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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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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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Risk shocks and housing markets
Dorofeenko, Viktor; Lee, Gabriel S.; Salyer, Kevin D. - 2010
This paper analyzes the role of uncertainty in a multi-sector housing model with financial frictions. We include time varying uncertainty (i.e. risk shocks) in the technology shocks that affect housing production. The analysis demonstrates that risk shocks to the housing production sector are a...
Persistent link: https://www.econbiz.de/10010294012
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Stock returns and expected business conditions: Half a century of direct evidence
Campbell, Sean D.; Diebold, Francis X. - 2005
We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions...
Persistent link: https://www.econbiz.de/10010298269
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The mortgage rate conundrum
Justiniano, Alejandro; Primiceri, Giorgio E.; … - 2017
We document the emergence of a disconnect between mortgage and Treasury interest rates in the summer of 2003. Following … the end of the Federal Reserve expansionary cycle in June 2003, mortgage rates failed to rise according to their … historical relationship with Treasury yields, leading to significantly and persistently easier mortgage credit conditions. We …
Persistent link: https://www.econbiz.de/10012030332
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Model misspecification, the equilibrium natural interest rate and the equity premium
Tristani, Oreste - 2007
This paper analyses the determinants of the natural rate of interest in a non-linear model where agents are uncertain over both future technology growth and the future course of monetary policy. I show that the real natural rate can be affected by sizable uncertainty premia, including premia...
Persistent link: https://www.econbiz.de/10011604854
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Macro expectations, aggregate uncertainty, and expected term premia
Dick, Christian D.; Schmeling, Maik; Schrimpf, Andreas - 2010
Based on individual expectations from the Survey of Professional Forecasters, we construct a real-time proxy for expected term premium changes on long-term bonds. We empirically investigate the relation of these bond term premium expectations with expectations about key macroeconomic variables...
Persistent link: https://www.econbiz.de/10010302583
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Why have interest rates fallen far below the return on capital
Marx, Magali; Mojon, Benoît; Velde, François R. - 2018
Risk-free rates have been falling since the 1980s while the return on capital has not. We analyze these trends in a calibrated OLG model with recursive preferences, designed to encompass many of the "usual suspects" cited in the debate on secular stagnation. Declining labor force and...
Persistent link: https://www.econbiz.de/10012030344
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A Simple Model of an Oil Based Global Savings Glut – The "China Factor" and the OPEC Cartel
Belke, Ansgar; Gros, Daniel - 2009
The purpose of this contribution is to illustrate the mechanism by which higher oil prices might lead to lower interest rates in the context of a simple model that takes into account the global external savings equilibrium. The simple model has interesting implications for how one views the huge...
Persistent link: https://www.econbiz.de/10010265785