Showing 1 - 10 of 23
shadow banks in securitization markets. Exploiting the election of Donald Trump as an exogenous shock that reduces carbon … risk, we find that banks’ securitization decisions are sensitive to borrowers’ carbon footprints. Banks are more likely to … is reduced after Trump’s election. Importantly, securitization enables banks to offer lower interest rates to polluting …
Persistent link: https://www.econbiz.de/10014494852
We evaluate lenders' incentives to mitigate credit default risk through pricing or securitisation. Exploiting exogenous variation in credit default risk created by differences in foreclosure law along US state borders, we find that lenders in the mortgage market respond to the law in...
Persistent link: https://www.econbiz.de/10012238387
We evaluate if lenders price or securitise mortgages to mitigate credit risk. Exploiting exogenous variation in regional credit risk created by differences in foreclosure law along US state borders, we find that financial institutions respond to the law in heterogeneous ways. In the agency...
Persistent link: https://www.econbiz.de/10012269093
In the present paper, we build a bivariate semiparametric dynamic panel model to reproduce the joint dynamics of sovereign ratings and government bond yields. While the individual equations resemble Pesaran-type cointegration models, we allow for different long-run relationships in both...
Persistent link: https://www.econbiz.de/10010519261
We analyse whether financial integration between countries leads to converging or diverging business cycles using a dynamic spatial model. Our model allows for contemporaneous spillovers of shocks to GDP growth between countries that are financially integrated and delivers a scalar measure of...
Persistent link: https://www.econbiz.de/10012156982
This paper contributes to a better understanding of the important role that credit demand plays for credit markets and aggregate macroeconomic developments as both a source and transmitter of economic shocks. I am the first to identify a structural credit demand equation together with credit...
Persistent link: https://www.econbiz.de/10014448367
We test if and how banks adjust their lending in response to disaster risk in the form of a natural catastrophe striking its customers: the 2013 Elbe flooding. The flood affected firms in East and South Germany, and we identify shocked banks based on bank-firm relationships gathered for more...
Persistent link: https://www.econbiz.de/10011566474
We show that the speed and type of corporate deleveraging depends on the interaction between corporate and financial sector health. Based on granular bank-firm data pertaining to small and medium-sized enterprises (SME) from five stressed and two non-stressed euro area economies, we show that...
Persistent link: https://www.econbiz.de/10011646515
This paper investigates the link between mortgage supply shocks at the banklevel and regional house price growth in the U.S. using micro-level data on mortgage markets from the Home Mortgage Disclosure Act for the 1990-2014 period. Our results suggest that bank-specific mortgage supply shocks...
Persistent link: https://www.econbiz.de/10011589399
Persistent link: https://www.econbiz.de/10011334500