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Leverage and Beliefs : Personal Experience and Risk Taking in Margin Lending
Koudijs, Peter - 2014
What determines risk-bearing capacity and the amount of leverage in financial markets? Using unique archival data on collateralized lending, we show that personal experience can affect individual risk-taking and aggregate leverage. When an investor syndicate speculating in Amsterdam in 1772 went...
Persistent link: https://www.econbiz.de/10013057407
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Bank Quality, Judicial Efficiency and Borrower Runs : Loan Repayment Delays in Italy
Schiantarelli, Fabio - 2016
Exposure to liquidity risk makes banks vulnerable to runs from both depositors and from wholesale, short-term investors. This paper shows empirically that banks are also vulnerable to run-like behavior from borrowers who delay their loan repayments (default). Firms in Italy defaulted more...
Persistent link: https://www.econbiz.de/10012997894
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Generalized Moments Estimation for Panel Data
Druska, Viliam; Horrace, William C. - 2021
This paper considers estimation of a panel data model with disturbances that are autocorrelated across cross … estimate spatial dependence parameters. For the case where the time dimension is small (the usual panel data case), we develop … Kelejian and Prucha. We apply this approach in a stochastic frontier framework to a panel of Indonesian rice farms where …
Persistent link: https://www.econbiz.de/10013232767
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Did the Community Reinvestment Act (Cra) Lead to Risky Lending?
Agarwal, Sumit - 2012
Yes, it did. We use exogenous variation in banks' incentives to conform to the standards of the Community Reinvestment Act (CRA) around regulatory exam dates to trace out the effect of the CRA on lending activity. Our empirical strategy compares lending behavior of banks undergoing CRA exams...
Persistent link: https://www.econbiz.de/10013096848
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Non-Core Bank Liabilities and Financial Vulnerability
Hahm, Joon-Ho - 2012
evidence in a panel probit study of emerging and developing economies …
Persistent link: https://www.econbiz.de/10013100127
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Procyclical Leverage and Value-at-Risk
Adrian, Tobias - 2013
The availability of credit varies over the business cycle through shifts in the leverage of financial intermediaries. Empirically, we find that intermediary leverage is negatively aligned with the banks' Value-at-Risk (VaR). Motivated by the evidence, we explore a contracting model that captures...
Persistent link: https://www.econbiz.de/10013083803
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Do Banks Pass Through Credit Expansions to Consumers Who Want to Borrow?
Agarwal, Sumit - 2015
estimating heterogeneous MPBs and MPLs in the U.S. credit card market. Using panel data on 8.5 million credit cards and 743 …
Persistent link: https://www.econbiz.de/10013015102
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The Insurance is the Lemon : Failing to Index Contracts
Hartman-Glaser, Barney - 2019
We model the widespread failure of contracts to share risk using available indices. A borrower and lender can share risk by conditioning repayments on an index. The lender has private information about the ability of this index to measure the true state that the borrower would like to hedge. The...
Persistent link: https://www.econbiz.de/10012894992
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Default Risk Sharing between Banks and Markets : The Contribution of Collateralized Debt Obligations
Franke, Guenter - 2010
This paper contributes to the economics of financial institutions risk management by exploring how loan securitization affects their default risk, their systematic risk, and their stock prices. In a typical CDO transaction a bank retains through a first loss piece a very high proportion of the...
Persistent link: https://www.econbiz.de/10012761910
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Credit Building or Credit Crumbling? A Credit Builder Loan's Effects on Consumer Behavior, Credit Scores and Their Predictive Power
Burke, Jeremy - 2019
How does the large market for credit score improvement products affect consumers and market efficiency? For consumers, we use a randomized encouragement design on a standard credit builder loan (CBL) and find null average effects on scores. But a generalized random forest algorithm finds...
Persistent link: https://www.econbiz.de/10012865281