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Leaning Against Boom-Bust Cycles in Credit and Housing Prices

Publications associées (56)

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Linear-Rational Term Structure Models

Damir Filipovic, Martin Larsson

We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: (i) ensures ...

Wiley2017

Mortgage Default in an Estimated Model of the U.S. Housing Market

Luisa Lambertini, Pinar Uysal, Victoria Nuguer

This paper models the housing sector, mortgages and endogenous default in a DSGE setting with nominal and real rigidities. We use data for the period 1981-2006 to estimate our model using Bayesian techniques. We analyze how an increase in risk in the mortg ...

2017

Building up Resilience in a Pharmaceutical Supply Chain through Inventory, Dual Sourcing and Agility Capacity

Ralf Seifert, Florian Christopher Matthias Lücker

This paper is inspired by a risk management problem faced by a leading pharmaceutical company. Key operational risk mitigation measures include Risk Mitigation Inventory (RMI), Dual Sourcing and Agility Capacity. We study the relationship between these thr ...

2017

Payment Size, Negative Equity, and Mortgage Default

Andreas Fuster

This paper studies the treatment effect of monthly payment size on mortgage default, using a sample of adjustable-rate loans that experienced large payment reductions thanks to the recent low interest rate environment. Payment size has an economically larg ...

2017

Credit Supply and the Macroeconomy

Abhik Mukherjee

The policy response to the recent financial crisis has broadly focused on two themes: 1) Increasing the banking sectorsâ resilience to future financial shocks: 2) Improving credit availability to households and firms via lowering both short and long-term ...

EPFL2016

Polynomial diffusions and applications in finance

Damir Filipovic, Martin Larsson

This paper provides the mathematical foundation for polynomial diffusions. They play an important role in a growing range of applications in finance, including financial market models for interest rates, credit risk, stochastic volatility, commodities and ...

Springer Verlag2016

Optimal exchange rate flexibility with large labor unions

Luisa Lambertini, Vincenzo Cuciniello

We study the optimal volatility of the exchange rate in a two-country model with sectoral non-atomistic wage setters, non-traded goods, nominal rigidities and alternative pricing assumptions – producer or local currency pricing. Labor unions internalize th ...

Elsevier2016

Economical Analysis of a Pressurized Fluid-Based Process Applied for Phytochemicals Recovery in a Sustainable Biorefinery Concept for Brazilian Ginseng Roots

François Maréchal

A growing number of technologies are being developed in order to produce different high added value products, such as phytochemicals, ethanol and other chemicals from biomass, representing an important trend that needs to be evaluated. The use of pressuriz ...

Aidic Servizi Srl2016

Portfolio and welfare consequences of debt market dominance

Serhiy Stepanchuk

The ability to issue debt that pays in units of the domestic good leads a country to accumulate a large and negative net foreign asset position while maintaining a positive position in equity. This debt market advantage also helps to explain the weak relat ...

Elsevier Science Bv2015

Financial Frictions within the Macroeconomy

Victoria Nuguer

Financial factors are central to the recent economic crisis. Most macroeconomic models treat banks and financial intermediation as a veil. These models are unable to account for the recent financial crisis and they cannot be used for policy evaluation. Fin ...

EPFL2014