut lending more during the Great Recession were lending to riskier firms. To explain this evidence, we build a competitive matching model of bank-firm relationships in which risky firms borrow from banks with low holding costs. Based on default probabilities and...
Persistent link: https://www.econbiz.de/10012533391