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Money for Nothing and Checks for Free : Recent Developments in U.S. Subprime Mortgage Markets
Mills, Paul S. - 2007
After a number of warning signs, the U.S. ""subprime mortgage crisis"" became a headline issue in February 2007 …. Notwithstanding the bankruptcy of numerous mortgage companies, historically high delinquencies and foreclosures, and a significant …
Persistent link: https://www.econbiz.de/10014400434
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Procyclicality and Fair Value Accounting
Scarlata, Jodi G. - 2009
In light of the uncertainties about valuation highlighted by the 2007-2008 market turbulence, this paper provides an empirical examination of the potential procyclicality that fair value accounting (FVA) could introduce in bank balance sheets. The paper finds that, while weaknesses in the FVA...
Persistent link: https://www.econbiz.de/10014404283
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Boom-Bust Cycles in Housing : The Changing Role of Financial Structure
Schnure, Calvin - 2005
Why are housing markets so prone to boom-bust cycles? The mortgage market structure prior to the Savings and Loan … subsequent development of a national, market-based system of securitized mortgage finance has damped this boom-bust cycle. We …
Persistent link: https://www.econbiz.de/10014404219
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Is Systematic Default Risk Priced in Equity Returns? : A Cross-Sectional Analysis Using Credit Derivatives Prices
Chan-Lau, Jorge A. - 2006
This paper finds that systematic default risk, or the event of widespread defaults in the corporate sector, is an important determinant of equity returns. Moreover, the market price of systematic default risk is one order of magnitude higher than the market price of other risk factors. In...
Persistent link: https://www.econbiz.de/10014402251
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Accounting Discretion of Banks During a Financial Crisis
Laeven, Luc - 2009
sheets overvalue real estate-related assets compared to the market value of these assets, especially during the U.S. mortgage … crisis. Share prices of banks with large exposure to mortgage-backed securities also react favorably to recent changes in … use discretion in the classification of mortgage-backed securities to inflate their books. Our results indicate that banks …
Persistent link: https://www.econbiz.de/10014402374
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Market signals and the cost of credit risk protection : an analysis of CDS settlement auctions
Zanforlin, Luisa; Kanazawa, Nobuyuki - 2014
Persistent link: https://www.econbiz.de/10010479499
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Money and collateral
Kumar, Manmohan S.; Stella, Peter - 2012
Between 1980 and before the recent crisis, the ratio of financial market debt to liquid assets rose exponentially in the U.S. (and in other financial markets), reflecting in part the greater use of securitized assets to collateralize borrowing. The subsequent crisis has reduced the pool of...
Persistent link: https://www.econbiz.de/10009614541
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Money and Collateral
Singh, Manmohan - 2012
Between 1980 and before the recent crisis, the ratio of financial market debt to liquid assets rose exponentially in the U.S. (and in other financial markets), reflecting in part the greater use of securitized assets to collateralize borrowing. The subsequent crisis has reduced the pool of...
Persistent link: https://www.econbiz.de/10014396651
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Transmission of financial stress in Europe : the pivotal role of Italy and Spain, but not Greece
González Hermosillo, Brenda; Johnson, Christian - 2014
Persistent link: https://www.econbiz.de/10010388660
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Contagion of fear : is the impact of COVID-19 on sovereign risk really indiscriminate?
Cevik, Serhan; Öztürkkal, Belma - 2020
This paper investigates the impact of infectious diseases on the evolution of sovereign credit default swap (CDS) spreads for a panel of 77 advanced and developing countries. Using annual data over the 2004-2020 period, we find that infectious-disease outbreaks have no discernible effect on CDS...
Persistent link: https://www.econbiz.de/10012392655