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A dynamic look at subprime loan performance

Danis, Michelle A. (contributor); … - 2005

whether delinquency has any predictive power of the future performance of a mortgage. Using a sample of subprime mortgages … from the loan performance database on securitized private-label pool collateral, we utilize a two-step estimation procedure … to control for the endogeneity of delinquency in an estimation of default and prepayment probabilities. We find strong …

Persistent link: https://www.econbiz.de/10002977392

Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates

Thornton, Daniel L. (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002115886

Thin capitalization rules and multinational firm capital structure

Blouin, Jennifer L.; Huizinga, Harry; Laeven, Luc; … - 2013

Persistent link: https://www.econbiz.de/10010358553

US interest rates : are relations stable?

Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024

In this paper, we assess whether key relations between US interest rates have been stable over time. This is done by estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury bill rate, the slope of the Treasury yield curve...

Persistent link: https://www.econbiz.de/10014490330