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作者：O'Malley, Terry
作者单位：European Central Bank; Central Bank of Ireland
摘要：I study the effect of removing repossession risk on a mortgagor's decision to default. Reducing default costs may result in strategic default, particularly during crises when homeowners can be substantially underwater. I analyze difference-in-differences variation in repossession risk generated by an unexpected legal ruling in Ireland that prohibited collateral enforcement on delinquent residential mortgages originated before a particular date. I estimate that borrowers defaulted by 0.3 percen...
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作者：Ungeheuer, Michael; Weber, Martin
作者单位：Aalto University; University of Mannheim; Centre for Economic Policy Research - UK
摘要：How do investors perceive dependence between stock returns; and how does their perception of dependence affect investments and stock prices? We show experimentally that investors understand differences in dependence, but not in terms of correlation. Participants invest as if applying a simple counting heuristic for the frequency of comovement. They diversify more when the frequency of comovement is lower even if correlation is higher due to dependence in the tails. Building on our experimental...
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作者：Goldberg, Jonathan; Nozawa, Yoshio
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Hong Kong University of Science & Technology
摘要：This paper examines dealer inventory capacity, or liquidity supply, as a driver of liquidity and expected returns in the corporate bond market. We identify shocks to aggregate liquidity supply using data on corporate bond yields and dealer positions. Liquidity supply shocks lead to persistent changes in market liquidity, are correlated with proxies for dealer financial constraints, and have significant explanatory power for cross-sectional and time-series variation in expected returns, beyond ...
