Publications related to Expectations-Driven Cycles in the Housing Market

Related publications (27)

Monetary Independence And Rollover Crises

This article shows that the inability to use monetary policy for macroeconomic stabilization leaves a government more vulnerable to a rollover crisis. We study a sovereign default model with self-fulfilling rollover crises, foreign currency debt, and nomin ...

OXFORD UNIV PRESS INC2022

Essays in Monetary Policy and Asset Pricing

Benoit Vincent Sylvain Cornet

This thesis uses machine learning techniques and text data to investigate the relationships that arise between the Fed and financial markets, and their consequences for asset prices. The first chapter, entitled Market Expectations and the Impact of Unconv ...

EPFL2022

A contagion process with self-exciting jumps in credit risk applications

Puneet Pasricha

The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and hence play a sig ...

TAYLOR & FRANCIS LTD2022

Essays on Mortgage Supply in a Low Rate Environment and Gender Effects of Covid-19

Yu Wu

After the financial crisis, policy rates in the major advanced economies have moved downwards to near/below zero. Some countries have experienced an increase in house prices and an expansion of mortgages. Also, there have been considerable changes in the m ...

EPFL2021

Predictably Unequal? The Effects of Machine Learning on Credit Markets

Andreas Fuster

Innovations in statistical technology, in functions including credit-screening, have raised concerns about distributional impacts across categories such as race. Theoretically, distributional effects of better statistical technology can come from greater f ...

2022

Three Essays in Banking and Finance

Damien Olivier Klossner

This thesis develops three models that study the motivation of various agents to take on debt, and the impact that excessive financial leverage can have on social welfare. In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", the ince ...

EPFL2019

Financial Stability and the Macroeconomy : the Role of Bank Liquidity Regulation and Deposit Insurance

Corinne Dubois

The financial crisis of 2007-2009 drew attention to the essential role of banks for the macroeconomy and to the importance of having a resilient financial sector. A vulnerability in the financial sector spills over to the real economy and can drive it into ...

EPFL2018

Expectations-driven cycles in the housing market

Luisa Lambertini

This paper explores the transmission of "news shocks" in a model of the housing market and shows that anticipated signals or beliefs of future macroeconomic developments can generate boom-bust cycles in the housing market and lead to business cycle fluctua ...

2017

Mortgage Default in an Estimated Model of the U.S. Housing Market

Luisa Lambertini, Pinar Uysal, Victoria Nuguer

This paper models the housing sector, mortgages and endogenous default in a DSGE setting with nominal and real rigidities. We use data for the period 1981-2006 to estimate our model using Bayesian techniques. We analyze how an increase in risk in the mortg ...

2017

Entrepreneurial Behavior: A Reconceptualization and Extension Based on Identity Theory

Marc Gruber

Research summaryEntrepreneurial behavior is core to our understanding of entrepreneurship. Yet, research progress is hindered because most studies adopt a traditional perspective of the construct that is embedded in economic rationality and focused on for- ...

Wiley2017

Polynomial models in finance

Damien Edouard Ackerer

This thesis presents new flexible dynamic stochastic models for the evolution of market prices and new methods for the valuation of derivatives. These models and methods build on the recently characterized class of polynomial jump-diffusion processes for w ...

EPFL2017

Essays on the Market Structure and Pricing of Credit Derivatives

Jan Benjamin Junge

This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-the-counter markets in which trading is segmented and subject to many ...

EPFL2016

Credit Supply and the Macroeconomy : An Empirical Analysis of Capital Regulation, Bank Lending, and Firm Behavior

Abhik Mukherjee

The policy response to the recent financial crisis has broadly focused on two themes: 1) Increasing the banking sectorsâ resilience to future financial shocks: 2) Improving credit availability to households and firms via lowering both short and long-term ...

EPFL2016

Essays in Empirical Corporate Finance

Stefano Colonnello

This dissertation consists of three chapters. The first chapter examines whether the availability of credit default swaps (CDS) has consequences for creditor governance. CDSs offer creditors the opportunity to hedge credit risk and may impact their willing ...

EPFL2015

Essays in Dynamic Corporate Finance

Francesca Maria Zucchi

This thesis examines the effects of financing frictions on corporate decisions using dynamic models. Accounting for financing frictions helps reconcile a number of regularities that are hard to explain within the Modigliani-Miller framework. For instance, ...

EPFL2015

Credit market frictions and capital structure dynamics

Semyon Malamud, Erwan Morellec, Julien Hugonnier

We study the implications of credit market frictions for the dynamics of corporate capital structure and the risk of default of corporations. To do so, we develop a dynamic capital structure model in which firms face uncertainty regarding their ability to ...

2015

Modeling Credit Contagion via the Updating of Fragile Beliefs

Pierre Collin-Dufresne

We propose an equilibrium model for defaultable bonds that are subject to contagion risk. Contagion arises because agents with "fragile beliefs" are uncertain about the underlying economic state and its probability. Estimation on sovereign European credit ...

Oxford Univ Press Inc2015

The effects of business cycle and debt maturity on a firm's investment and default decisions

We propose a model that jointly determines the capital structure and investment decisions taking business cycle and debt maturity into account. It endogenously determines the triggers of investment/disinvestment and default, which depend on the state of th ...

Elsevier Science Bv2015

Macroeconomic conditions and a firm's investment decisions

We propose a model of a firm's reversible investment decision with macroeconomic conditions based on optimal switching of a diffusion regime. The switching costs and the cash flow generated from the firm depend on a business cycle alternating via a Markov ...

Academic Press Inc Elsevier Science2014

Financial Frictions within the Macroeconomy : Policy Analysis from an Empirical and Theoretical Perspective

Victoria Nuguer

Financial factors are central to the recent economic crisis. Most macroeconomic models treat banks and financial intermediation as a veil. These models are unable to account for the recent financial crisis and they cannot be used for policy evaluation. Fin ...

EPFL2014