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An IV Hazard Model of Loan Default with an Application to Subprime Mortgage Cohorts
Palmer, Christopher J. - National Bureau of Economic Research - 2023
asymptotically normal. Applying my estimator to the subprime mortgage crisis, I quantify what caused the foreclosure rate to triple … standards, with a 10% decline in home prices increasing subprime mortgage default rates by 50% …
Persistent link: https://www.econbiz.de/10014447321
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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 …
Persistent link: https://www.econbiz.de/10012585384
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Mortgage Default, Foreclosure, and Bankruptcy
Li, Wenli - 2009
In this paper we examine the relationship between homeowners' bankruptcy decisions and their mortgage default decisions …
Persistent link: https://www.econbiz.de/10012463177
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Mortgage Default and Low Downpayment Loans : The Costs of Public Subsidy
Deng, Yongheng - 1995
This paper presents a unified model of the default and prepayment behavior of homeowners in a proportional hazard framework. The model uses the option-based approach to analyze default and prepayment and considers these two interdependent hazards as competing risks. The results indicate the...
Persistent link: https://www.econbiz.de/10012473695
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Florida (Un)Chained
Calomiris, Charles W.; Jaremski, Matthew S. - National Bureau of Economic Research - 2023
To understand a price boom, it is helpful to take account of: (1) observable indicators of changes in ex ante risk tolerance, (2) what information exists and when, and (3) the incentives lenders face. This paper takes such an approach to the Florida land boom of the mid-1920s, the U.S.' first...
Persistent link: https://www.econbiz.de/10014226111
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Bankruptcy Exemption of Repo Markets : Too Much Today for Too Little Tomorrow?
Acharya, Viral V.; Anshuman, V. Ravi; Viswanathan, S. - National Bureau of Economic Research - 2024
We examine the desirability of granting "safe harbor" provisions to creditors of financial intermediaries in sale-and-repurchase (repo) contracts. Exemption from an automatic stay in bankruptcy enables financial intermediaries to raise greater liquidity and induces entry of intermediaries with...
Persistent link: https://www.econbiz.de/10014468227
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Bank Funding Risk, Reference Rates, and Credit Supply
Cooperman, Harry; Duffie, Darrell; Luck, Stephan; Wang, … - National Bureau of Economic Research - 2023
Corporate credit lines are drawn more heavily when funding markets are more stressed. This covariance elevates expected bank funding costs. We show that credit supply is dampened by the associated debt-overhang cost to bank shareholders. Until 2022, this impact was reduced by linking the...
Persistent link: https://www.econbiz.de/10014226104
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Contingent Credit Under Stress
Acharya, Viral V.; Jager, Maximilian; Steffen, Sascha - National Bureau of Economic Research - 2023
Over the past two decades, banks have increasingly focused on offering contingent credit in the form of credit lines as a primary means of corporate borrowing. We review the existing body of research regarding the rationales for banks' provision of liquidity insurance in the form of credit...
Persistent link: https://www.econbiz.de/10014437040
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Did Bankruptcy Reform Cause Mortgage Default to Rise?
Li, Wenli - 2010
This paper argues that the U.S. bankruptcy reform of 2005 played an important role in the mortgage crisis and the … consequence of the reform was to cause mortgage default rates to rise …We estimate a hazard model to test whether the 2005 bankruptcy reform caused mortgage defaults to rise, using a large …
Persistent link: https://www.econbiz.de/10012462684
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Means-Tested Mortgage Modification : Homes Saved or Income Destroyed?
Mulligan, Casey B. - 2009
. I find that the federal government's means-tested mortgage modification plan creates a massive implicit tax that may be … of a public policy that left mortgage modification to lenders, subject to a requirement that modification would not be …
Persistent link: https://www.econbiz.de/10012463370