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Crisis-Related Shifts in the Market Valuation of Banking Activities
Calomiris, Charles W.; Nissim, Doron - National Bureau of Economic Research (NBER) - 2012
risk). The model also allows for heterogeneous bank income streams, dividend signaling effects, and changes in … changes in market pricing over time. We find that the declines in bank stock values since 2007 reflect declining values of … increasingly over time. "Carry-trade" effects from taking on interest rate risk are also apparent. The effects of leverage on bank …
Persistent link: https://www.econbiz.de/10009652900
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What Calls to ARMs? International Evidence on Interest Rates and the Choice of Adjustable-Rate Mortgages
Campbell, John Y.; Ramadorai, Tarun; Badarinza, Cristian - National Bureau of Economic Research (NBER) - 2014
in total mortgage issuance. Using a nine-country panel and instrumental variables methods, we present evidence that near …
Persistent link: https://www.econbiz.de/10010890100
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Payment Size, Negative Equity, and Mortgage Default
Fuster, Andreas; Willen, Paul S. - National Bureau of Economic Research (NBER) - 2013
Surprisingly little is known about the importance of mortgage payment size for default, as efforts to measure the treatment effect of rate increases or loan modifications are confounded by borrower selection. We study a sample of hybrid adjustable-rate mortgages that have experienced large rate...
Persistent link: https://www.econbiz.de/10010950666
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Long-Run Price Elasticities of Demand for Credit: Evidence from a Countrywide Field Experiment in Mexico
Karlan, Dean; Zinman, Jonathan - National Bureau of Economic Research (NBER) - 2013
The long-run price elasticity of demand for credit is a key parameter for intertemporal modeling, policy levers, and lending practice. We use randomized interest rates, offered across 80 regions by Mexico's largest microlender, to identify a 29-month dollars-borrowed elasticity of -1.9. This...
Persistent link: https://www.econbiz.de/10010951414
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Trade Dynamics in the Market for Federal Funds
Lagos, Ricardo; Afonso, Gara - National Bureau of Economic Research (NBER) - 2014
We develop a model of the market for federal funds that explicitly accounts for its two distinctive features: banks have to search for a suitable counterparty, and once they meet, both parties negotiate the size of the loan and the repayment. The theory is used to answer a number of positive and...
Persistent link: https://www.econbiz.de/10011262797
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Central Banks and the Financial System
Giavazzi, Francesco; Giovannini, Alberto - National Bureau of Economic Research (NBER) - 2010
Financial systems are inherently fragile because of the very function which makes them valuable: liquidity transformation. Regulatory reforms can strengthen the financial system and decrease the risk of liquidity crises, but they cannot eliminate it completely. This leaves monetary policy with a...
Persistent link: https://www.econbiz.de/10008548814
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Collective Investment Decision Making with Heterogeneous Time Preferences
Gollier, Christian; Zeckhauser, Richard - National Bureau of Economic Research (NBER) - 2003
We examine the investment decision problem of a group whose members have heterogeneous time preferences. In particular, they have different discount factors for utility, possibly not exponential. We characterize the properties of efficient allocations of resources and of shadow prices that would...
Persistent link: https://www.econbiz.de/10005828543
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Bond Market Inflation Expectations in Industrial Countries: Historical Comparisons
Bordo, Michael David; Dewald, William G. - National Bureau of Economic Research (NBER) - 2001
We define the Fisherian Golden Rule measure of bond market inflation expectations as the difference between bond rates and trend real GDP growth rates. The concept is based on the Fisherian theory that an increase in longer-term inflation expectations would be reflected in longer-term interest...
Persistent link: https://www.econbiz.de/10005828643
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The Explanatory Power of Monetary Policy Rules
Taylor, John B. - National Bureau of Economic Research (NBER) - 2007
This paper shows that the theory of monetary policy rules is able to explain, predict, and help understand a variety of phenomenon in macroeconomics and finance, including the Great Moderation, the correlation between exchange rates and interest rates, and the shift in the response of the term...
Persistent link: https://www.econbiz.de/10005828885
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Monetary Policy, Trend Inflation and the Great Moderation: An Alternative Interpretation
Coibion, Olivier; Gorodnichenko, Yuriy - National Bureau of Economic Research (NBER) - 2008
With positive trend inflation, the Taylor principle is not enough to guarantee a determinate equilibrium. We provide new theoretical results on restoring determinacy in New Keynesian models with positive trend inflation and combine these with new empirical findings on the Federal Reserve's...
Persistent link: https://www.econbiz.de/10005829326