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Mortgage Finance in the Face of Rising Climate Risk
Ouazad, Amine - 2019
securitized mortgages. This paper uses the impact of one such sharp rule, the conforming loan limit, on securitization volumes. We … securitization activity in years following such a billion-dollar disaster. Such increase is larger in neighborhoods for which such a …
Persistent link: https://www.econbiz.de/10012480267
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Agency MBS as Safe Assets
He, Zhiguo; Song, Zhaogang - National Bureau of Economic Research - 2022
Measured as yield spreads against AAA corporate bonds, the convenience premium of agency MBS averages 47 basis points over 1995 - 2021, about half of the long-term-Treasury convenience premium. Both MBS convenience premium and issuance amount depend on mortgage rate negatively, consistent with a...
Persistent link: https://www.econbiz.de/10013190993
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Why Did U.S. Banks Invest in Highly-Rated Securitization Tranches?
Erel, Isil - 2011
-rated tranches. We find, however, that banks active in securitization held more highly-rated tranches. Such a result can be …
Persistent link: https://www.econbiz.de/10012461388
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The Secular Decline of Bank Balance Sheet Lending
Buchak, Greg; Matvos, Gregor; Piskorski, Tomasz; Seru, Amit - National Bureau of Economic Research - 2024
intermediated through arms-length transactions, such as securitization. This paper documents these trends, explores their causes … structural model to explore whether technological improvements in securitization, shifts in saver preferences away from deposits …, and changes in implicit subsidies and costs of bank activities can explain these shifts. Declines in securitization cost …
Persistent link: https://www.econbiz.de/10014486266
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The Effect of Principal Reduction on Household Distress : Evidence from Mortgage Cramdown
Cespedes, Jacelly C.; Parra, Carlos R.; Sialm, Clemens - National Bureau of Economic Research - 2021
Mortgage cramdown enabled bankruptcy judges to discharge the underwater portion of a mortgage during Chapter 13 bankruptcy before the Supreme Court disallowed this practice in 1993. We exploit the random assignment of cases to judges to quantify the ex-post effects of Chapter 13 bankruptcy over...
Persistent link: https://www.econbiz.de/10012585384
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Collateral Damage : The Impact of Shale Gas on Mortgage Lending
Chen, Yanyou; Roberts, James W.; Timmins, Christopher; … - National Bureau of Economic Research - 2021
We analyze mortgage lenders' behavior with respect to shale gas risk during the period of the U.S. shale gas boom, which coincided with fluctuations in the U.S. housing market and increased scrutiny in the lending industry. Shale gas operations have the potential to place affected houses into...
Persistent link: https://www.econbiz.de/10012696403
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Understanding the Ownership Structure of Corporate Bonds
Koijen, Ralph S. J.; Yogo, Motohiro - National Bureau of Economic Research - 2022
Insurers are the largest institutional investors of corporate bonds. However, a standard theory of insurance markets, in which insurers maximize firm value subject to regulatory or risk constraints, predicts no allocation to corporate bonds. We resolve this puzzle in an equilibrium asset pricing...
Persistent link: https://www.econbiz.de/10012814454
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Sorting Out the Real Effects of Credit Supply
Chang, Briana; Gomez, Matthieu; Hong, Harrison G. - National Bureau of Economic Research - 2021
We document that banks which cut lending more during the Great Recession were lending to riskier firms. To explain this evidence, we build a competitive matching model of bank-firm relationships in which risky firms borrow from banks with low holding costs. Based on default probabilities and...
Persistent link: https://www.econbiz.de/10012533391
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What Makes US Government Bonds Safe Assets?
He, Zhiguo - 2016
US government bonds are widely considered to be the world's safe store of value. US government bonds are a large fraction of safe asset portfolios, such as the porfolios of many central banks. The world demand for safe assets leads to low yields on US Treasury bonds. During periods of economic...
Persistent link: https://www.econbiz.de/10012456656
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Rent Guarantee Insurance
Abramson, Boaz; Nieuwerburgh, Stijn van - National Bureau of Economic Research - 2024
A rent guarantee insurance (RGI) policy makes a limited number of rent payments to the landlord on behalf of an insured tenant unable to pay rent due to a negative income or health expenditure shock. We introduce RGI in a rich quantitative equilibrium model of housing insecurity and show it...
Persistent link: https://www.econbiz.de/10014576611