This paper tests the role of different banks� liquidity funding structures in explaining the bank failures that occurred in the United States between 2007 and 2009. The results highlight that funding is indeed a significant factor in explaining banks� probability of default. By...

Our concern in this paper is two-fold: first to see whether the determinants of bank distress and failure have been any different in the GFC from previous years: second to see whether simple measures of capital adequacy outperform their risk-weighted counterparts as predictors, despite the focus...

We examine the relationship between leverage and the weighted-average cost of capital (WACC) for U.S. banks. Ignoring tax effects, leverage appears to have virtually no impact on the WACCs of too-big-to-fail banks. We find significant differences in this relationship across different...

This paper investigates how different outcomes of criminal appeals impact crime deterrence. My panel data analysis (1997-2013) indicates that crime rates decrease when convictions are affirmed by the appellate court, as long as conviction rates are not too high. Crime rates are further found to...

This paper estimates annual data on educational attainment for 3,076 mainland U.S. counties 1991-2005. Being estimated without resorting to ancillary information, this data is suited particular well for panel regression analyses. Several plausibility checks indicate that the data is fairly...

We develop a high-dimensional and partly nonlinear non-Gaussian dynamic factor model for the decomposition of systematic default risk conditions into a set of latent components that correspond with macroeconomic/financial, default-specific (frailty), and industry-specific effects. Discrete...

We examine the stock market valuation of large and systemic U.S. banks over the period 2003Q4-2014Q1. These are the banks included in a series of supervisory capital review and stress tests conducted annually since 2009 by the Federal Reserve. We extend Gordon's growth model of stock valuation,...

This paper offers a methodology to address the endogeneity of inputs in the directional technology distance function (DTDF) based formulation of banking technology which explicitly accommodates the presence of undesirable nonperforming loans -- an inherent characteristic of the bank's production...

I investigate the nonlinear effects of monetary policy through differences in household debt across U.S. states. After constructing a novel indicator of inflation for the states, I compute state-specific monetary policy stances as deviations from an aggregate Taylor rule. I find that the...

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...