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Fed liftoff and subprime loan interest rates : evidence from the peer-to-peer lending market

Bertsch, Christoph; Hull, Isaiah; Zhang, Xin - 2016

On December 16th of 2015, the Fed initiated "liftoff," raising the federal funds rate range by 25 basis points and ending a 7-year regime of near-zero rates. We use a unique dataset of 640,000 loan-hour observations to measure the impact of liftoff on interest rates in the peer-to-peer lending...

Persistent link: https://www.econbiz.de/10011457389

Higher bank capital requirements and mortgage pricing : evidence from the Counter-Cyclical Capital Buffer

Basten, Christoph; Koch, Cathérine - 2014

We examine mortgage pricing before and after Switzerland was the first country to activate the Counter-Cyclical Capital … Buffer of Basel III. Observing multiple mortgage offers per request, we obtain three core findings. First, capitalconstrained … and mortgage-specialized banks raise their rates relatively more. Second, risk-weighting schemes supposed to discriminate …

Persistent link: https://www.econbiz.de/10010402680

commercial mortgage-backed securities

Eichholtz, Piet; Ongena, Steven; Yönder, Erkan - 2019

Comparing banks to non-bank lenders, we investigate whether the geographical distance between lenders, borrowers and their properties is reflected in the pricing of US mortgages that were included in US CMBS pools during the 2000 to 2017 period. The difference in loan spread when bank-borrower...

Persistent link: https://www.econbiz.de/10012134672

Credit Risk in Commercial Real Estate Bank Loans : The Role of Idiosyncratic versus Macro-Economic Factors

Mokas, Dimitris - 2019

The commercial real estate market is pro-cyclical. This feature, together with the relative size of the industry and the large capital inflows, has made this sector relevant for financial stability. Using a novel loan level data set covering the commercial real estate portfolios of Dutch banks...

Persistent link: https://www.econbiz.de/10012863514

Impact of Mortgage Soft Information in Loan Pricing on Default Prediction using Machine Learning

Luong, Mai; Scheule, Harald (Harry); Wanzare, Nitya - 2022

We analyse the impact of soft information on US mortgages for default prediction and provide a new measure for lender soft information that is based on the interest rates offered to borrowers and incremental to public hard information. Hard and soft information provide for a variation in annual...

Persistent link: https://www.econbiz.de/10014236050

Toxic asset subsidies and the early redemption of talf loans

Wilson, Linus - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-20

predict the early redemption of Term Asset-Backed Securities Loan Facility (TALF) loans used to purchase commercial mortgage …

Persistent link: https://www.econbiz.de/10013252762

Impact of mortgage soft information in loan pricing on default prediction using machine learning

Luong, Thi Mai; Scheule, Harald; Wanzare, Nitya - In: International review of finance : the official journal … 23 (2023) 1, pp. 158-186

Persistent link: https://www.econbiz.de/10014251350

Does CFPB oversight crimp credit?

Fuster, Andreas; Plosser, Matthew; Vickery, James - 2018

evidence that CFPB oversight significantly reduces the overall volume of mortgage lending. However, we find some evidence of …

Persistent link: https://www.econbiz.de/10011868541

Government litigation risk and the decline in low-income mortgage lending

Frame, W. Scott; Gerardi, Kristopher; Mayer, Erik J.; … - 2024

Federal Housing Administration (FHA) mortgage insurance program. The suits led to more than $5 billion in settlements and … exit has significantly reduced low-income households' overall access to mortgage credit. …

Persistent link: https://www.econbiz.de/10014582832

Bank Loans Pricing and Basel II : A Multi-Period Risk-Adjusted Methodology Under the New Regulatory Constraints

Curcio, Domenico - 2011

Under the new Basel II regulatory framework, the need for an effective risk-adjusted pricing mechanism has become even more central in banking than in the past: banks are spurred to develop risk-adjusted measures, to avoid wasteful customers' cross-subsidization and support the value creation...

Persistent link: https://www.econbiz.de/10013131209

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