Related papers: Does Collateral Value Affect Asset Prices? Evidenc…
Bank behaviour is important for pricing XVA because it links different counterparties and thus breaks the usual XVA pricing assumption of counterparty independence. Consider a typical case of a bank hedging a client trade via a CCP. On…
Leveraged developers facing rollover risk are more likely to engage in fire sales. Using COVID-19 as a natural experiment, we find evidence of fire sale externalities in the Thai condominium market. Resales in properties whose developers…
First, we emphasize that the real estate price peaks which are currently under way in many industrialized countries (one important exception is Japan) share many of the characteristics of previous historical price peaks. In particular, we…
We price weather-contingent options by use of Monte Carlo simulations. After calibrating the models to fit quoted prices, we analyze bid-ask spreads in terms of correlations across markets. Results are presented for a double-trigger Weather…
A buyer and a seller bargain over the price of an object. Both players can build reputations for being obstinate by offering the same price over time. Before players bargain, the seller decides whether to adopt a new technology that can…
Public availability of Artificial Intelligence generated information can change the markets forever, and its factoring into economical dynamics may take economists by surprise, out-dating models and schools of thought. Real estate…
A statistical model for predicting individual house prices and constructing a house price index is proposed utilizing information regarding sale price, time of sale and location (ZIP code). This model is composed of a fixed time effect and…
Since supplanting Canada in 2014, Chinese investors have been the lead foreign buyers of U.S. real estate, concentrating their purchases in urban areas with higher Chinese populations like California. The reasons for investment include…
The writers propose a mathematical Method for deriving risk weights which describe how a borrower's income, relative to their debt service obligations (serviceability) affects the probability of default of the loan. The Method considers the…
The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all…
In general, homeowners refinance in response to a decrease in interest rates, as their borrowing costs are lowered. However, it is worth investigating the effects of refinancing after taking the underlying costs into consideration. Here we…
This paper examines how household-targeted government policies influence financial market participation conditional on financial literacy, focusing on potential Central Bank Digital Currency (CBDC) adoption. Due to the lack of empirical…
A fundemantal and unanswered question for the widely shared goal of electrifying passenger vehicles is how the price of electricity, which can vary greatly across countries and regions, affects buying behavior. I make use of a natural…
We consider a financial market in which the risk-free rate of interest is modeled as a Markov diffusion. We suppose that home prices are set by a representative home-buyer, who can afford to pay only a fixed cash-flow per unit time for…
Many brokers have adapted their operation to exploit the potential of the web. Despite the importance of the real estate classifieds, there has been little work in analyzing such data. In this paper we propose a two-stage regression model…
Portfolio underdiversification is one of the most costly losses accumulated over a household's life cycle. We provide new evidence on the impact of financial inclusion services on households' portfolio choice and investment efficiency using…
We propose a sequential monitoring scheme to find structural breaks in real estate markets. The changes in the real estate prices are modeled by a combination of linear and autoregressive terms. The monitoring scheme is based on a detector…
As a firm varies the price of a product, consumers exhibit reference effects, making purchase decisions based not only on the prevailing price but also the product's price history. We consider the problem of learning such behavioral…
We quantify how co-jumps impact correlations in currency markets. To disentangle the continuous part of quadratic covariation from co-jumps, and study the influence of co-jumps on correlations, we propose a new wavelet-based estimator. The…
Using high-frequency time series of stock prices and share volumes sizes from January 2002-May 2009, this paper investigates whether the effects of the onset of high-frequency trading, most prominent since 2005, are apparent in the dynamics…