We estimate the conditional distribution of trade-to-trade price changes using ordered probit, a statistical model for …-time/discrete-state models of discrete transaction prices, ordered probit can capture the effects of other economic variables on price changes … U.S. stocks, we estimate the ordered probit model via maximum likelihood and use the parameter estimates to measure …

total demand in a city pair to different itineraries. Multinomial logit (MNL) models are commonly used in practice and …

Empirical models of mortgage default typically find that the influence of unemployment is negligible compared to other … assigns a critical role to unemployment status in the decision to stop payment on a mortgage. We help reconcile this …

We document the portfolio activity of federal housing agencies and provide evidence on its impact on mortgage markets … in agency mortgage holdings. Based on those regulatory events that we classify as unrelated to short-run cyclical or … credit market shocks, we find that an increase in mortgage purchases by the agencies boosts mortgage lending, in particular …

Elasticity of Intertemporal Substitution (EIS). In the UK, the mortgage interest rate features discrete jumps – notches – at …

We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns in which …

in total mortgage issuance. Using a nine-country panel and instrumental variables methods, we present evidence that near …-term (one-year) rational expectations of future movements in ARM rates do affect mortgage choice, particularly in more recent …