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Cyclical Lending Standards : A Structural Analysis
Chen, Kaiji - 2020
model estimation reveals that an exogenous shock to credit supply drives cyclical lending standards and accounts for a …
Persistent link: https://www.econbiz.de/10012481797
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Global Business Cycles and Credit Risk
Pesaran, M. Hashem - 2005
The potential for portfolio diversification is driven broadly by two characteristics: the degree to which systematic risk factors are correlated with each other and the degree of dependence individual firms have to the different types of risk factors. Using a global vector autoregressive...
Persistent link: https://www.econbiz.de/10012467187
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Unemloyment and Unobserved Credit Risk in the FHA Single Family Mortgage Insurance Fund
Gyourko, Joseph - 2013
Empirical models of mortgage default typically find that the influence of unemployment is negligible compared to other well known risk factors such as high borrower leverage or low borrower FICO scores. This is at odds with theory, which assigns a critical role to unemployment status in the...
Persistent link: https://www.econbiz.de/10012459781
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Group Lending with Heterogeneous Types
Gan, Li - 2013
estimate the model using a rich dataset from a group lending program in India. The estimation results support our model …
Persistent link: https://www.econbiz.de/10012459814
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The Marginal Propensity to Consume Over the Business Cycle
Gross, Tal - 2016
This paper estimates how the marginal propensity to consume (MPC) varies over the business cycle by exploiting exogenous variation in credit card borrowing limits. Ten years after an individual declares Chapter 7 bankruptcy, the record of the bankruptcy is removed from her credit report,...
Persistent link: https://www.econbiz.de/10012456161
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When Is There a Strong Transfer Risk from the Sovereigns to the Corporates? Property Rights Gaps and CDS Spreads
Bai, Jennie - 2012
When a sovereign faces the risk of debt default, it may be tempted to expropriate the private sector. This may be one reason for why international investment in private companies has to take into account the sovereign risk. But the likelihood of a transfer from the sovereign risk to corporate...
Persistent link: https://www.econbiz.de/10012460062
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Financial Dampening
Wieland, Johannes F. - 2016
We propose a novel mechanism, "financial dampening," whereby loan retrenchment by banks attenuates the effectiveness of monetary policy. The theory unifies an endogenous supply of illiquid local loans and risk-sharing among subsidiaries of bank holding companies (BHCs). We derive an IV-strategy...
Persistent link: https://www.econbiz.de/10012456534
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Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle
Chen, Hui - 2014
corporate bond pricing. By explicitly modeling debt rollover and by endogenizing the holding costs via collateralized financing … spreads, and bond liquidity measures including Bond-CDS spreads and bid-ask spreads in the data. Through a structural … quantitatively evaluate the effects of liquidity-provision policies for the corporate bond market …
Persistent link: https://www.econbiz.de/10012458027
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The Determinants of Stock and Bond Return Comovements
Baele, Lieven - 2009
We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We … stock and bond return correlations, but that other factors, especially liquidity proxies, play a more important role. The … macro factors are still important in fitting bond return volatility; whereas the "variance premium" is critical in …
Persistent link: https://www.econbiz.de/10012463390
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The Informational Content of Bond Ratings
Ederington, Louis H. - 1984
commercial bonds indicate that market participants base their evaluations of a bond issue's default risk on agency ratings or on …
Persistent link: https://www.econbiz.de/10012477771