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Mortgage interest deductions and homeownership : an international survey

Bourassa, Steven C.; Haurin, Donald R.; Hendershott, … - 2012

The aim of this paper is to review the international evidence on the impacts of mortgage interest deductions on … constraints, permanent household income, and a set of taste variables. The relative cost of owning and renting is in part a …

Persistent link: https://www.econbiz.de/10009558474

A general equilibrium appraisal of capital shortfall

Jondeau, Eric; Sahuc, Jean-Guillaume - 2018

We quantify the capital shortfall that results from a global financial crisis by using a macro-finance dynamic stochastic general equilibrium model that captures the interactions between the financial and real sectors of the economy. We show that a crisis similar to that observed in 2008...

Persistent link: https://www.econbiz.de/10011877254

Interest rate pass-through and bank risk-taking under negative-rate policies with tiered remuneration of central bank reserves

Basten, Christoph; Mariathasan, Mike - 2020

deposit rates, but also that to mortgage rates. Second, banks’ ability to offset negative deposit margins with increased … mortgage margins is shown to depend on market power. Third, imposing negative rates on all central bank reserves causes banks …. Together with increased mortgage margins and fee income, the asset replacement preserves profits, but increases financial …

Persistent link: https://www.econbiz.de/10012419657

Money and liquidity in financial markets

Nyborg, Kjell G.; Östberg, Peter - 2010

We argue that there is a connection between the interbank market for liquidity and the broader financial markets, which has its basis in demand for liquidity by banks. Tightness in the interbank market for liquidity leads banks to engage in what we term “liquidity pull-back,” which involves...

Persistent link: https://www.econbiz.de/10003979994

Arbitrage crashes, financial accelerator, and sudden market freezes

Zhang, Ally Quan - 2017 - Last update: November 18, 2017, preliminary draft

We investigate the channel through which fluctuations in the market liquidity of real-sector repo collateral cause arbitrage crashes and failure of systemically important intermediaries during the global financial crisis. Intermediaries pledge productive capital as repo collateral to fund the...

Persistent link: https://www.econbiz.de/10011875637

The pricing of asset-backed securities and households' pecking order of debt

Füss, Roland; Meyland, Dominik; Morkoetter, Stefan - 2024 - This version: October 2024

Persistent link: https://www.econbiz.de/10015192712

(When) do banks react to anticipated capital reliefs?

Arnould, Guillaume; Guin, Benjamin; Ongena, Steven; … - 2020

publication. We use unique data covering the population of all mortgage transactions in the UK complemented with regulatory risk …

Persistent link: https://www.econbiz.de/10012421476

Approximating equilibria with ex-post heterogeneity and aggregate risk

Pröhl, Elisabeth - 2017

Dynamic stochastic general equilibrium models with ex-post heterogeneity due to idiosyncratic risk have to be solved numerically. This is a nontrivial task as the cross-sectional distribution of endogenous variables becomes an element of the state space due to aggregate risk. Existing global...

Persistent link: https://www.econbiz.de/10011875645

Incomplete financial markets, the social cost of carbon and constrained efficient carbon pricing

Kubler, Felix - 2024

Persistent link: https://www.econbiz.de/10014517299

Facelifting in utility maximization

Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan - 2014

We establish the existence and characterization of a primal and a dual facelift - discontinuity of the value function at the terminal time - for utility maximization in incomplete semimartingale-driven financial markets. Unlike in the lower- and upper-hedging problems, and somewhat unexpectedly,...

Persistent link: https://www.econbiz.de/10010442910