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Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

Diebold, Francis X. - 2010

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …

Persistent link: https://www.econbiz.de/10012759516

The Panic of 2007

Gorton, Gary B. - 2010

How did problems with subprime mortgages result in a systemic crisis, a panic? The ongoing Panic of 2007 is due to a loss of information about the location and size of risks of loss due to default on a number of interlinked securities, special purpose vehicles, and derivatives, all related to...

Persistent link: https://www.econbiz.de/10012758346

The Subprime Panic

Gorton, Gary B. - 2008

Understanding the ongoing credit crisis or panic requires understanding the designs of a number of interlinked securities, special purpose vehicles, and derivatives, all related to subprime mortgages. I describe the relevant securities, derivatives, and vehicles to show: (1) how the chain of...

Persistent link: https://www.econbiz.de/10012769874

Real Effects of the Subprime Mortgage Crisis : Is it a Demand or a Finance Shock?

Tong, Hui - 2008

We develop a methodology to study whether and how a financial-sector crisis can spill over to the real economy, and apply it to the case of the ongoing subprime mortgage crisis. If there is a spillover, does it manifest itself primarily by reducing consumer confidence and consumer demand? Is...

Persistent link: https://www.econbiz.de/10012770788

Forbearance by Contract : How Building and Loans Mitigated the Mortgage Crisis of the 1930s

Fleitas, Sebastián - 2015

During the Great Depression, Building and Loans (B&Ls), the leading home lenders, had a structure that mitigated the crisis. Borrowers were owners of the B&L and dissolution of the institution required a two-thirds majority vote. Using panel data from New Jersey in the 1930s, we find that this...

Persistent link: https://www.econbiz.de/10013010293

Wall Street and the Housing Bubble

Cheng, Ing-Haw - 2015

We analyze whether mid-level managers in securitized finance were aware of the housing bubble and a looming crisis in 2004-2006 using their personal home transaction data. To the extent that the practice of securitization may have led to lax screening of subprime borrowers, we find that the...

Persistent link: https://www.econbiz.de/10013035815

A New Look at the U.S. Foreclosure Crisis : Panel Data Evidence of Prime and Subprime Borrowers from 1997 to 2012

Ferreira, Fernando V. - 2015

Utilizing new panel micro data on the ownership sequences of all types of borrowers from 1997-2012 leads to a reinterpretation of the U.S. foreclosure crisis as more of a prime, rather than a subprime, borrower issue. Moreover, traditional mortgage default factors associated with the economic...

Persistent link: https://www.econbiz.de/10013021028

Debt Constraints and Employment

Kehoe, Patrick - 2016

During the Great Recession, regions of the United States that experienced the largest declines in household debt also experienced the largest drops in consumption, employment, and wages. Employment declines were larger in the nontradable sector and for firms that were facing the worst credit...

Persistent link: https://www.econbiz.de/10012983418

A Dynamic Model of Subprime Mortgage Default : Estimation and Policy Implications

Bajari, Patrick - 2013

The increase in defaults in the subprime mortgage market is widely held to be one of the causes behind the recent financial turmoil. Key issues of policy concern include quantifying the role of various factors, such as home price declines and loosened underwriting standards, in the recent...

Persistent link: https://www.econbiz.de/10013085919

The Role of Mortgage Brokers in the Subprime Crisis

Berndt, Antje - 2013

Prior to the subprime crisis, mortgage brokers originated about 65% of all subprime mortgages. Yet little is known about their behavior during the runup to the crisis. Using data from New Century Financial Corporation, we find that brokers earned an average revenue of $5,300 per funded loan. We...

Persistent link: https://www.econbiz.de/10013094548

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