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Cyclical Lending Standards : A Structural Analysis

Chen, Kaiji; Higgins, Patrick C.; Zha, Tao A. - 2022

model estimation reveals that an exogenous shock to credit supply drives cyclical lending standards and accounts for a …

Persistent link: https://www.econbiz.de/10013321832

Group Lending with Heterogeneous Types

Gan, Li - 2013

estimate the model using a rich dataset from a group lending program in India. The estimation results support our model …

Persistent link: https://www.econbiz.de/10013082793

Unemloyment and Unobserved Credit Risk in the FHA Single Family Mortgage Insurance Fund

Gyourko, Joseph - 2013

Empirical models of mortgage default typically find that the influence of unemployment is negligible compared to other well known risk factors such as high borrower leverage or low borrower FICO scores. This is at odds with theory, which assigns a critical role to unemployment status in the...

Persistent link: https://www.econbiz.de/10013085488

The Marginal Propensity to Consume Over the Business Cycle

Gross, Tal - 2016

This paper estimates how the marginal propensity to consume (MPC) varies over the business cycle by exploiting exogenous variation in credit card borrowing limits. Ten years after an individual declares Chapter 7 bankruptcy, the record of the bankruptcy is removed from her credit report,...

Persistent link: https://www.econbiz.de/10012984775

When is There a Strong Transfer Risk from the Sovereigns to the Corporates? Property Rights Gaps and CDS Spreads

Bai, Jennie - 2014

When a sovereign faces the risk of debt default, it may be tempted to expropriate the private sector. This may be one reason for why international investment in private companies has to take into account the sovereign risk. But the likelihood of a transfer from the sovereign risk to corporate...

Persistent link: https://www.econbiz.de/10013054883

Quantifying Liquidity and Default Risks of Corporate Bonds Over the Business Cycle

Chen, Hui - 2018

corporate bond pricing. By explicitly modeling debt rollover and by endogenizing the holding costs via collateralized financing … spreads, and bond liquidity measures including Bond-CDS spreads and bid-ask spreads in the data. Through a structural … quantitatively evaluate the effects of liquidity-provision policies for the corporate bond market …

Persistent link: https://www.econbiz.de/10012937688

Financial Dampening

Wieland, Johannes - 2016

We propose a novel mechanism, “financial dampening,” whereby loan retrenchment by banks attenuates the effectiveness of monetary policy. The theory unifies an endogenous supply of illiquid local loans and risk-sharing among subsidiaries of bank holding companies (BHCs). We derive an...

Persistent link: https://www.econbiz.de/10012995512

The Determinants of Stock and Bond Return Comovements

Baele, Lieven - 2010

We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We … stock and bond return correlations, but that other factors, especially liquidity proxies, play a more important role. The … macro factors are still important in fitting bond return volatility; whereas the "variance premium" is critical in …

Persistent link: https://www.econbiz.de/10013151357

Common Failings : How Corporate Defaults are Correlated

Das, Sanjiv Ranjan - 2010

under which firms'default times are correlated only as implied by the correlation of factors determining their default …

Persistent link: https://www.econbiz.de/10012761779

The Effect of Credit Constraints on the College Drop-Out Decision a Direct Approach Using a New Panel Study

Stinebrickner, Todd R. - 2007

A serious difficulty in determining the importance of credit constraints in education arises because standard data sources do not provide a direct way of identifying which students are credit constrained. This has forced researchers to adopt a variety of indirect approaches. This paper...

Persistent link: https://www.econbiz.de/10012776191

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