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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

Crises and Liquidity : Evidence and Interpretation

Detragiache, Enrica - 2021

In a large panel of countries, we find that less liquid countries are more likely to default on their external debt. Specifically, for given total external debt, the probability of a crisis increases with the proportion of short-term debt and debt service coming due and decreases with foreign...

Persistent link: https://www.econbiz.de/10013212028

Delegated Portfolio Management, Benchmarking, and the Effects on Financial Markets

Igan, Deniz - 2015

We analyze the implications of linking the compensation of fund managers to the return of their portfolio relative to that of a benchmark - a common solution to the agency problem in delegated portfolio management. In the presence of such relative-performance-based objectives, investors have...

Persistent link: https://www.econbiz.de/10013013820

Sovereign Eurobond Liquidity and Yields

Hardy, Daniel - 2022

Market liquidity is of value to both investors and issuers of securities, and is therefore a crucial factor in asset … pricing. For the important asset class of Eurobonds, significant feedback from liquidity to pricing is established, and it is … shown that bid-ask spreads (a proxy for market liquidity) and yields are closely related to bond characteristics such as …

Persistent link: https://www.econbiz.de/10013406096

Systemwide Liquidity Stress Testing Tool

Oura, Hiroko - 2023

Developing a systemic liquidity stress testing tool is challenging due to data constraints and hard-to-model behavioral … factors. There has yet to be a uniformly accepted model partly because the nature of systemic liquidity risks differs … significantly across countries. This paper offers a simple Excel-based tool to assess the high-level impact of aggregate liquidity …

Persistent link: https://www.econbiz.de/10014255128

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

Corporate Liquidity and Solvency in Europe During COVID-19 : The Role of Policies

Ebeke, Christian; Jovanovic, Nemanja; Valderrama, Laura; … - 2021

The spread of COVID-19, containment measures, and general uncertainty led to a sharp reduction in activity in the first half of 2020. Europe was hit particularly hard—the economic contraction in 2020 is estimated to have been among the largest in the world—with potentially severe...

Persistent link: https://www.econbiz.de/10013226439

Incomplete Financial Markets and the Booming Housing Sector in China

Bayoumi, Tamim A.; Zhao, Yunhui - 2021

Housing is by far the most important asset in Chinese households' balance sheets. However, despite forceful and frequent government interventions, the rise in Chinese housing prices has not been contained as much as intended, a trend that has not been reversed by the COVID-19 shock. In this...

Persistent link: https://www.econbiz.de/10013250096

How to Better Measure Hedonic Residential Property Price Indexes

Silver, Mick S. - 2017

Hedonic regressions are used for property price index measurement to control for changes in the quality-mix of properties transacted. The paper consolidates the hedonic time dummy approach, characteristics approach, and imputation approaches. A practical hedonic methodology is proposed that (i)...

Persistent link: https://www.econbiz.de/10012966557

Housing Finance and Real Estate Markets in Colombia

Roch, Francisco - 2017

Colombian house prices have increased significantly between 2005 and 2016. This paper estimates the extent of misalignments in house prices relative to fundamentals and evaluates the overall risk to the economy from the housing sector. The results suggest a moderate house price misalignment...

Persistent link: https://www.econbiz.de/10012947826