Annual Conference

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International Macroeconomics, Money & Banking, Senior Fellows/Fellows

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May 2016

Mortgage Refinancing, Consumer Spending and Competition

Sumit AGARWAL, Amit SERU, Tomasz PISKORSKI, Vincent YAO, Gene AMORMIN, Souphala CHOMSISENGPHET
Using loan-level mortgage data merged with consumer credit records, we examine the ability of the government to impact mortgage refinancing activity and spur consumption by focusing on the Home Affordable Refinance Program (HARP). The policy relaxed housing equity constraints by extending government...
Keywords: financial crisis, HARP, Debt, Refinancing, Consumption, Spending, Household Finance, Mortgages, Policy Intervention
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Specialty Conference

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Specialty Conference

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Jan 2017

Mortgage Lending, Banking Crises and Financial Stability in Asia

Peter J. MORGAN, Yan ZHANG
Our paper investigates the relationship between financial stability and mortgage lending. We estimated the effect of the share of mortgage lending by individual banks (together with some control variables) on two measures of financial stability—the bank Z-score and the non-performing loan ratio—...
Keywords: Financial stability, mortgage lending, non-performing loans
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2017

More than Words: A Textual Analysis of Monetary Policy Communication

Pongsak LUANGARAM, Warapong WONGWACHARA
This paper employs various tools from computational linguistics to monetary policy statements to gain exploratory insights into the nature of central bank communication. The sample was taken from a wide array of central banks, covering major central banks and others under the inflation-targeting (IT...
Keywords: monetary policy, Communication, Computational linguistics
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Moonshots, Investment Booms, and Selection Bias in the Transmission of Cultural Traits

David HIRSHLEIFER, Joshua PLOTKIN
Biased information about the payoffs received by others can drive innovation, risk-taking, and investment booms. We study this cultural phenomenon using a model based on two premises. The first is a tendency for large successes, and the actions that lead to them, to be more salient to onlookers than...
Keywords: Cultural Evolution, Evolutionary Finance, Biased Censorship, Irrational Behavior, Price Equation, Mutation Pressure
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Mood Beta and Seasonalities in Stock Returns

David HIRSHLEIFER, Danling JIANG, Yuting MENG
Existing research has documented cross-sectional seasonality of stock returns—the periodic outperformance of certain stocks during the same calendar months or weekdays. A model in which assets differ in their sensitivities to investor mood explains these effects and implies other seasonal patterns...
Keywords: Return seasonality, Investor mood, Mood beta, market efficiency, anomalies
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