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The Value of Intermediaries for GSE Loans
Bosshardt, Joshua; Kakhbod, Ali; Kermani, Amir - National Bureau of Economic Research - 2023
We analyze the costs and benefits of intermediaries for government-sponsored enterprise (GSE) mortgages using regulatory data. We find evidence of lenders pricing for observable and unobservable default risk independently from the GSEs. These findings are explained using a model of competitive...
Persistent link: https://www.econbiz.de/10014337808
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Stress Relief? : Funding Structures and Resilience to the Covid Shock
Forbes, Kristin; Friedrich, Christian; Reinhardt, Dennis - National Bureau of Economic Research - 2023
This paper explores the relationship between different funding structures--including the source, instrument, currency, and counterparty location of funding--and the extent of financial stress experienced in different countries and sectors during the sharp risk-off shock in early 2020 when...
Persistent link: https://www.econbiz.de/10014287355
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Why Don't Lenders Renegotiate More Home Mortgages? Redefaults, Self-Cures and Securitization
Adelino, Manuel - 2009
to be affected by securitization, and to different definitions of delinquency. Our results are strongest in subsamples in …
Persistent link: https://www.econbiz.de/10012463490
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Using Bankruptcy to Reduce Foreclosures : Does Strip-down of Mortgages Affect the Supply of Mortgage Credit?
Li, Wenli - 2014
We assess the credit market impact of allowing mortgage "strip-down"--that is, reducing the principal of underwater … provided by a series of U.S. Circuit Court of Appeals decisions in the early 1990's that introduced mortgage strip-down in … Court decision led to a short-term reduction of 3% in mortgage interest rates and a short-term increase of 1% in mortgage …
Persistent link: https://www.econbiz.de/10012458712
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Risk-Adjusting the Returns to Private Debt Funds
Erel, Isil; Flanagan, Thomas; Weisbach, Michael S. - National Bureau of Economic Research - 2024
Private debt funds are the fastest growing segment of the private capital market. We evaluate their risk-adjusted returns, applying a cash-flow based method to form a replicating portfolio that mimics their risk profiles. Using both equity and debt benchmarks to measure risk, a typical private...
Persistent link: https://www.econbiz.de/10014512132
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An IV Hazard Model of Loan Default with an Application to Subprime Mortgage Cohorts
Palmer, Christopher J. - National Bureau of Economic Research - 2023
asymptotically normal. Applying my estimator to the subprime mortgage crisis, I quantify what caused the foreclosure rate to triple … standards, with a 10% decline in home prices increasing subprime mortgage default rates by 50% …
Persistent link: https://www.econbiz.de/10014447321
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Crypto Wash Trading
Cong, Lin William; Li, Xi; Tang, Ke; Yang, Yang - National Bureau of Economic Research - 2022
We introduce systematic tests exploiting robust statistical and behavioral patterns in trading to detect fake transactions on 29 cryptocurrency exchanges. Regulated exchanges feature patterns consistently observed in financial markets and nature; abnormal first-significant-digit distributions,...
Persistent link: https://www.econbiz.de/10013477276
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Monetary Policy Operations : Theory, Evidence, and Tools for Quantitative Analysis
Lagos, Ricardo; Navarro, Gastón - National Bureau of Economic Research - 2023
We formulate a quantitative dynamic equilibrium theory of trade in the fed funds market, calibrate it to fit a comprehensive set of marketwide and micro-level cross-sectional observations, and use it to make two contributions to the operational side of monetary policy implementation. First, we...
Persistent link: https://www.econbiz.de/10014322758
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The Demand for Money, Near-Money, and Treasury Bonds
Krishnamurthy, Arvind; Li, Wenhao - National Bureau of Economic Research - 2022
and safe store of value. We measure the quantity of these three forms of liquidity and their corresponding liquidity … extent to which they are substitutes, and the amount of liquidity per unit delivered by each asset. Treasury bonds and bank …
Persistent link: https://www.econbiz.de/10013210079
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Evolution of Debt Financing toward Less-Regulated Financial Intermediaries in the United States
Erel, Isil; Inozemtsev, Eduard - National Bureau of Economic Research - 2024
addresses these questions and discusses how banks and nonbanks helped provide liquidity to the nonfinancial sector during the …
Persistent link: https://www.econbiz.de/10014486206