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Bayesian loss given default estimation for European sovereign bonds
Jobst, Rainer; Kellner, Ralf; Rösch, Daniel - In: International journal of forecasting 36 (2020) 3, pp. 1073-1091
Persistent link: https://www.econbiz.de/10012497723
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House Price Expectations and Mortgage Default Decisions
Ma, Chao - 2016
If mortgage borrowers default strategically, their future house price expectations should affect their present mortgage …
Persistent link: https://www.econbiz.de/10013002369
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Residential property loans and bank performance during property price booms : evidence from Europe
Martins, António Miguel; Serra, Ana Paula; Martins, … - 2014
Persistent link: https://www.econbiz.de/10010387948
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Residential property loans and bank performance during property price booms : evidence from Europe
Martins, António Miguel; Serra, Ana Paula; Martins, … - In: Annals of economics and finance 20 (2019) 1, pp. 247-295
Persistent link: https://www.econbiz.de/10012110494
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The determinants of mortgage defaults in Australia : evidence for the double-trigger hypothesis
Bergmann, Michelle - 2020
Persistent link: https://www.econbiz.de/10013263031
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Mortgage choice, house price externalities, and the default rate
Shi, Xinyan; Riley, Sarah F. - In: Journal of housing economics 26 (2014), pp. 139-150
Persistent link: https://www.econbiz.de/10011286216
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Macroeconomic Effects of Bankruptcy & Foreclosure Policies
Mitman, Kurt - 2015
I develop an equilibrium model of housing and default to jointly analyze the effects of bankruptcy and foreclosure policies. Heterogeneous households have access to mortgages and unsecured credit and can default separately on both types of debt. I show that the interaction between foreclosure...
Persistent link: https://www.econbiz.de/10013037938
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Subprime credit, idiosyncratic risk, and foreclosures
Simlai, Prodosh - In: The quarterly review of economics and finance : journal … 74 (2019), pp. 175-189
Persistent link: https://www.econbiz.de/10012297241
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Mortgage default in an estimated model of the U.S. housing market
Lambertini, Luisa; Nuguer, Victoria; Uysal, Pinar - In: Journal of economic dynamics & control 76 (2017), pp. 171-201
Persistent link: https://www.econbiz.de/10011817214
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Mortgage default in an estimated model of the U.S. housing market
Lambertini, Luisa; Victoria, Nuguer; Uysal, Pinar - 2017
risk in the mortgage market raises the default rate and spreads to the rest of the economy, creating a recession. In our … model two shocks are well suited to replicate the subprime crisis and the Great Recession: the mortgage risk shock and the …. This policy is successful in stabilizing the mortgage market and makes all agents better off. …
Persistent link: https://www.econbiz.de/10011660977