Posts Tagged ‘Tasa de Interes


Fun & Finance: #14, Charla sobre Mercado

En esta ocasión, German le ofrece a Gaston un pantallazo como mirar las conexiones dentro del mercado financiero.

Siempre mejor en HD.

No se olviden de LIKE THIS !!


Gráfico du Jour: Perspectiva histórica…

(Fuente: EconomPic Data)


Gráfico du Jour: Algunos pronósticos 2012…

(Fuente: JP Morgan, via FT Alphaville)



Infograma du Jour: Tasa e inflación en Asia

(Fuente: Bloomberg Business Week)


Gráfico du Jour: Nominal vs Real

(Fuente Visualizing Economics)


Paper: Ramificaciones del ZLB

Have We Underestimated the Likelihood and Severity of Zero Lower Bound Events?


Before the recent recession, the consensus among researchers was that the zero lower bound (ZLB) probably would not pose a significant problem for monetary policy as long as a central bank aimed for an inflation rate of about 2 percent; some have even argued that an appreciably lower target inflation rate would pose no problems.  This paper reexamines this consensus in the wake of the financial crisis, which has seen policy rates at their effective lower bound for more than two years in the United States and Japan and near zero in many other countries.  We conduct our analysis using a set of structural and time series statistical models.  We find that the decline in economic activity and interest rates in the United States has generally been well outside forecast confidence bands of many empirical macroeconomic models.  In contrast, the decline in inflation has been less surprising.  We identify a number of factors that help to account for the degree to which models were surprised by recent events.  First, uncertainty about model parameters and latent variables, which were typically ignored in past research, significantly increases the probability of hitting the ZLB.  Second, models that are based primarily on the Great Moderation period severely understate the incidence and severity of ZLB events.  Third, the propagation mechanisms and shocks embedded in standard DSGE models appear to be insufficient to generate sustained periods of policy being stuck at the ZLB, such as we now observe.  We conclude that past estimates of the incidence and effects of the ZLB were too low and suggest a need for a general reexamination of the empirical adequacy of standard models.  In addition to this statistical analysis, we show that the ZLB probably had a first-order impact on macroeconomic outcomes in the United States.  Finally, we analyze the use of asset purchases as an alternative monetary policy tool when short-term interest rates are constrained by the ZLB, and find that the Federal Reserve’s asset purchases have been effective at mitigating the economic costs of the ZLB.  In particular, model simulations indicate that the past and projected expansion of the Federal Reserve’s securities holdings since late 2008 will lower the unemployment rate, relative to what it would have been absent the purchases, by 1½ percentage points by 2012.  In addition, we find that the asset purchases have probably prevented the U.S. economy from falling into deflation.

Link al Paper


Paper: Hipotecas (x3)

Strategic Default on First and Second Lien Mortgages  During the Financial Crisis


Strategic default behavior suggests that the default process is not only a matter of inability to pay.   Economic costs and benefits affect the incidence and timing of defaults.  As with prior research, we find that people default strategically as their home value falls below the mortgage value (exercise the put option to default on their first mortgage).   While some of these homeowners default on both first mortgages and second lien home equity lines, a large portion of the delinquent borrowers have kept their second lien current during the recent financial crisis.  These second liens, which are current but stand behind a seriously delinquent first mortgage, are subject to a high risk of default.   On the other hand, relatively few borrowers default on their second liens while remaining current on their first.  This paper explores the strategic factors that may affect borrower decisions to default on first vs. second lien mortgages.  We find that borrowers are more likely to remain current on their second lien if it is a home equity line of credit (HELOC) as compared to a closed-end home equity loan.  Moreover, the size of the unused line of credit is an important factor.  Interestingly, we find evidence that the various mortgage loss mitigation programs also play a role in providing incentives for homeowners to default on their first mortgages.

Link al Paper


Location Efficiency and Mortgage Default


Using a sample of over 40,000 mortgages in Chicago, Jacksonville, andSan Francisco, we model the probability of mortgage default based on differences in location efficiency. We used two proxy variables for location efficiency: 1) vehicles per household scaled by income and 2)Walk Score. We find that default probability increases with the number of vehicles owned after controlling for income. Further, we find that default probability decreases with higher Walk Scores in high income areas but increases with higher Walk Scores in low income areas. These results suggest that some degree of greater mortgage underwriting flexibility could be provided to assist households with the purchase of location efficient homes, without increasing mortgage default. They also support the notion that government policies around land use, zoning,infrastructure, and transportation could have significant impacts on mortgage default rates.

Link al Paper


Mortgage Choices and Housing Speculation


We describe a rational expectations model in which speculative bubbles in house prices can emerge. Within this model both speculators and their lenders use interest-only mortgages (IOs) rather than traditional mortgages when there is a bubble. Absent a bubble, there is no tendency for IOs to be used. These insights are used to assess the extent to which house prices in US cities were driven by speculative bubbles over the period 2000-2008. We find that IOs were used sparingly in cities where elastic housing supply precludes speculation from arising. In cities with inelastic supply, where speculation is possible, there was heavy use of IOs, but only in cities that had boom-bust cycles. Peak IO usage predicts rapid appreciations that cannot be explained by standard correlates and this variable is more robustly correlated with rapid appreciations than other mortgage characteristics, including sub-prime, securitization and leverage.Where IOs were popular, their use does not appear to have been a response to houses becoming more expensive. Indeed, their use anticipated future appreciation. Finally,consistent with the reason why lenders prefer IOs, these mortgages are more likely to berepaid earlier or foreclose. Combined with our model, this evidence suggests that speculative bubbles were an important factor driving prices in cities with boom-bust cycles.

Link al Paper


Fun & Finance


Fun & Finance Rollover

"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

Powered by

April 2020



Ingrese su dirección de email para suscribirse a este blog y recibir las notificaciones de nuevos posts via email

Join 35 other followers

Web Analytics Clicky