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How do House Prices Respond to Mortgage Supply?
Barone, Guglielmo - 2020
We examine the impact of household mortgages on house prices. Using biannual data on Italian cities for the years 2003 …-2015, we build an exogenous and fully data-driven indicator of mortgage supply stances and use it as an instrument for actual … extended mortgages. Our results indicate that mortgages have a positive and significant causal effect on house prices, with an …
Persistent link: https://www.econbiz.de/10012827456
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Using Credit Variables to Date Business Cycle and to Estimate the Probabilities of Recession in Real Time
Aprigliano, Valentina - 2019
Following the debate on the relationship between business and financial cycle rekindled in the last decade since the global financial crisis, we assess the ability of some financial indicators to track the Italian business cycle. We mostly use credit variables to detect the turning points and to...
Persistent link: https://www.econbiz.de/10012864904
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The Quantity of Corporate Credit Rationing with Matched Bank-Firm Data
Burlon, Lorenzo - 2016
This paper provides measures of credit rationing in the market of term loans to Italian non-financial firms. We identify non-price allocations of credit by exploiting a unique bankfirm dataset of more than 5 million observations, which matches the quantity and the cost of credit available from...
Persistent link: https://www.econbiz.de/10012992468
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On the Interaction between Market and Credit Risk : A Factor-Augmented Vector Autoregressive (FAVAR) Approach
Fiori, Roberta - 2011
The aim of the paper is to understand the interaction between market and credit risk. Using a comprehensive set of Italian data, we apply a factor model to identify the common sources of risk driving fluctuations in the real and financial sectors. The common latent factors are then inserted in a...
Persistent link: https://www.econbiz.de/10013128108
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Credit Ratings in Structured Finance and the Role of Systemic Risk
Violi, Roberto - 2011
This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues loomed large during the 2007-08 financial crisis, as the massive, unprecedented number of downgrades of AAA senior bond tranches inflicted severe losses on banks, calling into...
Persistent link: https://www.econbiz.de/10013131934
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Credit Ratings in Structured Finance and the Role of Systemic Risk
Violi, Roberto - 2011
This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues loomed large during the 2007-08 financial crisis, as the massive, unprecedented number of downgrades of AAA senior bond tranches inflicted severe losses on banks, calling into...
Persistent link: https://www.econbiz.de/10013128337
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The Supply Side of Household Finance
Foà, Gabriele - 2016
adjustable rate mortgages. If households are wary, the relative cost of the two types should be a sufficient statistic for a … household contract choice: the attributes of the bank that makes the loan should play no role. If households rely on banks …-specific supply characteristics will play a role in the household's choice above any role they play through relative prices. Testing …
Persistent link: https://www.econbiz.de/10012995713
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Housing Market Spillovers : Evidence from an Estimated DSGE Model
Neri, Stefano - 2008
The ability of a two-sector model to quantify the contribution of the housing market to business fluctuations is investigated using U.S. data and Bayesian methods. The estimated model, which contains nominal and real rigidities and collateral constraints, displays the following features: first,...
Persistent link: https://www.econbiz.de/10012725076
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Wealth Effects in Emerging Economies
Ciarlone, Alessio - 2012
short-run relationship between the variables of interest. Both real and financial wealth are found to affect household …
Persistent link: https://www.econbiz.de/10013110053
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House Price Cycles in Emerging Economies
Ciarlone, Alessio - 2012
In this paper, I investigate the characteristics of house price dynamics for a sample of 16 emerging economies from Asia and Central and Eastern Europe, over the period 1995-2011. Linking housing valuations to a set of conventional fundamental determinants – relative to both the supply and the...
Persistent link: https://www.econbiz.de/10013106589