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Liquidity and real equilibrium interest rates: a framework of analysis
Stracca, Livio - 2005
This paper proposes a general equilibrium model with heterogeneous households and a financial market where each financial instrument provides liquidity services in addition to enabling a transfer of purchasing power over time. Importantly, liquidity services may be asymmetric according to...
Persistent link: https://www.econbiz.de/10011604588
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Clustering techniques applied to outlier detection of financial market series using a moving window filtering algorithm
Puigvert Gutiérrez, Josep Maria; Fortiana Gregori, Josep - 2008
In this study we combine clustering techniques with a moving window algorithm in order to filter financial market data outliers. We apply the algorithm to a set of financial market data which consists of 25 series selected from a larger dataset using a cluster analysis technique taking into...
Persistent link: https://www.econbiz.de/10011604994
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Foreclosure externalities: Some new evidence
Gerardi, Kristopher; Rosenblatt, Eric; Willen, Paul S.; … - 2012
In a recent set of influential papers, researchers have argued that residential mortgage foreclosures reduce the sale … mortgage distress on house prices. …
Persistent link: https://www.econbiz.de/10010292258
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Reducing foreclosures: No easy answers
Foote, Christopher L.; Gerardi, Kristopher; Goette, Lorenz - 2009
done to stop it. We use an economic model to focus on two key decisions: the borrower's choice to default on a mortgage and … illustrate that unaffordable loans, defined as those with high mortgage payments relative to income at origination, are unlikely …
Persistent link: https://www.econbiz.de/10010292331
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Modeling a distribution of mortgage credit losses
Gapko, Petr; Šmíd, Martin - 2010
means of past mortgage deliquency rates. We give a statistical evidence that the non-normal model is much more suitable than …
Persistent link: https://www.econbiz.de/10010322287
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Foreclosure externalities: Some new evidence
Gerardi, Kristopher S.; Rosenblatt, Eric; Willen, Paul S.; … - 2012
In a recent set of influential papers, researchers have argued that residential mortgage foreclosures reduce the sale … mortgage distress on house prices. …
Persistent link: https://www.econbiz.de/10010377447
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Driving Factors of the Subprime Crisis and Some Reform Proposals
Rudolph, Bernd; Scholz, Julia - In: CESifo DICE Report 06 (2008) 3, pp. 14-19
Persistent link: https://www.econbiz.de/10011696646
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Complex mortgages
Amromin, Gene; Huang, Jennifer; Sialm, Clemens; Zhong, … - 2010
. At the same time, they increase household leverage and heighten dependence on mortgage refinancing to escape changes in …
Persistent link: https://www.econbiz.de/10010292189
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Discounting in mortgage markets
Allen, Jason; Clark, Robert; Houde, Jean-François - 2011
This paper studies discounting in mortgage markets. Using transaction-level data on Canadian mortgages, we document … are guaranteed by government-backed insurance, meaning risk cannot be the main driver of dispersion. We find that mortgage …
Persistent link: https://www.econbiz.de/10010280018
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Do borrower rights improve borrower outcomes? Evidence from the foreclosure process
Gerardi, Kristopher; Lambie-Hanson, Lauren; Willen, Paul S. - 2012
We evaluate the effects of laws designed to protect borrowers from foreclosure. We find that these laws delay but do not prevent foreclosures. We first compare states that require lenders to seek judicial permission to foreclose with states that do not. Borrowers in judicial states are no more...
Persistent link: https://www.econbiz.de/10010292272