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The Impact of Global Liquidity on Financial Landscapes and Risks in the ASEAN-5 Countries

Sun, Tao - 2015

This paper analyzes the transmission of global liquidity to the ASEAN-5 countries (ASEAN-5), including the impact on … financial landscapes and risks to financial stability. It finds that global liquidity transmission and changing financial … prepare for possible liquidity tightening, strengthen regulation of non-banks, and establish a comprehensive financial …

Persistent link: https://www.econbiz.de/10013011196

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

Gerardi, Kristopher - 2015

The authors exploit new data from the Panel Study of Income Dynamics (PSID) to provide a more systematic and detailed analysis of household-level employment, income, and expense shocks to mortgage default decisions than has been possible before. These new data provide very different answers...

Persistent link: https://www.econbiz.de/10013011360

Regulation and Market Liquidity

Trebbi, Francesco - 2015

dire consequences in terms of under-provision of market liquidity, has been repeatedly raised. This paper presents … systematic evidence from four different estimation strategies of the absence of breakpoints in market liquidity for fixed …-income asset classes and across multiple liquidity measures, with special attention given to the corporate bond market. The …

Persistent link: https://www.econbiz.de/10013011457

Failure to Refinance

Keys, Benjamin J. - 2015

Households that fail to refinance their mortgage when interest rates decline can lose out on substantial savings. Based on a large random sample of outstanding U.S. mortgages in December of 2010, we estimate that approximately 20% of households for whom refinancing would be optimal and who...

Persistent link: https://www.econbiz.de/10013011590

Cure Events in Default Prediction

Wolter, Marcus - 2015

This paper evaluates the resurrection event regarding defaulted firms and incorporates observable cure events in the default prediction of SME. Due to the additional cure-related observable data, a completely new information set is applied to predict individual default and cure events. This is a...

Persistent link: https://www.econbiz.de/10013012000

Corporate Distress and Restructuring with Macroeconomic Fluctuations : The Cases of GM and Ford

Oxelheim, Lars - 2015

Although macroeconomic factors are part of several models for evaluation of credit risk, there is little effort to distinguish between effects of such factors and “intrinsic” factors on changes in credit risk. We argue that lenders, management, courts and traders in distressed securities...

Persistent link: https://www.econbiz.de/10013012132

Who is Screened Out of Social Insurance Programs by Entry Barriers? Evidence from Consumer Bankruptcies

Scholnick, Barry - 2015

Entry barriers into social insurance programs will be effective screening devices if they cause only those individuals receiving higher benefits from a program to participate in that program. We find evidence for this by using plausibly exogenous variations in travel-related entry costs into the...

Persistent link: https://www.econbiz.de/10013012282

Regulation and Market Liquidity

Trebbi, Francesco - 2015

Persistent link: https://www.econbiz.de/10013012439

Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets

Switzer, Lorne N. - 2015

liquidity risk component. Using a five-factor model, the results suggest that idiosyncratic risk does not play a role on stock …

Persistent link: https://www.econbiz.de/10013012477

The Pricing of Illiquidity as a Characteristic and as Risk

Amihud, Yakov - 2015

This paper reviews research on the effects of different measures of liquidity on asset prices. The foundation is the … pricing of liquidity as an asset characteristic that began with the theoretical model and empirical evidence of Amihud and … rise to research on the effect of liquidity-related systematic risk. Two types of such risk are shown to be priced …

Persistent link: https://www.econbiz.de/10013012481