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The Bank as Grim Reaper : Debt Composition and Bankruptcy Thresholds

Carey, Mark - 2016

We offer a model and evidence that private debtholders play a key role in setting the endogenous asset value threshold below which corporations declare bankruptcy. The model, in the spirit of Black and Cox (1976), implies that the recovery rate at emergence from bankruptcy on all of the firm's...

Persistent link: https://www.econbiz.de/10013210439

Credit Default Swaps

Bomfim, Antulio N. - 2022

Credit default swaps (CDS) are the most common type of credit derivative. This paper provides a brief history of the CDS market and discusses its main characteristics. After describing the basic mechanics of a CDS, I present a simple valuation framework that focuses on the relationship between...

Persistent link: https://www.econbiz.de/10013289298

Liquidity in the Mortgage Market : How Does the COVID-19 Crisis Compare with the Global Financial Crisis?

Pence, Karen M. - 2022

The liquidity strains that contributed to the meltdown of the mortgage market in the Global Financial Crisis (GFC) re … estate investment trusts (REITs) on short-term funding amplified market disruption in March 2020. However, other liquidity …

Persistent link: https://www.econbiz.de/10013404844

Secondary Market Liquidity and the Optimal Capital Structure

Arseneau, David M.; Rappoport, David E.; Vardoulakis, … - 2022

We present a model where endogenous liquidity generates a feedback loop between secondary market liquidity and firms … markets, and search frictions in over-the-counter secondary markets. Our concept of liquidity depends endogenously on illiquid … assets put up for sale relative to the resources available for buying those assets in the secondary market. Liquidity …

Persistent link: https://www.econbiz.de/10013405408

Distress in the Financial Sector and Economic Activity

Carlson, Mark A. - 2010

This paper explores the relationship between the health of the financial sector and the rest of the economy. We develop an indicator of financial sector health using a distance-to-default measure based on a Merton-style option pricing model. Our measure spans over three decades and appears to...

Persistent link: https://www.econbiz.de/10013136451

Equity Extraction and Mortgage Default

Laufer, Steven - 2013

to decline. Only 30% are the result of income shocks and liquidity constraints. I use this model to analyze a policy that …

Persistent link: https://www.econbiz.de/10013081574

Fiscal policy and aggregate demand in the U.S. before, during and following the Great Recession

Cashin, David; Lenney, Jamie; Lutz, Byron F.; Peterman, … - 2017

We examine the effect of federal and subnational fiscal policy on aggregate demand in the U.S. by introducing the fiscal effect (FE) measure. FE can be decomposed into three components. Discretionary FE quantifies the effect of discretionary or legislated policy changes on aggregate demand....

Persistent link: https://www.econbiz.de/10011709630

Nothing is certain except death and taxes : the lack of policy uncertainty from expiring "temporary" taxes

Chang, Andrew C. - 2018

What is the policy uncertainty surrounding expiring taxes? How uncertain are the approvals of routine extensions of temporary tax policies? To answer these questions, I use event studies to measure cumulative abnormal returns (CARs) for firms that claimed the U.S. research and development (R&D)...

Persistent link: https://www.econbiz.de/10011932265

Cost of Borrowing Shocks and Fiscal Adjustment

Groot, Oliver; Holm-Hadulla, Federic; Leiner-Killinger, … - 2017

Do capital markets impose fiscal discipline on governments? We investigate the responses of fiscal variables to a change in the interest rate paid by governments on their debt in a panel of 14 European countries over four decades. To this end, we estimate a panel vector autoregressive (PVAR)...

Persistent link: https://www.econbiz.de/10014121068

Check in the Mail or More in the Paycheck : Does the Effectiveness of Fiscal Stimulus Depend on How it is Delivered?

Sahm, Claudia - 2011

Recent fiscal policies have aimed to stimulate household spending. In 2008, most households received one-time economic stimulus payments. In 2009, most working households received the Making Work Pay tax credit in the form of reduced withholding; other households, mainly retirees, received...

Persistent link: https://www.econbiz.de/10013122087