Search Results
Working Paper
The dynamics of subprime adjustable-rate mortgage default: a structural estimation
Li, Wenli; Kim, You Suk; Fang, Hanming
(2016-01-11)
We present a dynamic structural model of subprime adjustable-rate mortgage (ARM) borrowers making payment decisions, taking into account possible consequences of different degrees of delinquency from their lenders. We empirically implement the model using unique data sets that contain information on borrowers' mortgage payment history, their broad balance sheets, and lender responses. Our investigation of the factors that drive borrowers' decisions reveals that subprime ARMs are not all alike. For loans originated in 2004 and 2005, the interest rate resets associated with ARMs as well as the ...
Working Papers
, Paper 16-2
Working Paper
Improving Sovereign Debt Restructurings
Dvorkin, Maximiliano; Sapriza, Horacio; Sanchez, Juan M.; Yurdagul, Emircan
(2021-10-01)
The wave of sovereign defaults in the early 1980s and the string of debt crises in subsequent decades have fostered proposals involving policy interventions in sovereign debt restructurings, and the recent global pandemic crisis has further reignited this discussion. A key question about these policy proposals for debt restructurings that has proved hard to handle is how they influence the behavior of creditors and debtors. We address this challenge by evaluating policy proposals in a quantitative sovereign default model that incorporates two essential features: maturity choice and debt ...
Working Papers
, Paper 2019-36
Speech
Opening remarks at the Convening on Student Loan Data Conference
Dudley, William
(2015-03-04)
Remarks at the Convening on Student Loan Data Conference, Federal Reserve Bank of New York, New York City.
Speech
, Paper 158
Working Paper
Collateral Runs
Vardoulakis, Alexandros; Infante, Sebastian
(2018-04-04)
This paper models an unexplored source of liquidity risk faced by large broker-dealers: collateral runs. By setting different contracting terms on repurchase agreements with cash borrowers and lenders, dealers can source funds for their own activities. Cash borrowers internalize the risk of losing their collateral in case their dealer defaults, prompting them to withdraw it. This incentive creates strategic complementarities for counterparties to withdraw their collateral, reducing a dealer's liquidity position and compromising her solvency. Collateral runs are markedly different than ...
Finance and Economics Discussion Series
, Paper 2018-022
Working Paper
The Mortgage Prepayment Decision: Are There Other Motivations Beyond Refinance and Move?
Maingi, Ramain Quinn; Hall, Arden
(2019-10-21)
Borrowers terminate residential mortgages for a variety of reasons. Prepayments and defaults have always been distinguishable, and researchers have recently distinguished between prepayments involving a move and other prepayments. But these categories still combine distinct decisions. For example, a borrower may refinance to obtain a lower interest rate or to borrow a larger amount. By matching mortgage servicing and credit bureau records, we are able to distinguish among several motivations for prepayment: simple refinancing, cash-out refinancing, mortgage payoff, and move. Using multinomial ...
Working Papers
, Paper 19-39
Working Paper
The Behavioral Relationship Between Mortgage Prepayment and Default
Maingi, Ramain Quinn; Hall, Arden
(2021-03-22)
An implication of the dual trigger theory of default is that mortgage borrowers who experience an unexpected financial reverse will prepay their mortgage rather than default if their equity in the house is positive. We test this idea with a new data set created by matching mortgage servicing records and credit bureau records to classify prepayments by what happens subsequently. In particular, we can identify a subset of prepayments that seems consistent with the dual trigger theory. If the theory is correct, these prepayments should exhibit similarities to defaults in the data set rather than ...
Working Papers
, Paper 21-12
Working Paper
Improving Sovereign Debt Restructurings
Dvorkin, Maximiliano; Sanchez, Juan M.; Sapriza, Horacio; Yurdagul, Emircan
(2022-04-06)
The wave of sovereign defaults in the early 1980s and the string of debt crises in subsequent decades have fostered proposals involving policy interventions in sovereign debt restructurings. The global financial crisis and the recent global pandemic have further reignited this discussion among academics and policymakers. A key question about these policy proposals for debt restructurings that has proved hard to handle is how they influence the behavior of creditors and debtors. We address this challenge by evaluating policy proposals in a quantitative sovereign default model that ...
Working Paper
, Paper 22-06
Discussion Paper
Are All CLOs Equal?
Peristiani, Stavros; Santos, João A. C.
