We introduce a new measure of the price charged by financial intermediaries for con-necting mortgage borrowers with capital market investors. Based on administrativelender pricing data, we document that the price of intermediation reacts stronglyto variatio ...
This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the economic effects of m ...
This thesis studies the origins and consequences of financial crises, and computational techniques to solve continuous-time economic models that explain such crises.The first chapter shows that financial recessions are typically characterised by a large ...
This thesis consists of three applications of machine learning techniques to empirical asset pricing.
In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...
This paper analyzes efficiency and profitability in the Swiss banking sector over the period 1997–2019. We find strong evidence for scale economies: for most banks in the sample, efficiency and profitability increase with bank size. Using an instrumental v ...
After the financial crisis, policy rates in the major advanced economies have moved downwards to near/below zero. Some countries have experienced an increase in house prices and an expansion of mortgages. Also, there have been considerable changes in the m ...
Low-for-long nominal interest rates have resulted in strong growth in mort- gage lending and real house prices in Switzerland. Domestically-oriented, small banks have mostly contributed to this expansion in mortgage lending while the two big, global system ...
Presented here are experiments clarifying how the deformation of cavitation bubbles affects their rebound. Rebound bubbles carry the remaining energy of a bubble following its initial collapse, which dissipates energy mainly through shock waves, jets, and ...
COVID-19 represents the most severe global crisis to date whose public conversation can be studied in real time. To do so, we use a data set of over 350 million tweets and retweets posted by over 26 million English speaking Twitter users from January 13 to ...
Background: The Lifestyle-integrated Functional Exercise (LiFE) program is an intervention integrating balance and strength activities into daily life, effective at reducing falls in at-risk people >= 70 years. There is potential for LiFE to be adapted to ...
