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Dollar Illiquidity and Central Bank Swap Arrangements During the Global Financial Crisis

Rose, Andrew K; Spiegel, Mark - C.E.P.R. Discussion Papers - 2011

While the global financial crisis was centered in the United States, it led to a surprising appreciation in the dollar, suggesting global dollar illiquidity. In response, the Federal Reserve partnered with other central banks to inject dollars into the international financial system. Empirical...

Persistent link: https://www.econbiz.de/10009293988

The Reform of October 1979: How it Happened and Why

Lindsey, David E; Orphanides, Athanasios; Rasche, Robert H - C.E.P.R. Discussion Papers - 2005

This study offers a historical review of the monetary policy reform of October 6, 1979, and discusses the influences behind it and its significance. We lay out the record from the start of 1979 through the spring of 1980, relying almost exclusively upon contemporaneous sources, including the...

Persistent link: https://www.econbiz.de/10005792211

The Asymmetric Relation Between Margin Requirements and Stock Market Volatility Across Bull and Bear Markets

Hardouvelis, Gikas A; Pericli, Andreas; Theodossiou, … - C.E.P.R. Discussion Papers - 1997

EGARCH-M models based on a daily, weekly, and monthly S&P–500 returns over the period October 1934–September 1994 reveal that higher margins have a much stronger negative relation to subsequent volatility in bull markets than in bear markets. Higher margins are also negatively related to...

Persistent link: https://www.econbiz.de/10005123642

Monetary Policy Inclinations

Gersbach, Hans; Hahn, Volker - C.E.P.R. Discussion Papers - 2008

We examine whether the publication of forecasts concerning the likely future conduct of monetary policy is socially desirable. Introducing a new central bank loss function that accounts for the deviations from announcements, we incorporate forecasts about future inflation and interest rates into...

Persistent link: https://www.econbiz.de/10005114233

A global monetary tsunami? On the spillovers of US Quantitative Easing

Fratzscher, Marcel; Lo Duca, Marco; Straub, Roland - C.E.P.R. Discussion Papers - 2012

The paper analyses the global spillovers of the Federal Reserve’s unconventional monetary policy measures since 2007. First, we find that Fed measures in the early phase of the crisis (QE1), but not since 2010 (QE2), were highly effective in lowering sovereign yields and raising equity markets...

Persistent link: https://www.econbiz.de/10011083739

Credit Booms and Lending Standards: Evidence From The Subprime Mortgage Market

DellAriccia, Giovanni; Igan, Deniz; Laeven, Luc - C.E.P.R. Discussion Papers - 2008

competing lenders. Finally, increased ability to securitize mortgages appears to have affected lender behaviour, with lending …

Persistent link: https://www.econbiz.de/10005666586

The Myth of Financial Innovation and the Great Moderation

Den Haan, Wouter; Sterk, Vincent - C.E.P.R. Discussion Papers - 2009

empirical evidence supporting the view that innovation in consumer credit and home mortgages reduced cyclical variations of key … economic variables. We find that especially the behaviour of aggregate home mortgages changed less during the great moderation … than is typically believed. For example, aggregate home mortgages declined during monetary tightenings, both before and …

Persistent link: https://www.econbiz.de/10008477177

Money Illusion and Housing Frenzies

Brunnermeier, Markus K; Julliard, Christian - C.E.P.R. Discussion Papers - 2007

A reduction in inflation can fuel run-ups in housing prices if people suffer from money illusion. For example, investors who decide whether to rent or buy a house by simply comparing monthly rent and mortgage payments do not take into account that inflation lowers future real mortgage costs. We...

Persistent link: https://www.econbiz.de/10005067397

Household Debt and Social Interactions

Georgarakos, Dimitris; Haliassos, Michalis; Pasini, Giacomo - C.E.P.R. Discussion Papers - 2012

Debt-induced crises, including the subprime crisis, are usually attributed exclusively to supply-side factors. We examine the role of social influences on debt culture, emanating from perceived average income of peers. Utilizing unique information from a household survey, representative of the...

Persistent link: https://www.econbiz.de/10011084156

The Role of Prepayment Penalties in Mortgage Loans

Beltratti, Andrea E; Benetton, Matteo; Gavazza, Alessandro - C.E.P.R. Discussion Papers - 2015

reform in Italy that reduced penalties on outstanding mortgages and banned penalties on newly-issued mortgages. Using a … unique dataset of mortgages issued by a large Italian lender before and after the reform, we provide evidence that: 1) before … the reform, mortgages issued to riskier borrowers included larger penalties; 2) higher prepayment penalties decreased …

Persistent link: https://www.econbiz.de/10011207398