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Nonlinear Budget Set Regressions for the Random Utility Model

Blomquist, Nils Sören; Kumar, Anil; Liang, Che-yuan; … - National Bureau of Economic Research - 2023

This paper is about the nonparametric regression of a choice variable on a nonlinear budget set under utility … budget sets make this regression three dimensional with a more parsimonious specification than previously derived. We show … restrictions of utility maximization on the budget set regression and show how to check these restrictions in applications. We …

Persistent link: https://www.econbiz.de/10014250211

Information-Based Pricing in Specialized Lending

Blickle, Kristian; He, Zhiguo; Huang, Jing; Parlatore, … - National Bureau of Economic Research - 2024

We study specialized lending in a credit market competition model with private information. Two banks, equipped with similar data processing systems, possess "general" signals regarding the borrower's quality. However, the specialized bank gains an additional advantage through further...

Persistent link: https://www.econbiz.de/10014486246

Bank Funding Risk, Reference Rates, and Credit Supply

Cooperman, Harry; Duffie, Darrell; Luck, Stephan; Wang, … - National Bureau of Economic Research - 2023

Corporate credit lines are drawn more heavily when funding markets are more stressed. This covariance elevates expected bank funding costs. We show that credit supply is dampened by the associated debt-overhang cost to bank shareholders. Until 2022, this impact was reduced by linking the...

Persistent link: https://www.econbiz.de/10014226104

Data and Welfare in Credit Markets

Jansen, Mark; Nagel, Fabian; Yannelis, Constantine; … - National Bureau of Economic Research - 2022

We show how to measure the welfare effects arising from increased data availability. When lenders have more data on prospective borrower costs, they can charge prices that are more aligned with these costs. This increases total social welfare, and transfers surplus from borrowers to lenders. We...

Persistent link: https://www.econbiz.de/10013334452

Strategic Loan Defaults and Coordination: An Experimental Analysis

Trautmann, Stefan; Vlahu, Razvan - de Nederlandsche Bank - 2011

This paper experimentally studies the impact of uncertainty about bank and borrower fundamentals on loan repayment. We find that solvent borrowers are more likely to default strategically when stricter disclosure creates common knowledge about bank weakness. Borrowers are also less likely to...

Persistent link: https://www.econbiz.de/10009274333

One Size Doesn't Fit All : Heterogeneous Depositor Compensation During Periods of Uncertainty

Artavanis, Nikolaos; Paravisini, Daniel; Robles-Garcia, … - National Bureau of Economic Research - 2022

We develop a new approach to identify different categories of depositors during periods of uncertainty and quantify their compensation to remain in the bank. We isolate withdrawals due to liquidity needs, deterioration of fundamentals, and expectation about withdrawal behavior of other...

Persistent link: https://www.econbiz.de/10013362023

Tiebreaker : Certification and Multiple Credit Ratings

Bongaerts, Dion - 2009

This paper explores the economic role credit rating agencies play in the corporate bond market. We consider three existing theories about multiple ratings: information production, rating shopping and regulatory certification. Using differences in rating composition, default prediction and credit...

Persistent link: https://www.econbiz.de/10012463319

Expected Returns, Yield Spreads, and Asset Pricing Tests

Campello, Murillo - 2005

We use yield spreads to construct ex-ante returns on corporate securities, and then use the ex-ante returns in asset pricing assets. Differently from the standard approach, our tests do not use ex-post average returns as a proxy for expected returns. We find that the market beta plays a much...

Persistent link: https://www.econbiz.de/10012467360

Fraudulent Income Overstatement on Mortgage Applications during the Credit Expansion of 2002 to 2005

Mian, Atif R. - 2015

Academic research, government inquiries, and press accounts show extensive mortgage fraud during the housing boom of the mid-2000s. We explore a particular type of mortgage fraud: the overstatement of income on mortgage applications. We define "income overstatement" in a zip code as the growth...

Persistent link: https://www.econbiz.de/10012457719

Collateral Valuation and Borrower Financial Constraints : Evidence from the Residential Real Estate Market

Agarwal, Sumit - 2013

Financially constrained borrowers have the incentive to influence the appraisal process in order to increase borrowing or reduce the interest rate. We document that the average valuation bias for residential refinance transactions is above 5%. The bias is larger for highly leveraged...

Persistent link: https://www.econbiz.de/10012459056

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