(2016-12-05)
Asset securitization is an important source of corporate funding in capital markets. Collateralized loan obligations (CLOs) are securitization structures that allow syndicated bank lenders and bond underwriters to repackage business loans and sell them to investors as securities. CLOs are actively overseen by a collateral manager that has the responsibility to trade loans in the portfolio to benefit from gains and mitigate losses from credit exposures. Because CLOs include a diverse portfolio of loans, a single firm that commingles its lending role with the collateral management role can reap ...
Liberty Street Economics
, Paper 20161205
Discussion Paper
Is Free College the Solution to Student Debt Woes? Studying the Heterogeneous Impacts of Merit Aid Programs
Chakrabarti, Rajashri; Nober, William; Van der Klaauw, Wilbert
(2019-10-10)
The rising cost of a college education has become an important topic of discussion among both policymakers and practitioners. At least eleven states have recently introduced programs to make public two-year education tuition free, including New York, which is rolling out its Excelsior Scholarship to provide tuition-free four-year college education to low-income students across the SUNY and CUNY systems. Prior to these new initiatives, New York, had already instituted merit scholarship programs that subsidize the cost of college conditional on academic performance and in-state attendance. ...
Liberty Street Economics
, Paper 20191010
Working Paper
Assessing bankruptcy reform in a model with temptation and equilibrium default
Nakajima, Makoto
(2015-03-09)
A life-cycle model with equilibrium default in which consumers with and without temptation coexist is constructed to evaluate the 2005 bankruptcy law reform and other counterfactual reforms. The calibrated model indicates that the 2005 bankruptcy reform achieves its goal of reducing the number of bankruptcy filings, as seen in the data, but at the cost of loss in social welfare. The creditor-friendly reform provides borrowers with a stronger commitment to repay and thus yields lower default premia and better consumption smoothing. However, those who borrow and default due to temptation or ...
Working Papers
, Paper 15-12
FILTER BY year
FILTER BY Bank
Federal Reserve Bank of St. Louis 24 items
Federal Reserve Bank of New York 16 items
Federal Reserve Bank of Philadelphia 12 items
Board of Governors of the Federal Reserve System (U.S.) 8 items
Federal Reserve Bank of Richmond 5 items
Federal Reserve Bank of Atlanta 1 items
Federal Reserve Bank of Boston 1 items
Federal Reserve Bank of Cleveland 1 items
Federal Reserve Bank of Dallas 1 items
Federal Reserve Bank of Kansas City 1 items
Federal Reserve Bank of Minneapolis 1 items
Federal Reserve Bank of San Francisco 1 items
show more (7)
show less
FILTER BY Series
Working Papers 36 items
Liberty Street Economics 11 items
Finance and Economics Discussion Series 7 items
Staff Reports 3 items
Working Paper 3 items
Page One Economics Newsletter 2 items
Econ Focus 1 items
Economic Policy Review 1 items
FRB Atlanta Working Paper 1 items
FRBSF Economic Letter 1 items
International Finance Discussion Papers 1 items
On the Economy 1 items
Research Working Paper 1 items
Richmond Fed Economic Brief 1 items
Speech 1 items
Staff Report 1 items
show more (11)
show less
FILTER BY Content Type
Working Paper 49 items
Discussion Paper 11 items
Report 4 items
Journal Article 3 items
Newsletter 2 items
Briefing 1 items
Speech 1 items
show more (2)
show less
FILTER BY Author
Sanchez, Juan M. 23 items
Espino, Emilio 10 items
Kozlowski, Julian 10 items
Martin, Fernando M. 10 items
Chakrabarti, Rajashri 9 items
Dvorkin, Maximiliano 8 items
Sapriza, Horacio 8 items
Yurdagul, Emircan 8 items
Van der Klaauw, Wilbert 6 items
Nakajima, Makoto 5 items
Athreya, Kartik B. 4 items
Li, Wenli 3 items
Mustre-del-Rio, Jose 3 items
