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Securitization and moral hazard: Evidence from a lender cutoff rule

Bubb, Ryan; Kaufman, Alex - 2009

perapplicant fixed costs in screening. We then demonstrate that our theory fits the data better than the main alternative theory … already in the literature, which supposes cutoff rules are exogenously used by securitizers. Furthermore, we use our theory to …

Persistent link: https://www.econbiz.de/10010286943

Securitization and moral hazard: Evidence from credit score cutoff rules

Bubb, Ryan; Kaufman, Alex - 2011

research has hypothesized that these cutoff rules result from a securitization rule of thumb. Under this theory, an observed … model that rationalizes such an origination rule of thumb. Under this alternative theory, jumps in default are not evidence … securitization rule-of-thumb theory but consistent with the origination rule-of-thumb theory. There are jumps in the number of loans …

Persistent link: https://www.econbiz.de/10010286944

Conflict games with payoff uncertainty

Baliga, Sandeep; Sjostrom, Tomas - 2009

Stag hunt and chicken games are canonical representations of two kinds of strategic interactions. In stag hunt, aggression feeds on itself, and mutual fear escalates into conflict. Chicken is a model of preemption and deterrence. With complete information, these games have multiple Nash...

Persistent link: https://www.econbiz.de/10010286963

Who said large banks don't experience scale economies? Evidence from a risk-return-driven cost function

Hughes, Joseph J.; Mester, Loretta - 2011

Earlier studies found little evidence of scale economies at large banks; later studies using data from the 1990s uncovered such evidence, providing a rationale for very large banks seen worldwide. Using more recent data, we estimate scale economies using two production models. The standard...

Persistent link: https://www.econbiz.de/10010286964

A relationship between risk and time preferences

Saito, Kota - 2009

This paper investigates a general relationship between risk and time preferences. I consider a decision maker who chooses between consumption of a particular prize in one period and a different prize in another period. The individual believes that today's good is certain, and that, as the...

Persistent link: https://www.econbiz.de/10010286979

Inference for systems of stochastic differential equations from discretely sampled data: A numerical maximum likelihood approach

Lux, Thomas - 2012

Maximum likelihood estimation of discretely observed diffusion processes is mostly hampered by the lack of a closed form solution of the transient density. It has recently been argued that a most generic remedy to this problem is the numerical solution of the pertinent Fokker-Planck (FP) or...

Persistent link: https://www.econbiz.de/10010287012

Empirical evaluation of asset pricing models: Arbitrage and pricing errors over contingent claims

Wang, Zhenyu; Zhang, Xiaoyan - 2006

Hansen and Jagannathan (1997) have developed two measures of pricing errors for asset pricing models: the maximum pricing error in all static portfolios of the test assets and the maximum pricing error in all contingent claims of the assets. In this paper, we develop simulation-based Bayesian...

Persistent link: https://www.econbiz.de/10010287013

Conventional and unconventional monetary policy

Cúrdia, Vasco; Woodford, Michael - 2009

We extend a standard New Keynesian model both to incorporate heterogeneity in spending opportunities along with two sources of (potentially time-varying) credit spreads and to allow a role for the central bank's balance sheet in determining equilibrium. We use the model to investigate the...

Persistent link: https://www.econbiz.de/10010287020

Cúrdia, Vasco; Reis, Ricardo - 2010

The dynamic stochastic general equilibrium (DSGE) models used to study business cycles typically assume that exogenous disturbances are independent first-order autoregressions. This paper relaxes this tight and arbitrary restriction by allowing for disturbances that have a rich contemporaneous...

Persistent link: https://www.econbiz.de/10010287037

Caught between Scylla and Charybdis? Regulating bank leverage when there is rent seeking and risk shifting

Acharya, Viral V.; Mehran, Hamid; Thakor, Anjan - 2010

Banks face two different kinds of moral hazard problems: asset substitution by shareholders (e.g., making risky, negative net present value loans) and managerial rent seeking (e.g., investing in inefficient 'pet' projects and consuming perquisites that yield private benefits). The privately...

Persistent link: https://www.econbiz.de/10010287043