This paper assesses the impact of the mortgage crisis on Chelsea, Massachusetts, a low-and moderate income community of 35,000 adjacent to Boston. After years of rapid growth, house prices started falling in 2005. According to our repeat-sales indices, by the end of 2009 prices had fallen by as...

We study European banks’ demand for short-term funds (liquidity) during the summer 2007 subprime market crisis. We use bidding data from the European Central Bank's auctions for one-week loans, their main channel of monetary policy implementation. Our analysis provides a high-frequency,...

The misevaluation of risk in securitized financial products is central to understanding the financial crisis of 2007 - 8. This paper characterizes the evolution of factors affecting collateralized debt obligations based on subprime mortgages. A key feature of subprime-mortgage backed indices is...

Governments on both sides of the Atlantic have reacted with a raft of new regulations to the US subprime mortgage crisis. The article argues that while these new rules actually touch many of the incentive and information problems which were instrumental in creating the crisis, they only address...

Using financial ETFs from various financial industries, we set out in this study to explore the relationship between funding liquidity and equity liquidity. We measure funding liquidity from the interbank as well as the collateral markets and examine how funding liquidity affects bid-ask spread,...

This paper assesses the impact of the mortgage crisis on Chelsea, Massachusetts, a low-and moderate income community of 35,000 adjacent to Boston. After years of rapid growth, house prices started falling in 2005. According to our repeat-sales indices, by the end of 2009 prices had fallen by as...

We study the lead-lag dependence between aggregate credit spreads and equity prices as well as implied equity volatility, which is important for proper credit risk assessment. Our analysis includes daily quotes of the iTraxx Europe index, the Dow Jones Euro Stoxx 50 index, and the Dow Jones...

We study European banks' demand for short-term funds (liquidity) during the summer 2007 subprime market crisis. We use bidding data from the European Central Bank's auctions for one-week loans, their main channel of monetary policy implementation. Our analysis provides a high-frequency,...

During the subprime mortgage crisis period, the New Century Financial Corporation was the biggest subprime mortgage lender in the United States and declared bankruptcy on April 2, 2007. This paper compared two types of hedge ratios - the hedge ratio before April 2, 2007 and the hedge ratio after...

Financial crises can happen for a variety of reasons: (a) nobody really understands what is going on (the collective cognition paradigm); (b) some understand better than others and take advantage of their knowledge (the asymmetric information paradigm); (c) everybody understands, but crises are...