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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 …
Persistent link: https://www.econbiz.de/10009558474
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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
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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
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How resilient is mortgage credit supply? : evidence from the Covid-19 pandemic
Fuster, Andreas; Hizmo, Aurel; Lambie-Hanson, Lauren; … - 2021
We study the evolution of US mortgage credit supply during the COVID-19 pandemic. Although the mortgage market … affect rates on “plain vanilla” conforming mortgages, but it did lead to higher spreads on mortgages without government … guarantees and loans to the riskiest borrowers. Mortgage-backed securities purchases by the Federal Reserve also supported the …
Persistent link: https://www.econbiz.de/10012593674
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Heterogeneity in decentralized asset markets
Hugonnier, Julien; Lester, Benjamin; Weill, Pierre-Olivier - 2014
We study a search and bargaining model of an asset market, where investors' heterogeneous valuations for the asset are drawn from an arbitrary distribution. Our solution technique makes the model fully tractable and allows us to provide a full characterization of the unique equilibrium, in...
Persistent link: https://www.econbiz.de/10011293789
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Bank bonus pay as a risk sharing contract
Efing, Matthias; Hau, Harald; Kampkötter, Patrick; … - 2018
We argue that risk sharing motivates the bank-wide structure of bonus pay. In the presence of financial frictions that make external financing costly, the optimal contract between shareholders and employees involves some degree of risk sharing whereby bonus pay partially absorbs earnings shocks....
Persistent link: https://www.econbiz.de/10011938641
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Mortgage-backed securities
Fuster, Andreas; Lucca, David O.; Vickery, James - 2022
This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in … economic effects of mortgage securitization. We also assemble descriptive statistics about market size, growth, security … the MBS market and mortgage securitization …
Persistent link: https://www.econbiz.de/10013168786
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Asymmetric information and the securitization of SME loans
Albertazzi, Ugo; Bottero, Margherita; Gambacorta, Leonardo - 2021
Using all loans granted to firms recorded in the Italian credit register, we estimate correlations between risk-transfer and default probabilities to gauge the severity of informational asymmetries in the loan securitization market. First, the analysis confirms the presence of information...
Persistent link: https://www.econbiz.de/10012487672
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Climate change risk and the costs of mortgage credit
Nguyen, Duc Duy; Ongena, Steven; Qi, Shusen; Sila, Vathunyoo - 2020
We show that lenders charge higher interest rates for mortgages on properties exposed to a greater risk of sea level … in areas with more climate change deniers. Overall, our results suggest that mortgage lenders view the risk of SLR as a … mortgage markets …
Persistent link: https://www.econbiz.de/10012419646
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(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