This paper examines the choice of borrowers to extract wealth from housing in the high-cost (subprime) segment of the mortgage market while refinancing and assesses the prepayment and default performance of these cash-out refinance loans relative to the rate refinance loans. Consistent with...

Motivated, on the one hand, by the belief that the Fed controls the short-term rate through open market operations, and on the other, by quot;the lack of convincing proof that this is what happens,quot; Hamilton (1997) suggested that more convincing evidence of the liquidity effect could be...

Over the period 1927:Q1 to 2005:Q4, the average CAPM-based idiosyncratic variance (IV) and stock market variance jointly forecast stock market returns. This result holds up quite well in a number of robustness checks, and we show that the predictive power of the average IV might come from its...

State revenue variability is evaluated using a volatility model rooted in portfolio theory. The model evaluates how closely a state's revenue portfolio is constructed to minimize variability in total state tax revenue. The model complements parametric methods of revenue variability

We find that the magnitudes of the regional effects of monetary policy were considerably dampened during the Volcker-Greenspan era. Further, regional differences in the depths of monetary-policy-induced recessions are related to the concentration of the banking sector, whereas differences in the...

This paper studies the macroeconomic conditions and policy environments under which stock market booms occurred among ten developed countries during the 20th Century. We find that booms tended to occur during periods of above-average growth of real output, and below-average and falling...

This paper is the first to characterize the tatonnement of high-frequency returns from U.S. Treasury spot and futures markets. In particular, we highlight the previously neglected role of the futures markets in price discovery. The lower-bound estimate of bivariate information shares for 30-year...

Adjustable rate and hybrid loans have been a large and important component of subprime lending in the mortgage market. While maintaining the familiar 30-year term the typical adjustable rate loan in subprime is designed as a hybrid of fixed and adjustable characteristics. In its most prevalent...

If there is no priced risk - including volatility risk - associated with hedging an option, then expected delta hedging errors should be zero. This paper finds that delta hedging errors from writing options on foreign exchange futures are significantly positive and unexplained by standard asset...

This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a modification of the smooth transition threshold autoregressive model surveyed in Terauml;svirta (1998), in which the regime weights depend on the ex ante probability that a latent regime-specific...