recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large … early warning signal of the recent crisis. -- Stochastic optimal control ; dynamic optimization ; mortgage crisis ; Ito …

We assess the credit market impact of allowing mortgage "strip-down" as a foreclosure-prevention measure, where strip …-term reduction in mortgage interest rates and a small, short-term increase in mortgage approval rates, but no long-term effects, and … the circuit court decisions did not consistently affect mortgage terms. These results suggest that strip-down would be an …

We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption … countries that do not allow for mortgage securitization. Our results are based on quarterly data from a panel of 16 …

substantially, reflecting a change in the nature of the financial intermediation process. Together with increased securitization of … portfolio of assets, have also become more relevant. As a result, the volume of securitization, although traditionally … associated with credit markets, influences the outcomes of other asset markets. We investigate the link between securitization …

Shocks to bank lending, risk-taking and securitization activities that are orthogonal to real economy and monetary … type of shock. Expansionary securitization shocks lead to a permanent rise in real GDP and a fall in inflation. Bank … using a model of bank risk-taking and securitization. …

using financial markets and shareholders cannot perfectly monitor the managers̕ portfolio in order to keep him from hedging … monitoring is costly governance is imperfect. If managerial hedging is detected, shareholders can seize the payoffs of the …) conditional on the firms̕ performance, the managers̕ compensation is lower when his portfolio is monitored, even if no hedging is …

bond positions, which creates a net hedging demand for dollar assets that depreciates USD rates in both the forward and …Over the last decade foreign bond portfolio positions in US dollar assets have risen above the reciprocal US investor … spot markets. We document the time-varying nature of this net hedging demand and show how it relates to eco …

mortgage amount influence the share of liquid assets held in stocks. We apply different econometric methods to take selection … and endogeneity into account. In our preferred specifications both home equity and the household's amount of mortgage debt …

Traditionally banks have used securitization for expanding credit and thus their profitability. It has been well …-rated tranche. This paper builds a simple model of securitization that accounts for the above retention strategies. Banks in the … predicted retention strategies match well those found in empirical studies. -- securitization ; tranching ; credit expansion …