Showing 1 - 10 of 19
Surprisingly little is known about the importance of mortgage payment size for default, as efforts to measure the treatment effect of rate increases or loan modifi cations are confounded by borrower selection. We study a sample of hybrid adjustable-rate mortgages that have experienced large rate...
Persistent link: https://www.econbiz.de/10010333591
We examine the dynamic effects of credit shocks using a large data set of U.S. economic and financial indicators in a structural factor model. The identified credit shocks, interpreted as unexpected deteriorations of credit market conditions, immediately increase credit spreads, decrease rates...
Persistent link: https://www.econbiz.de/10010333628
with an increase in bank credit supply. We find evidence that greater use of credit derivatives is associated with greater … supply of bank credit for large term loans—newly negotiated loan extensions to large corporate borrowers—though not for …
Persistent link: https://www.econbiz.de/10010283448
In this paper, we provide an overview of the subprime mortgage securitization process and the seven key informational frictions that arise. We discuss the ways that market participants work to minimize these frictions and speculate on how this process broke down. We continue with a complete...
Persistent link: https://www.econbiz.de/10010283528
We study a contracting model of leverage and balance sheet size for financial intermediaries that fund their activities through collateralized borrowing. Leverage and balance sheet size increase together when measured risks decrease. When the loss distribution is exponential, the behavior of...
Persistent link: https://www.econbiz.de/10010283543
This paper examines the common factors that drive the returns of U.S. bank holding companies from 1997 to 2005. We … that the market factor clearly dominates in explaining bank returns, followed by the Fama-French factors. The bank … tend to load in the same direction on the first component. Relative to the returns of large firms in other sectors, bank …
Persistent link: https://www.econbiz.de/10010333053
had a measurable effect on the stock market valuation of the forty-two bank holding companies subject to the SEC order. I …
Persistent link: https://www.econbiz.de/10010283363
financial services, the number of U.S. bank branches has continued to increase steadily over time. Further, an increasing … lower bank-average deposits per branch and roughly equal volumes of small business loans per branch, but no reduction in net …-sized branch networks had lower bank-average deposits and small business loan volume per branch, but had lower net deposit costs …
Persistent link: https://www.econbiz.de/10010283383
particular, I find that a bank affiliated with a multi-bank holding company is significantly safer than either a stand-alone bank … or a bank affiliated with a one-bank holding company. Not only does affiliation reduce the probability of future … other banks. Moreover, the effects of affiliation are strengthened for an expanding bank holding company. However, the …
Persistent link: https://www.econbiz.de/10010283388
correlated with net interest income. At the bank level, growth rates of net interest income and noninterest income have also …
Persistent link: https://www.econbiz.de/10010283402