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Asset pricing with cohort-based trading in MBS markets
Fusari, Nicola; Li, Wei; Liu, Haoyang; Song, Zhaogang - 2021 - Revised July 2021
Agency mortgage backed securities (MBS) with diverse characteristics are traded in parallel with individualized contracts in the specified pool (SP) market and with standardized contracts in the to-be-announced (TBA) market. We find that this unique parallel trading environment significantly...
Persistent link: https://www.econbiz.de/10012240625
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Liquidity Crises in the Mortgage Market
Kim, You - 2020
Non-banks originated about half of all mortgages in 2016, and 75% of mortgages insured by the FHA or VA. Both shares … are vulnerable to liquidity pressures in both their loan origination and servicing activities, and we document that this … sector in aggregate appears to have minimal resources to bring to bear in a stress scenario. We show how the same liquidity …
Persistent link: https://www.econbiz.de/10012852711
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What Drives Mortgage Default Risk in Europe and the U.S.?
Gross, Marco; Tressel, Thierry; Ding, Xiaodan; Tereanu, … - 2022
We present an analysis of the sensitivity of household mortgage probabilities of default (PDs) and loss given default (LGDs) on unemployment rates, house price growth, interest rates, and other drivers. A structural micro-macro simulation model is used to that end. It is anchored in the balance...
Persistent link: https://www.econbiz.de/10013291773
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Credit Risk Model : Assessing Default Probability of Mortgage Loan Borrower
Ergeshidze, Aleksandre - 2017
process by various researchers and financial market participants. New regulations forced commercial banks to improve credit … risk management and existing statistical models. This paper, based on data obtained from three major banks of Georgia … of the model within the sample equals to 93.4%. Findings of this study will enable commercial banks in Georgia to improve …
Persistent link: https://www.econbiz.de/10012947708
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Introduction of an income contingent repayment scheme for non-performing mortgage loans : lessons from Hungary's case
Berlinger, Edina; Walter, György - 2015
In Hungary, more than 22% of the FX mortgage portfolio is non-performing and the tendency is worsening. In this paper we propose a solution to effectively reduce the credit and systemic risk inherent to this portfolio, but the proposed model can be applied to other mortgage portfolios in...
Persistent link: https://www.econbiz.de/10010463924
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Mortgage Lending, Monetary Policy, and Prudential Measures in Small Euro-Area Economies : Evidence from Ireland and the Netherlands
Everett, Mary - 2019
This paper examines whether the increased use of macroprudential policies since the global financial crisis has affected the impact of (euro area and foreign) monetary policy on mortgage lending in Ireland and the Netherlands, which are both small open economies in the euro area. Using...
Persistent link: https://www.econbiz.de/10012858246
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Non-Primary Home Buyers, Shadow Banking, and the US Housing Market
Alter, Adrian; Dernaoui, Zaki - 2021
This paper studies the US housing market using a proprietary and comprehensive dataset covering nearly 90 million residential transactions over 1998-2018. First, we document the evolution of different types of investment purchases such as those conducted by short-term buyers, out-of-state...
Persistent link: https://www.econbiz.de/10013315117
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Betting the House
Jordà, Òscar - 2015
Is there a link between loose monetary conditions, credit growth, house price booms, and financial instability? This paper analyzes the role of interest rates and credit in driving house price booms and busts with data spanning 140 years of modern economic history in the advanced economies. We...
Persistent link: https://www.econbiz.de/10013031150
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The impact of sectoral macroprudential capital requirements on mortgage loan pricing: Evidence from the Belgian risk weight add-on
Ferrari, Stijn; Pirovano, Mara; Rovira Kaltwasser, Pablo - 2016
resilience of Belgian banks against adverse developments in the real estate market. This paper assesses the impact of this … macroprudential measure on mortgage lending spreads. Our results indicate that affected banks reacted heterogeneously to the … introduction of the measure. Specifically, mortgage-specialised and capital-constrained banks increase mortgage lending spreads by …
Persistent link: https://www.econbiz.de/10011786061
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Loan-to-value policy as a macroprudential tool : the case of residential mortgage loans in Asia
Morgan, Peter J.; Regis, Paulo José; Salike, Nimesh - 2015
analyzes the effect of LTV on mortgage lending, the direct channel of influence, using a large sample of banks in 10 Asian …
Persistent link: https://www.econbiz.de/10010526757