This paper investigates how market participants form risk perspectives through a sequence of information shocks. Guided by a theoretical Bayesian learning model, we exploit a natural experiment afforded by the fracking boom in Pennsylvania in the late-2000s. We empirically examine whether...

Since the start of the financial crisis, various forms of securitization have been criticized for causing the problems experienced. The amount of Asset Backed Commercial Paper outstanding fell drastically in the middle of 2007 drawing our attention to this market. Our study focuses on the use of...

We present novel empirical evidence on the use of off-balance sheet financing by publicly traded, U.S. non-financial firms. We find that about 5 percent of non-financial firms reported using a special purpose financing vehicle (SPV) to finance receivables in 2006. At the origination of the...

How do primary and secondary mortgage markets interact? This paper shows that funding shocks to mortgage originators interact with the degree of local credit market competition to increase lending growth. Specifically, I use a shift-share approach to estimate the causal effect of the growth in...

We exploit the OCC's preemption of national banks from state laws against predatory lending as a quasi-experiment to study the effect of deregulation and its interaction with competition on the supply of complex mortgages. Following the preemption ruling, national banks significantly increased...

This paper examines how the creation of asset-backed security tranches disperses ownership of an asset–the pool of mortgages–subsequently impeding renegotiation of the underlying delinquent loans. I describe how multiplicity of tranches worsens the agency problem between a residential...

Abstract What hampered residential mortgage renegotiation in the wake of the financial crisis? I find that in the early years of the crisis investors expected to recover, on average, only about 2.2% of a mortgage's outstanding balance, relative to foreclosing upon the borrower. As the housing...