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Extracting market expectations from option prices: case studies in Japanese option markets

Nakamura, Hisashi; Shiratsuka, Shigenori - Federal Reserve Bank of Chicago - 1999

This paper focuses on the recently developing financial derivatives markets, and examines the usefulness of option prices as an information variable for monetary policy implementation. A set of option prices provides us with information on the whole probability distribution of the future values...

Persistent link: https://www.econbiz.de/10005419977

Derivatives and systemic risk: netting, collateral, and closeout

Bliss, Robert R.; Kaufman, George - Federal Reserve Bank of Chicago - 2005

In the U.S., as in most countries with well-developed securities markets, derivative securities enjoy special protections under insolvency resolution laws. Most creditors are “stayed” from enforcing their rights while a firm is in bankruptcy. However, many derivatives contracts are exempt...

Persistent link: https://www.econbiz.de/10005420016

Netting, financial contracts, and banks: the economic implications

Bergman, William; Bliss, Robert; Johnson, Christian; … - Federal Reserve Bank of Chicago - 2004

Derivatives and certain other off-balance sheet contracts enjoy special legal protection on insolvent counterparties through a process referred to as 'close-out netting.' This paper explores the legal status and economic implications of this protection. While this protection benefits major...

Persistent link: https://www.econbiz.de/10005420020

Thoughts on financial derivatives, systematic risk, and central banking: a review of some recent developments

Hunter, William C.; Marshall, David - Federal Reserve Bank of Chicago - 1999

This paper critically reviews the literature examining the role of central banks in addressing systemic risk. We focus on how the growth in derivatives markets might affect that role. Analysis of systemic risk policy is hampered by the lack of a consensus theory of systemic risk. We propose a...

Persistent link: https://www.econbiz.de/10005726301

Does the Community Reinvestment Act influence lending? an analysis of changes in bank low-income mortgage activity

Dahl, Drew; Evanoff, Douglas D.; Spivey, Michael F. - Federal Reserve Bank of Chicago - 2000

Anecdotal evidence that the Community Reinvestment Act (CRA) influences the lending behavior of financial institutions has not been uniformly supported by empirical research. We revisit this issue by evaluating changes in low-income mortgage lending at commercial banks over the 1992-96 period....

Persistent link: https://www.econbiz.de/10005420033

First-time home buyers and residential investment volatility

Fisher, Jonas D. M.; Gervais, Martin - Federal Reserve Bank of Chicago - 2007

Like other macroeconomic variables, residential investment has become much less volatile since the mid-1980s (recent experience notwithstanding.) This paper explores the role of structural change in this decline. Since the early 1980s there have been many changes in the underlying structure of...

Persistent link: https://www.econbiz.de/10005420035

Complex mortgages

Amromin, Gene; Huang, Jennifer; Sialm, Clemens; Zhong, … - Federal Reserve Bank of Chicago - 2010

Complex mortgages became a popular borrowing instrument during the bullish housing market of the early 2000s but … mortgages) enable households to postpone loan repayment compared to traditional mortgages and hence relax borrowing constraints … contract terms. We document that complex mortgages were chosen by prime borrowers with high income levels seeking to purchase …

Persistent link: https://www.econbiz.de/10008764399

Credit Supply and the Housing Boom

Justiniano, Alejandro; Primiceri, Giorgio E.; … - Federal Reserve Bank of Chicago - 2014

The housing boom that preceded the Great Recession was due to an increase in credit supply driven by looser lending constraints in the mortgage market. This view on the fundamental drivers of the boom is consistent with four empirical observations: the unprecedented rise in home prices and...

Persistent link: https://www.econbiz.de/10011099908

Market-based loss mitigation practices for troubled mortgages following the financial crisis

Agarwal, Sumit; Amromin, Gene; Ben-David, Itzhak; … - Federal Reserve Bank of Chicago - 2011

show that the majority of delinquent mortgages do not enter any loss mitigation program or become a part of foreclosure …

Persistent link: https://www.econbiz.de/10008852882

The role of securitization in mortgage renegotiation

Agarwal, Sumit; Amromin, Gene; Ben-David, Itzhak; … - Federal Reserve Bank of Chicago - 2011

We study the effects of securitization on renegotiation of distressed residential mortgages over the current financial … 36% more likely to be renegotiated than comparable securitized mortgages (4.2 to 5.7% in absolute terms). Also …

Persistent link: https://www.econbiz.de/10008852883