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Subprime Consumer Credit Demand : Evidence From a Lender's Pricing Experiment
Alan, Sule - 2011
We test the interest rate sensitivity of subprime credit card borrowers using a unique panel data set from a UK credit card company. What is novel about our contribution is that we were given details of a randomized interest rate experiment conducted by the lender between October 2006 and...
Persistent link: https://www.econbiz.de/10013130142
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Household Debt Sustainability : What Explains Household Non-Performing Loans? An Empirical Analysis
Rinaldi, Laura; Sanchis-Arellano, Alicia - 2021
Sound household financial conditions are relevant for both financial and monetary stability. Therefore, we analyse … household financial fragility in a sample of euro area countries with the aim to shed some light on the nature of the large debt … increase accumulated in recent years. We focus on household arrears on payment obligations, which are one of the most direct …
Persistent link: https://www.econbiz.de/10013318115
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Determinants of Credit to Households in a Life-Cycle Model
Rubaszek, Michał - 2012
households. We show that the value of household credit to GDP ratio depends on the lending-deposit interest rate spread …
Persistent link: https://www.econbiz.de/10013111589
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The Pricing of Risk in European Credit and Corporate Bond Markets
Berndt, Antje; Obreja, Iulian - 2021
This paper investigates the determinants of the default risk premia embedded in the European credit default swap spreads. Using a modified version of the intertemporal capital asset pricing model, we show that default risk premia represent compensation for bearing exposure to systematic risk and...
Persistent link: https://www.econbiz.de/10013316873
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Credit and the Natural Rate of Interest
De Fiore, Fiorella; Tristani, Oreste - 2021
We analyze the properties of the natural rate of interest in an economy where nominal debt contracts generate a spread between loan rates and the policy interest rate. In our model, monetary policy has real effect in the flexible-price equilibrium, because it affects the credit spread. Relying...
Persistent link: https://www.econbiz.de/10013316546
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Mortgage Indebtedness and Household Financial Distress
Georgarakos, Dimitris - 2010
-adjusted income levels, various socioeconomic characteristics, housing traits, country-specific constant terms, and household …
Persistent link: https://www.econbiz.de/10013147952
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Government Loan Guarantees, Market Liquidity, and Lending Standards
Ahnert, Toni; Kuncl, Martin - 2022
We study third-party loan guarantees in a model in which lenders can screen, learn loan quality over time and can sell loans before maturity when in need of liquidity. Loan guarantees improve market liquidity and reduce lending standards, with a positive overall welfare effect. Guarantees...
Persistent link: https://www.econbiz.de/10013403073
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Predicting Risk Premia in Short-Term Interest Rates and Exchange Rates
Gräb, Johannes - 2018
We assess the ability of yield curve factors to predict risk premia in short-term interest rates and exchange rates across a large sample of major advanced economies. We find that the same tick-shaped linear combination of (relative) bond yields predicts risk premia in both short-term interest...
Persistent link: https://www.econbiz.de/10012926459
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The Janus-Headed Salvation : Sovereign and Bank Credit Risk Premia during 2008-09
Ejsing, Jacob - 2012
As the global banking crisis intensified in the fall of 2008, governments announced comprehensive rescue packages for financial institutions. In this paper, we put the joint response of euro area bank and sovereign CDS premia under the microscope. We find that the bank rescue packages led to a...
Persistent link: https://www.econbiz.de/10013116569
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Liquidity and Credit Risk Premia in Government Bond Yields
Ejsing, Jacob - 2012
This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we estimate term structures of government-guaranteed agency bonds and exploit the fact that any difference in their yields vis-`a-vis government bonds can be attributed to differences...
Persistent link: https://www.econbiz.de/10013106056