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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

Asset Quality Misrepresentation by Financial Intermediaries : Evidence from RMBS Market

Piskorski, Tomasz - 2013

We contend that buyers received false information about the true quality of assets in contractual disclosures by intermediaries during the sale of mortgages in the $2 trillion non-agency market. We construct two measures of misrepresentation of asset quality - misreported occupancy status of...

Persistent link: https://www.econbiz.de/10012459818

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

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

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

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

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

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

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

Shadow Always Touches the Feet : Implications of Bank Credit Lines to Non-Bank Financial Intermediaries

Acharya, Viral V.; Gopal, Manasa; Jager, Maximilian; … - National Bureau of Economic Research - 2025

Using real estate investment trusts (REITs) that invest in commercial real estate (CRE) as a leading example, we study the implications for banks of extending credit lines to "shadow banks" or non-bank financial intermediaries (NBFIs). While small and mid-size banks hold an economically...

Persistent link: https://www.econbiz.de/10015361466