We differentiate the liquidity and the quality of private assets in a tractable incomplete-market model with heterogeneous agents. The model decomposes the convenience yield of government bonds into a "liquidity premium" (flight to liquidity) and a "safety premium" (flight to quality) over the...

We investigate, for the first time, the empirical drivers of the COVID-19 cross-country mortality rates at a macroeconomic level. The intensity of the pandemic (number of infected people), the demographic structure (proportion of people age 65 or above) and the openness degree (number of...

We conduct comprehensive analyses on whether and how the judicial foreclosure procedure helps subprime mortgage borrowers to reinstate their delinquent loans outside foreclosure liquidation. Even though the transition rates of various exit types are all higher in non-judicial states, we argue...

This article discusses assumptions about why mortgage borrowers of color were more likely to take dangerous subprime mortgage loans, and to have higher default and foreclosure rates during the subprime mortgage crisis

Borrowers with subprime auto loans typically pay high interest rates and frequently default on their loans. Interest payments could compensate lenders for borrowers’ default risk, and so the high interest rates paid by borrowers with subprime loans could be explained by their higher default...

Subprime securitizations were designed to produce safe AAA bonds by insulating them from the risks associated with the underlying mortgages. Yet, they became risky during the financial crisis of 2007-2009. We provide evidence that following the decline in the ABX indices which signaled emerging...

The liquidity strains that contributed to the meltdown of the mortgage market in the Global Financial Crisis (GFC) re-emerged in the Coronavirus 2019 (COVID-19) Crisis. Some of these strains were acute. For example, the dependence of mortgage real estate investment trusts (REITs) on short-term...

In the thirteen years since the onset of 2007-2008 financial crisis, economists and researchers have thoroughly investigated the financial crisis. We conduct a selective review of the extant literature on the financial crisis, with special emphasis on the US mortgage markets, as they were the...

While the current housing market remains relatively strong, with housing prices setting records, concerns are growing of a potential housing bubble similar to that of 2007-2009; this paper compares the current housing market environment with that of 2007-2009 and concludes that the many of the...

1. From Lehman Brothers to Evergrande: Is Another Housing Crisis on its Way? -- 2. The Psychology of Homeownership: Does Owning a House Really Matter? -- 3. Housing Market Dynamics: Understanding the Recent Global Trends and Threats -- 4. Lessons (not) Learned Fom Past Housing Bubbles & Crises...

We analyse micro data on Irish mortgages and distressed households' balance sheets in the last decade to assess the debt resolution process in the Irish mortgage market in the lead up to the COVID-19 shock. We highlight the widespread engagement of Irish borrowers with debt resolution mechanisms...

The aim of this study is to investigate the herding of beta transmission between return and volatility. We have used the dynamic conditional correlation model with the mixed-data sampling (DCC-MIDAS) model for the analysis. The evidence demonstrates that herding is a key transmitter in...

In numerous Central and Eastern European (CEE) countries, the global financial crisis as well as the unpegging of the foreign exchange rate of the Swiss franc (CHF) against the euro amplified the repayment troubles of households with the outstanding CHF-linked debt. In Croatia, the CHF loans...

In this paper, we investigate the dynamics of contagion from the US low grade asset-backed securities (ABSs) market to UK financial markets during the 2007 subprime mortgage crisis and identify the contagion channels using both a single-state vector autoregressive (VAR) model and a...

The Survey of Consumer Finances indicates that, unlike subprime borrowers, prime borrowers are more likely to own investment homes during recessions than during recoveries. Drawing on this empirical fact, we present and estimate a dynamic stochastic general equilibrium model that distinguishes...

High levels of subprime consumer debt can create social problems. We test the effects of the Troubled Asset Relief Program (TARP) and Paycheck Protection Program (PPP) bailouts during the Global Financial Crisis and COVID-19 crisis, respectively, on this debt. We use over 11 million credit...