Vardoulakis, Alexandros 3 items
Bai, Yan 2 items
Duarte, Fernando M. 2 items
Fang, Hanming 2 items
Gerardi, Kristopher S. 2 items
Gorton, Nicole 2 items
Hall, Arden 2 items
Ionescu, Felicia 2 items
Jiang, Michelle 2 items
Jones, Collin 2 items
Kehoe, Patrick J. 2 items
Kim, You Suk 2 items
Lin, Li 2 items
Lopez, Pierlauro 2 items
Lovenheim, Michael 2 items
Maingi, Ramain Quinn 2 items
Nober, William 2 items
Perri, Fabrizio 2 items
Rios-Rull, Jose-Victor 2 items
Ruela, Francisco 2 items
Tsomocos, Dimitrios P. 2 items
Willen, Paul S. 2 items
Armona, Luis 1 items
Bertelsen, Kris 1 items
Bidanda, Maya 1 items
Brown, Meta 1 items
Cipriani, Marco 1 items
Conway, Jacob 1 items
Darolia, Rajeev 1 items
Dudley, William 1 items
Exler, Florian 1 items
Fischl-Lanzoni, Natalia 1 items
Fostel, Ana 1 items
Frame, W. Scott 1 items
Garratt, Rodney 1 items
Gordon, Grey 1 items
Guerrón-Quintana, Pablo 1 items
Herkenhoff, Kyle F. 1 items
Houser, Daniel 1 items
Huang, Ruidi 1 items
Hundtofte , Sean 1 items
Infante, Sebastian 1 items
Ionescu, Marius 1 items
Livshits, Igor 1 items
Lochner, Lance 1 items
Lu, Jessica 1 items
MacGee, James 1 items
Manuelli, Rodolfo E. 1 items
Mayer, Erik J. 1 items
Mendez-Carbajo, Diego 1 items
Mikhed, Slava 1 items
Monge-Naranjo, Alexander 1 items
Morris, Kevin 1 items
Mullin, John 1 items
Murphy, David 1 items
Nesmith, Travis D. 1 items
Ohanian, Lee E. 1 items
Oswald, Florian 1 items
Paul, Pascal 1 items
Peristiani, Stavros 1 items
Pinkovskiy, Maxim L. 1 items
Plosser, Matthew 1 items
Pouzo, Demian 1 items
Presno, Ignacio 1 items
Raina, Sahil 1 items
Ritter, Dubravka 1 items
Rose, Andrew K. 1 items
Sablik, Timothy 1 items
Santos, João A. C. 1 items
Scholnick, Barry 1 items
Simpson, Nicole B. 1 items
Smaldone, Amy 1 items
Sultanum, Bruno 1 items
Sunderam, Adi 1 items
Tam, Xuan S. 1 items
Tertilt, Michele 1 items
Wright, Mark L. J. 1 items
Wu, Xiaopeng 1 items
Young, Eric 1 items
Zafar, Basit 1 items
Zhang, David Hao 1 items
Zhang, Man 1 items
show more (90)
show less
FILTER BY Jel Classification
F34 20 items
G15 18 items
F41 17 items
E21 11 items
E52 10 items
E44 9 items
E62 9 items
D14 8 items
G21 8 items
K35 7 items
D12 6 items
G2 6 items
G33 6 items
I22 6 items
D91 5 items
G18 4 items
G51 4 items
D60 3 items
E32 3 items
G23 3 items
J00 3 items
D1 2 items
F44 2 items
H63 2 items
H81 2 items
I23 2 items
Q1 2 items
Q12 2 items
R21 2 items
A10 1 items
C60 1 items
C72 1 items
C90 1 items
D44 1 items
D47 1 items
D50 1 items
D52 1 items
D53 1 items
D82 1 items
D86 1 items
E24 1 items
E30 1 items
E40 1 items
E43 1 items
E49 1 items
E50 1 items
E51 1 items
E60 1 items
F10 1 items
F22 1 items
F30 1 items
F36 1 items
G01 1 items
G1 1 items
G12 1 items
G13 1 items
G32 1 items
G5 1 items
H21 1 items
H30 1 items
I13 1 items
I28 1 items
J0 1 items
J15 1 items
J22 1 items
J24 1 items
J28 1 items
K11 1 items
L85 1 items
R20 1 items
R23 1 items
R31 1 items
R51 1 items
show more (68)
show less
FILTER BY Keywords
Default 37 items
default 35 items
Country Risk 12 items
Crises 12 items
Sovereign Debt 12 items
Maturity 9 items
student loans 9 items
COVID-19 8 items
sovereign debt 7 items
crises 6 items
emerging markets 6 items
fiscal policy 6 items
inflation 6 items
monetary policy 6 items
Bankruptcy 5 items
Debt 5 items
Markov-perfect equilibrium 5 items
Restructuring 5 items
discretion 5 items
exchange rate 5 items
rules 5 items
Emerging Markets 4 items
Exchange Rate 4 items
Fiscal Policy 4 items
Incomplete markets 4 items
Inflation 4 items
Seigniorage 4 items
collateral 4 items
consumer credit 4 items
debt 4 items
financial distress 4 items
Distribution of Creditor Losses 3 items
GDP-indexed Debt 3 items
Heterogeneous agents 3 items
International Monetary Fund 3 items
News 3 items
Spreads 3 items
Student Loans 3 items
credit card debt 3 items
delinquency 3 items
mortgage 3 items
prepayment 3 items
race 3 items
Collateral 2 items
