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Adjusting to Macroprudential Policies: Loan-to-Value Limits and Housing Choice.
Publication Type: Academic Journal
Source(s): Review of Financial Studies. Oct2023, Vol. 36 Issue 10, p3999-4044. 46p.
Abstract: This study provides novel evidence regarding the effects of loan-to-value (LTV) limits on housing choices. Using a detailed loan-level dataset, I exploit the introduction of LTV limits in Israel. I find that the LTV limits led borrowers to choose housi...
Indirect Evergreening Using Related Parties: Evidence From India.
Publication Type: Academic Journal
Source(s): Journal of Financial & Quantitative Analysis. Aug2023, Vol. 58 Issue 5, p2131-2161. 31p.
Abstract: We identify a novel way of evergreening loans in India. A low-quality bank lends to a related party of an insolvent borrower, and the loan recipient transfers the funds to the insolvent borrower using internal capital markets. Incremental investments, ...
Spillover Effects of the Opioid Epidemic on Consumer Finance.
Publication Type: Academic Journal
Source(s): Journal of Financial & Quantitative Analysis. Sep2023, Vol. 58 Issue 6, p2365-2386. 22p.
Abstract: I examine the impact of the opioid epidemic on subprime auto lending. Using a difference-in-differences framework, I find that county-level increases in opioid abuse cause an increase in loan defaults. Moreover, I find that traditional credit scoring a...
The Effect of Organization Capital on the Cost of Bank Loans.
Publication Type: Academic Journal
Source(s): Journal of Financial & Quantitative Analysis. Sep2023, Vol. 58 Issue 6, p2579-2616. 38p.
Abstract: We find that organization capital is negatively related to the cost of bank loans. This finding is robust to additional analyses including those that address omitted variable bias and reverse causality. In addition, we find that organization capital re...
Why You Should Be Able to Make Your Own Individualized, Digital Nano-Currency: Increasing opportunities for access to traditional financial systems.
Publication Type: Periodical
Source(s): Communications of the ACM. Aug2023, Vol. 66 Issue 8, p35-38. 4p. 1 Color Photograph.
Abstract: This article discusses the potential of individualized, digital nano-currency to aid in venture financing. Topics include a look at how IOUs, debt acknowledgement documents, are handled with these individualized nano-currencies, the ways these types of...
International Borrowing and Lending in the Presence of Oligopolistic Competition.
Publication Type: Academic Journal
Source(s): Journal of Risk & Financial Management. Aug2023, Vol. 16 Issue 8, p357. 26p.
Abstract: This paper examines the implications of imperfect competition in a two-country framework where a single good is produced. Using an overlapping generation model, we analyze the effects of market structures. Specifically, one country is assumed to operat...
A Framework for Integrating Extreme Weather Risk, Probability of Default, and Loss Given Default for Residential Mortgage Loans.
Publication Type: Academic Journal
Source(s): Sustainability (2071-1050). Aug2023, Vol. 15 Issue 15, p11808. 16p.
Abstract: This paper considers a hypothetical case in which a bank wants to build a routine climate stress test exercise on residential mortgage loans. The bank has regularly updated the probability of default (PD) and loss given default (LGD) on each residentia...
How Lending Experience and Borrower Credit Influence Rational Herding Behavior in Peer-to-Peer Microloan Platform Markets.
Publication Type: Academic Journal
Source(s): Journal of Management Information Systems. 2023, Vol. 40 Issue 3, p914-952. 39p. 2 Diagrams, 8 Charts, 7 Graphs.
Abstract: This paper analyzes the herding behavior that characterizes lenders' lending decisions on a microloan platform and explains how rational herding behavior can resolve the information-asymmetry problem, which is a well-known reason for the failure of onl...
Are CLO Collateral and Tranche Ratings Disconnected?
Publication Type: Academic Journal
Source(s): Review of Financial Studies. Jun2023, Vol. 36 Issue 6, p2319-2360. 42p.
Abstract: Between March and August 2020, S&P and Moody's downgraded approximately 25 |$\%$| of collateral feeding into CLOs and only 2 |$\%$| of tranche values, with rating actions concentrating in junior tranches. Both S&P and Moody's modeling indicate that the...
When banks' shadow fades and shadow banking rises: Securitization and loan performance in China.
Publication Type: Academic Journal
Source(s): BOFIT Discussion Papers. 9/15/2023, Vol. 2023, p1-37. 37p.
Abstract: This study examines the relationship between securitization and loan performance using proprietary loan-level data from a Chinese bank. Securitized loans exhibit lower ex-post default rates and prepayment chances compared to the loans retained on the b...