securitization market by looking at the correlation between the securitization (risk-transfer) and the default (accident) probability … a strong relationship is a credible enough commitment to monitor after securitization. Importantly, the selection of …

It is widely acknowledged that the recent generation of DSGE models failed to incorporate many of the liquidity and … measuring income expectations. However, an Ando-Modigliani consumption function generalised to include a role for liquidity …

relying on the use of micro-level data on US mortgage loan applications, which allows me to identify liquidity risk as an … to liquidity risk contracted their supply of credit more sharply. I contribute to the identification of this effect by … important determinant of the contraction of credit in the mortgage market, but as separate from the precipitous fall in credit …

changes in financial intermediaries' balance sheets for the supply of credit, liquidity and asset prices, and, consequently …

How has the CCB affected mortgage pricing after Switzerland became the first country to activate this Basel III … macroprudential tool? By analyzing a database with several offers per mortgage request, we construct a picture of mortgage supply and … demand. We find, first, that the CCB changes the composition of mortgage supply, as relatively capital-constrained and …