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Boom-bust cycles : leveraging, complex securities, and asset prices

Semmler, Willi; Bernard, Lucas - In: Journal of economic behavior & organization : JEBO 81 (2012) 2, pp. 442-465

Persistent link: https://www.econbiz.de/10009626477

Asset portfolio securitizations and cyclicality of regulatory capital

Lützenkirchen, Kristina; Rösch, Daniel; Scheule, Harald - In: European journal of operational research : EJOR 237 (2014) 1, pp. 289-302

Persistent link: https://www.econbiz.de/10010378603

Leverage pro-cyclicality and securitization in US banking

Beccalli, Elena; Boitani, Andrea; Di Giuliantonio, Sonia - In: Journal of financial intermediation 24 (2015) 2, pp. 200-230

Persistent link: https://www.econbiz.de/10011387650

Securitization of subprime credit and the propagation of housing shocks

Yamout, Nadine - In: Journal of economics & business 125/126 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014452671

Credit Cycles, Securitization, and Credit Default Swaps

Peña, Juan Ignacio - 2019

We present a limits-to-arbitrage model to study the impact of securitization, leverage and credit risk protection on …. Unlevered securitization together with mis-pricing of securitized assets increases lending cyclicality, favoring credit booms … and busts. Leverage changes the state of affairs with respect to the simple securitization. First, the volume of real …

Persistent link: https://www.econbiz.de/10012895513

An overview of the Fed's new credit policy tools and their cushioning effect on the COVID-19 recession

Bordo, Michael D.; Duca, John V. - In: Journal of government and economics : JGE 3 (2021), pp. 1-10

The economics literature lacks articles that provide a broad roadmap-let alone a logical explanation-of the new set of Federal Reserve policy tools that were created to counter the COVID-19 recession. This study provides an overview of the motivation for these new credit-easing programs-namely...

Persistent link: https://www.econbiz.de/10012800421

Agency MBS as Safe Assets

He, Zhiguo; Song, Zhaogang - 2022

Measured as yield spreads against AAA corporate bonds, the convenience premium for agency MBS averaged 47 basis points between 1995 and 2021, about half of the long-term-Treasury convenience premium. Both the MBS convenience premium and the issuance amount vary negatively with the mortgage rate,...

Persistent link: https://www.econbiz.de/10013492118

Commercial bank failures during The Great Recession : the real (estate) story

Antoniades, Adonis - 2015

Persistent link: https://www.econbiz.de/10011437591

CMBS market efficiency : the crisis and the recovery

Christopoulos, Andreas D.; Jarrow, Robert A. - In: Journal of financial stability 36 (2018), pp. 159-186

Persistent link: https://www.econbiz.de/10012156900

The financial accelerator in the euro area : new evidence using a mixture VAR model

Bennani, Hamza; Burgard, Jan Pablo; Neuenkirch, Matthias - 2021 - This Version: July 22, 2021

We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 2003Q1-2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy transmission can be described as mixture of two states (e.g.,...

Persistent link: https://www.econbiz.de/10012320523

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