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Working Paper
Foreclosure externalities: Some new evidence
Willen, Paul S.; Gerardi, Kristopher S.; Yao, Vincent W.; Rosenblatt, Eric
(2012)
In a recent set of influential papers, researchers have argued that residential mortgage foreclosures reduce the sale prices of nearby properties. We revisit this issue using a more robust identification strategy combined with new data that contain information on the location of properties secured by seriously delinquent mortgages and information on the condition of foreclosed properties. We find that while properties in virtually all stages of distress have statistically significant, negative effects on nearby home values, the magnitudes are economically small, peak before the distressed ...
FRB Atlanta Working Paper
, Paper 2012-11
Working Paper
Comparing New Keynesian models in the Euro area: a Bayesian approach
Rubio-Ramirez, Juan F.; Rabanal, Pau
(2003)
This paper estimates and compares four versions of the sticky price New Keynesian model for the Euro area, using a Bayesian approach as described in Rabanal and Rubio-Ramrez (2003). We find that the average duration of price contracts is between four and eight quarters, similar to the one estimated in the United States, while price indexation is found to be smaller. On the other hand, average duration of wage contracts is estimated to between one and two quarters, lower than the one found for the United States, while wage indexation is higher. Finally, the marginal likelihood indicates that ...
FRB Atlanta Working Paper
, Paper 2003-30
Working Paper
Data aggregation and the problem of measuring a bank's interest rate exposure
Cohen, Hugh
(1994)
FRB Atlanta Working Paper
, Paper 94-6
Working Paper
Limited Household Risk Sharing: General Equilibrium Implications for the Term Structure of Interest Rates
Mitra, Indrajit; Xu, Yu
(2020-11-09)
We present a theory in which limited risk sharing of idiosyncratic labor income risk plays a key role in determining the dynamics of interest rates. Our production-based model relates the cross-sectional distribution of labor income risk to observable aggregate labor market variables. Our model makes two key predictions. First, it predicts positive risk premia for long-term bonds while simultaneously matching key macroeconomic moments. Second, it predicts a negative correlation between current labor market conditions (as measured by labor market tightness or the job-finding rate) and future ...
FRB Atlanta Working Paper
, Paper 2020-20
Working Paper
Bayesian semiparametric multivariate GARCH modeling
Jensen, Mark J.; Maheu, John M.
(2012)
This paper proposes a Bayesian nonparametric modeling approach for the return distribution in multivariate GARCH models. In contrast to the parametric literature, the return distribution can display general forms of asymmetry and thick tails. An infinite mixture of multivariate normals is given a flexible Dirichlet process prior. The GARCH functional form enters into each of the components of this mixture. We discuss conjugate methods that allow for scale mixtures and nonconjugate methods, which provide mixing over both the location and scale of the normal components. MCMC methods are ...
FRB Atlanta Working Paper
, Paper 2012-09
Working Paper
Old, Frail, and Uninsured: Accounting for Puzzles in the U.S. Long-Term Care Insurance Market
Braun, R. Anton; Koreshkova, Tatyana; Kopecky, Karen A.
(2017-03-01)
Half of U.S. 50-year-olds will experience a nursing home stay before they die, and one in ten will incur out-of-pocket long-term care expenses in excess of $200,000. Surprisingly, only about 10% of individuals over age 62 have private long-term care insurance (LTCI). This paper proposes a quantitative equilibrium optimal contracting model of the LTCI market that features screening along the extensive margin. Frail and/or poor risk groups are ordered a single contract of no insurance that we refer to as a rejection. According to our model, rejections are the main reason that LTCI take-up rates ...
FRB Atlanta Working Paper
, Paper 2017-3
Working Paper
Bargaining a monetary union
Chang, Roberto
(1994)
FRB Atlanta Working Paper
, Paper 94-4
Working Paper
Systematic and liquidity risk in subprime-mortgage backed securities
Flavin, Thomas; Dungey, Mardi; Dwyer, Gerald P.
(2011)
The misevaluation of risk in securitized financial products is central to understanding the financial crisis of 2007?8. This paper characterizes the evolution of factors affecting collateralized debt obligations based on subprime mortgages. A key feature of subprime-mortgage backed indices is that they are distinct in their vintage of issuance. Using a latent factor framework that incorporates this vintage effect, we show the increasing importance of a common factor on more senior tranches during the crisis. We examine this common factor and its relationship with spreads. We estimate the ...
FRB Atlanta Working Paper
, Paper 2011-15
Working Paper
Generalized method of moments estimation of Heath-Jarrow-Morton models of interest-rate contingent claims
Cohen, Hugh; Abken, Peter A.
(1994)
FRB Atlanta Working Paper
, Paper 94-8
Working Paper
What do premiums paid for bank M&As reflect? the case of the European Union
Wall, Larry D.; Nieto, Maria J.; Hagendorff, Jens; Hernando, Ignacio
(2010)
We analyze the takeover premiums paid for a sample of European bank mergers between 1997 and 2007. We find that acquiring banks value profitable, high-growth, and low-risk targets. We also find that the strength of bank regulation and supervision and of deposit insurance regimes in Europe has measurable effects on takeover pricing. Stricter bank regulatory regimes and stronger deposit insurance schemes lower the takeover premiums paid by acquiring banks. This result, presumably in anticipation of higher compliance costs, is mainly driven by domestic deals. Also, we find no conclusive evidence ...
FRB Atlanta Working Paper
, Paper 2010-05
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