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Breaks in the Phillips Curve : Evidence from Panel Data

Smith, Simon C.; Timmermann, Allan; Wright, Jonathan H. - National Bureau of Economic Research - 2023

We revisit time-variation in the Phillips curve, applying new Bayesian panel methods with breakpoints to US and European Union disaggregate data. Our approach allows us to accurately estimate both the number and timing of breaks in the Phillips curve. It further allows us to determine the...

Persistent link: https://www.econbiz.de/10014250170

Misspecification-Robust Shrinkage and Selection for VAR Forecasts and IRFs

González-Casasús, Oriol; Schorfheide, Frank - National Bureau of Economic Research - 2025

of the multi-step forecasting risk and the impulse response estimation risk to determine hyperparameters in settings …

Persistent link: https://www.econbiz.de/10015326468

Random Walk Forecasts of Stationary Processes Have Low Bias

West, Kenneth D.; Lunsford, Kurt G. - National Bureau of Economic Research - 2025

We study the use of a misspecified overdifferenced model to forecast the level of a stationary scalar time series. Let x(t) be the series, and let bias be the sample average of a series of forecast errors. Then, the bias of forecasts of x(t) generated by a misspecified overdifferenced ARMA model...

Persistent link: https://www.econbiz.de/10015450866

Credit, Land Speculation, and Low-Interest-Rate Policy

Hirano, Tomohiro; Stiglitz, Joseph E. - National Bureau of Economic Research - 2025

This paper analyses the impact of credit expansions arising from increases in collateral values or lower interest rate policies on long-run productivity and economic growth in a two-sector endogenous growth economy with credit frictions, with the driver of growth lying in one sector...

Persistent link: https://www.econbiz.de/10015398114

Does Homeownership Matter? The Long-Term Consequences of Losing a House during the Great Recession

Artigue, Heidi; Bayer, Patrick J.; Ferreira, Fernando … - National Bureau of Economic Research - 2025

This paper examines the long-term impact of keeping versus losing one's home following a mortgage delinquency in the … and compare outcomes between those who received a mortgage modification and those who did not. These two groups exhibit …

Persistent link: https://www.econbiz.de/10015398144

Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities

Chernov, Mikhail - 2016

We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied … actual prepayments, providing direct evidence of significant prepayment risk premia in mortgage-backed security prices. We … risk. We also find evidence that mortgage-backed security prices were significantly affected by Fannie Mae credit risk and …

Persistent link: https://www.econbiz.de/10012456578

The Dynamics of Adjustable-Rate Subprime Mortgage Default : A Structural Estimation

Fang, Hanming - 2015

We present a dynamic structural model of subprime adjustable-rate mortgage (ARM) borrowers making payment decisions … the model using unique data sets that contain information on borrowers' mortgage payment history, their broad balance … the delinquency rates. We find that automatic modification mortgage designs under which the monthly payment or the …

Persistent link: https://www.econbiz.de/10012456860

Forbearance by Contract : How Building and Loans Mitigated the Mortgage Crisis of the 1930s

Fleitas, Sebastián - 2015

During the Great Depression, Building and Loans (B&Ls), the leading home lenders, had a structure that mitigated the crisis. Borrowers were owners of the B&L and dissolution of the institution required a two-thirds majority vote. Using panel data from New Jersey in the 1930s, we find that this...

Persistent link: https://www.econbiz.de/10012456885

Can't Pay or Won't Pay? Unemployment, Negative Equity, and Strategic Default

Gerardi, Kristopher - 2015

This paper exploits matched data from the PSID on borrower mortgages with income and demographic data to quantify the relative importance of negative equity, versus lack of ability to pay, as affecting default between 2009 and 2013. These data allow us to construct household budgets sets that...

Persistent link: https://www.econbiz.de/10012457039

Mortgage Refinancing, Consumer Spending, and Competition : Evidence from the Home Affordable Refinancing Program

Agarwal, Sumit - 2015

Using proprietary loan-level data, we examine the ability of the government to impact mortgage refinancing activity and … mortgage market …

Persistent link: https://www.econbiz.de/10012457156