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What Drives Mortgage Default Risk in Europe and the U.S.?

Gross, Marco; Tressel, Thierry; Ding, Xiaodan; Tereanu, … - 2022

We present an analysis of the sensitivity of household mortgage probabilities of default (PDs) and loss given default … counterfactual analysis of the responsiveness of mortgage PDs, LGDs, and bank capitalization conditional on adverse scenarios related …

Persistent link: https://www.econbiz.de/10013291773

Mortgage Defaults

Hatchondo, Juan Carlos - 2012

life-cycle profile of home ownership, and the mortgage default rate. The average coefficients that measure the agents …

Persistent link: https://www.econbiz.de/10013111389

Banks' Liability Structure and Mortgage Lending During the Financial Crisis

Dagher, Jihad C. - 2012

during the financial crisis in the United States. We focus on mortgage lending to minimize the impact of confounding demand … disaggregated data on mortgage applications that we use allows us to study the time variations in banks' decisions to grant mortgage … credit significantly more than retail-funded banks during the crisis. The demand for mortgage credit, on the other hand …

Persistent link: https://www.econbiz.de/10013102174

Systemic Banking Crises Database : An Update

Laeven, Luc - 2012

We update the widely used banking crises database by Laeven and Valencia (2008, 2010) with new information on recent and ongoing crises, including updated information on policy responses and outcomes (i.e. fiscal costs, output losses, and increases in public debt). We also update our dating of...

Persistent link: https://www.econbiz.de/10013098639

Monitoring Systemic Risk Based on Dynamic Thresholds

Lund-Jensen, Kasper - 2012

Successful implementation of macroprudential policy is contingent on the ability to identify and estimate systemic risk in real time. In this paper,systemic risk is defined as the conditional probability of a systemic banking crisis and this conditional probability is modeled in a fixed effect...

Persistent link: https://www.econbiz.de/10013102200

Taxation, Bank Leverage, and Financial Crises

De Mooij, Ruud A. - 2013

That most corporate tax systems favor debt over equity finance is now widely recognized as, potentially, amplifying risks to financial stability. This paper makes a first attempt to explore, empirically, the link between this tax bias and the probability of financial crisis. It finds that...

Persistent link: https://www.econbiz.de/10013085611

Financial Crises Explanations, Types, and Implications

Claessens, Stijn - 2013

This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper...

Persistent link: https://www.econbiz.de/10013086317

Systemic Banking Crises Revisited

Laeven, Luc - 2018

This paper updates the database on systemic banking crises presented in Laeven and Valencia (2008, 2013). Drawing on 151 systemic banking crises episodes around the globe during 1970-2017, the database includes information on crisis dates, policy responses to resolve banking crises, and the...

Persistent link: https://www.econbiz.de/10012909413

The Impact of Bailouts on the Probability of Sovereign Debt Crises : Evidence from IMF-Supported Programs

Balima, Hippolyte - 2019

This paper studies the role of IMF-supported programs in mitigating the likelihood of subsequent sovereign defaults in borrowing countries. Using a panel of 106 developing countries from 1970 to 2016 and an entropy balancing methodology, we find that IMF-supported programs significantly reduce...

Persistent link: https://www.econbiz.de/10012892896

Taming Financial Development to Reduce Crises

Ben Naceur, Sami - 2019

This paper assesses whether and how financial development triggers the occurrence of banking crises. It builds on a database that includes financial development as well as financial access, depth and efficiency for almost 100 countries. Through estimation of a dynamic logit panel model, it...

Persistent link: https://www.econbiz.de/10012868462

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