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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
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Effectiveness and Channels of Macroprudential Instruments : Lessons from the Euro Area
Tressel, Thierry - 2016
house price appreciation in mortgage markets. We find instruments targeting the cost of bank capital most effective in … slowing down mortgage credit growth, and that the impact is transmitted mainly through price margins, the same banking channel …
Persistent link: https://www.econbiz.de/10012996061
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Household Debt and House Prices-at-Risk : A Tale of Two Countries
Alter, Adrian - 2020
To identify and quantify downside risks to housing markets, we apply the house price-at-risk methodology to a sample of 37 cities across the United States and Canada using quarterly data from 1983 to 2018. This paper finds that downside risks to housing markets in the United States have...
Persistent link: https://www.econbiz.de/10012836538
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Riding the Yield Curve : Risk Taking Behavior in a Low Interest Rate Environment
Chami, Ralph - 2020
Investors seek to hedge against interest rate risk by taking long or short positions on bonds ofdifferent maturities. We study changes in risk taking behavior in a low interest rateenvironment by estimating a market stochastic discount factor that is non-linear and thereforeconsistent with the...
Persistent link: https://www.econbiz.de/10012836549
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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
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When Banks Punch Back : Macrofinancial Feedback Loops in Stress Tests
Catalan, Mario - 2020
In the presence of adverse macroeconomic shocks, simultaneous capital losses in multiple banks can prompt them to contract their balance sheets. These bank responses generate externalities that propagate in the form of macro-financial feedback loops. This paper develops a credit response and...
Persistent link: https://www.econbiz.de/10012829700
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Sub-National Credit Risk and Sovereign Bailouts : Who Pays the Premium?
Jenkner, E. - 2014
Studies have shown that markets may underprice sub-national governments' risk on the implicit assumption that these entities would be bailed out by their central government in case of financial difficulties. However, the question of whether sovereigns pay a premium on their own borrowing as a...
Persistent link: https://www.econbiz.de/10013058431
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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
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With Great Power Comes Great Responsibility : Macroprudential Tools at Work in Canada
Krznar, Ivo - 2014
associated with lower mortgage credit growth and house price growth. The international experience suggests that - in addition to …
Persistent link: https://www.econbiz.de/10013053034
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Non-Primary Home Buyers, Shadow Banking, and the US Housing Market
Alter, Adrian; Dernaoui, Zaki - 2021
This paper studies the US housing market using a proprietary and comprehensive dataset covering nearly 90 million residential transactions over 1998-2018. First, we document the evolution of different types of investment purchases such as those conducted by short-term buyers, out-of-state...
Persistent link: https://www.econbiz.de/10013315117