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Loan insurance, market liquidity, and lending standards

We examine loan insurance when lenders can screen at origination, learn loan quality over time, and can sell loans in secondary markets. Loan insurance reduces lending standards but improves market liquidity. Lenders with worse screening ability insure, which commits them to not exploiting future private information about loan quality and improves the quality of uninsured loans traded. This externality implies insufficient insurance. A regulator achieves constrained efficiency by (i) guaranteeing a minimum price of uninsured loans to eliminate a welfare-dominated illiquid equilibrium; and (ii) subsidizing loan insurance in the liquid equilibrium. Our results can inform the design of government-sponsored mortgage guarantees

Komparativní makroekonomická analýza zemí Visegrádské skupiny

Předmětem práce je srovnání makroekonomického vývoje zemí Visegrádské skupiny. Po stručném charakterizování vývoje analyzovaných zemí v posledních 15 letech se práce soustředí na determinování vývoje vybraných složek HDP, konkrétně spotřeby domácností, importu a exportu. Na konkrétních časových řadách pro léta 1995 ? 2005 je ověřován význam faktorů předpokládaných základní makroekonomickou teorií při determinaci vývoje těchto složek HDP. Na základě výsledků z ekonometrických modelů je konstatováno, že se v případě analyzovaných zemí makroekonomická teorie uplatňuje pouze omezeně. Neshody s teorií jsou podobné u všech analyzovaných zemí a souvisí především s jejich transformací

Analysis of External Economic Stability of the Czech Rebulic

The purpose of this paper is to analyse external economic stability of the Czech Republic. The external economic stability is defined and basic theory related to especially intertemporal approach to external balances is reviewed. Special consideration is given to the transition character of the economy. The descriptive as well as econometric analysis (VAR and cointegration models) find that the Czech Republic is not dangerously imbalanced. A potential threat is found to be reresented by government budget deficits due to the problem of twin deficits

Essays on Shadow Banking and Asset Pricing

This dissertation deals with the topics related to securitization and with pricing of finan- cial assets in general. The topics are analyzed from a macroeconomic perspective using various theoretical and empirical methods. The first chapter studies the efficiency of financial intermediation through securitiza- tion with asymmetric information about the quality of securitized loans. In this theoret- ical model I show that, in general, by providing reputation-based implicit recourse, the issuer of a loan can credibly signal its quality. However, in boom stages of the business cycle, information on loan quality remains private, and lower quality loans accumulate on balance sheets. This deepens a subsequent downturn. The longer the duration of a boom, the deeper the fall of output in a subsequent recession will be. I present empir- ical evidence from securitization deal level data consistent with this result. Finally, the model suggests that excessive regulation which requires higher explicit risk-retention by the originators of loans can adversely affect both quantity and quality of investment in the economy. The second chapter presents a Markov-switching DSGE model which focuses on the adverse selection on re-sale markets for securitized products. The complexity of secu- ritized assets, which make it..

Analysis of External Economic Stability of the Czech Republic

The purpose of this paper is to analyse external economic stability of the Czech Republic. The external economic stability is defined and basic theory related to especially intertemporal approach to external balances is reviewed. Special consideration is given to the transition character of the economy. The descriptive as well as econometric analysis (VAR and cointegration models) find that the Czech Republic is not dangerously imbalanced. A potential threat is found to be reresented by government budget deficits due to the problem of twin deficits

Komparativní makroekonomická analýza zemí Visegrádské skupiny

Předmětem práce je srovnání makroekonomického vývoje zemí Visegrádské skupiny. Po stručném charakterizování vývoje analyzovaných zemí v posledních 15 letech se práce soustředí na determinování vývoje vybraných složek HDP, konkrétně spotřeby domácností, importu a exportu. Na konkrétních časových řadách pro léta 1995 ? 2005 je ověřován význam faktorů předpokládaných základní makroekonomickou teorií při determinaci vývoje těchto složek HDP. Na základě výsledků z ekonometrických modelů je konstatováno, že se v případě analyzovaných zemí makroekonomická teorie uplatňuje pouze omezeně. Neshody s teorií jsou podobné u všech analyzovaných zemí a souvisí především s jejich transformací

Analysis of External Economic Stability of the Czech Republic

The purpose of this paper is to analyse external economic stability of the Czech Republic. The external economic stability is defined and basic theory related to especially intertemporal approach to external balances is reviewed. Special consideration is given to the transition character of the economy. The descriptive as well as econometric analysis (VAR and cointegration models) find that the Czech Republic is not dangerously imbalanced. A potential threat is found to be reresented by government budget deficits due to the problem of twin deficits

Analysis of External Economic Stability of the Czech Rebulic

The purpose of this paper is to analyse external economic stability of the Czech Republic. The external economic stability is defined and basic theory related to especially intertemporal approach to external balances is reviewed. Special consideration is given to the transition character of the economy. The descriptive as well as econometric analysis (VAR and cointegration models) find that the Czech Republic is not dangerously imbalanced. A potential threat is found to be reresented by government budget deficits due to the problem of twin deficits