Consumer bankruptcy 2 items
Consumer credit 2 items
Dynamic Discrete Choice 2 items
Epstein-Zin preferences 2 items
Latin America 2 items
Liquidity 2 items
Monetary Policy 2 items
Networks 2 items
Rescheduling 2 items
Sovereign debt 2 items
Temptation and self-control 2 items
Time-consistency 2 items
bankruptcy 2 items
counterparty risks 2 items
financial sector 2 items
for-profit 2 items
for-profits 2 items
global cycles 2 items
leverage 2 items
mortgage finance 2 items
mortgages 2 items
nested logit model 2 items
spillovers 2 items
student debt 2 items
ACA 1 items
Adjustable-Rate Mortgage 1 items
Adjustable-rate mortgage 1 items
Approval 1 items
Auctions 1 items
Automatic Modification with a Cushion 1 items
Automatic modification mortgages with cushions 1 items
BAPCPA 1 items
Bankruptcy Reform 1 items
Bonds 1 items
Borrowing 1 items
Borrowing Constraint 1 items
Borrowing constraint 1 items
Business cycle 1 items
CARES 1 items
CCPs 1 items
CLOs 1 items
Central counterparties 1 items
College investment 1 items
Consumer Bankruptcy 1 items
Consumer Credit 1 items
Consumer Debt 1 items
Credit 1 items
Cross-Subsidization 1 items
Dealer 1 items
Deficiency judgment 1 items
Derivatives 1 items
Determinacy 1 items
Employment 1 items
Entry mechanism 1 items
Exchange rate 1 items
Financial Literacy 1 items
Financial Mistakes 1 items
Financial Regulation 1 items
Financial aid 1 items
Financial stablity 1 items
Foreclosure 1 items
Global banks 1 items
Government debt 1 items
Great Recession 1 items
Heterogeneous Agents 1 items
Higher Education 1 items
Hyperbolic Discounting 1 items
Hyperbolic discounting 1 items
Idiosyncratic risk 1 items
Income-Contingent 1 items
Incomplete Markets 1 items
Insurance 1 items
Interest rate 1 items
International Monetary Fun 1 items
International business cycles 1 items
Leverage 1 items
Life cycle 1 items
Liquid wealth 1 items
Loan Modification 1 items
Loan modification 1 items
Long-run risk 1 items
Markov equilibrium 1 items
Monetary policy 1 items
Nevada 1 items
Optimal taxation 1 items
Over-Optimism 1 items
Paris Club 1 items
Rehypothecation 1 items
Repayment 1 items
Repo 1 items
Risk 1 items
Runs 1 items
Student Loan 1 items
Systemic risk 1 items
Temptation and Self-Control 1 items
Type Score 1 items
approval 1 items
asset 1 items
bilateral 1 items
borrowing 1 items
borrowing constraints 1 items
budget 1 items
business cycles 1 items
cities 1 items
college 1 items
college degree 1 items
community colleges 1 items
covid19 1 items
credit cards 1 items
credit constraints 1 items
credit reports 1 items
credit status 1 items
data misreporting 1 items
debt deflation 1 items
debt prioritization 1 items
depression 1 items
developing countries 1 items
disposable income 1 items
diversity 1 items
double auction 1 items
down payment 1 items
economic conditions 1 items
education finance 1 items
empirical 1 items
experimental economics 1 items
for-profit schools 1 items
forbearance 1 items
foreclosures 1 items
fraud 1 items
global banks 1 items
gravity 1 items
heterogeneous agents 1 items
higher education 1 items
homeownership 1 items
household debt 1 items
household finance 1 items
hyperbolic discounting 1 items
incomplete markets 1 items
interest 1 items
interest rates 1 items
international business cycles 1 items
liquidity 1 items
liquidity constraints 1 items
loan officers 1 items
loan trading 1 items
long run risk 1 items
migration 1 items
mortgage rates 1 items
negative equity 1 items
panel 1 items
population 1 items
postsecondary education 1 items
private information 1 items
quantitative easing 1 items
racial segregation 1 items
recession 1 items
redlining 1 items
refinance 1 items
relief 1 items
rescheduling 1 items
returns to education 1 items
savings goal 1 items
sovereign 1 items
sovereign debts 1 items
strategic default 1 items
term 1 items
unemployment 1 items
wealth 1 items
show more (207)
show less