Related papers: Does Collateral Value Affect Asset Prices? Evidenc…
Using a comprehensive dataset collected by the Federal Reserve, I find that over one-third of corporate loans issued by US banks are fully guaranteed by legal entities separate from borrowing firms. Using an empirical strategy that accounts…
In recent years Australia has observed a growing, unexplained resilience of increasing house price trends. Here, we seek to understand what is driving Australia's indestructible asset using insights from market experts. We construct a…
This paper presents a model that uses the information that sellers publish in real estate market websites to predict whether a property has higher or lower price than the average price of its similar properties. The model learns the…
The role of collateral in derivative pricing has evolved beyond credit risk mitigation, particularly following the global financial crisis, when funding costs and basis spreads became central to valuation practices. This development…
The financial crisis of 2007/08 caused catastrophic consequences and brought a bunch of changes around the world. Interest rates that were known to follow or behave similarly of each other diverged. Furthermore, the regulation and in…
In this work we characterize sudden increases in the land price of certain urban areas, a phenomenon causing gentrification, via an extended Schelling model. An initial price rise forces some of the disadvantaged inhabitants out of the…
This paper analyses the impact of credit expansions arising from decreases in collateral requirements or more expansionary monetary policies on long-term productivity in a model with endogenous growth. Credit expansions associated with…
The real estate market is exposed to many fluctuations in prices because of existing correlations with many variables, some of which cannot be controlled or might even be unknown. Housing prices can increase rapidly (or in some cases, also…
We provide a unifying way to analyze how risk aversion changes bidding in auctions by asking which bids become more attractive as bidders become more risk averse. In first-price auctions, under two payoff conditions--winning is never worse…
Valuation adjustments are nowadays a common practice to include credit and liquidity effects in option pricing. Funding costs arising from collateral procedures, hedging strategies and taxes are added to option prices to take into account…
Since the advent of online real estate database companies like Zillow, Trulia and Redfin, the problem of automatic estimation of market values for houses has received considerable attention. Several real estate websites provide such…
Will the Opportunity Zones (OZ) program, America's largest new place-based policy in decades, generate neighborhood change? We compare single-family housing price growth in OZs with price growth in areas that were eligible but not included…
I studied the convergence of regional house prices to national prices in USA by analyzing time-series of house price indices of 9 Census Divisions. I found the evidence of the convergence in some parts of the country using asymmetric unit…
Warrants with stock price dependent threshold conditions give the right to buy specially issued stocks, if the performance of the stock price satisfies some requirements. Existence of these derivatives changes the price process of the…
This paper quantifies the effects of equity tail risk on the US government bond market. We estimate equity tail risk with option-implied stock market volatility that stems from large negative price jumps, and we assess its value in…
This study investigates the impact of increased debt servicing costs on household consumption resulting from monetary policy tightening. It utilizes observational panel microdata on all mortgage holders in Israel and leverages…
Schoolyard greening initiatives have become increasingly prominent in urban school districts across the United States, particularly as mechanisms to promote environmental justice, child well-being, and neighborhood revitalization. While…
This study examines how housing sector volatilities affect real estate investment trust (REIT) equity return in the United States. I argue that unexpected changes in housing variables can be a source of aggregate housing risk, and the first…
Trading pressure from one asset can move the price of another, a phenomenon referred to as cross impact. Using tick-by-tick data spanning 5 years for 500 assets listed in the United States, we identify the features that make cross-impact…
The collateral choice option allows a collateral-posting party the opportunity to change the type of security in which the collateral is deposited. Due to non-zero collateral basis spreads, this optionality significantly impacts asset…