Annual Conference

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Economic Transformation of Asia, Senior Fellows/Fellows

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May 2017

Leverage Induced Fire Sales and Asset Prices

Jiangze BIAN, Cong LIN, Hao ZHOU, Kelly SHUE, Zhiguo HE
We provide direct evidence of leverage-induced fire sales contributing to a market crash using account-level trading data for brokerage- and shadow-financed margin accounts during the Chinese stock market crash of 2015. Margin investors heavily sell their holdings when their account-level leverage e...
Keywords: stock market, FinTech Lending, fire sales
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Annual Conference

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Investment Finance

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May 2017

Leverage

Pietro VERONESI, Tano SANTOS
Many stylized facts of leverage, trading, and asset prices follow from a frictionless general equilibrium model that features agents’ heterogeneity in endowments and habit preferences. Our model predicts that aggregate debt increases in good times when stock prices are high, return volatility is l...
Keywords: Risk Preferences, Leverage, Heterogeneity, Intermediary
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Specialty Conference

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Specialty Conference

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Nov 2018

Lessons for Cryptocurrencies from Foreign Exchange Markets

Charles ENGEL
This essay brings insights from the academic literature on foreign exchange rate determination to the analysis of cryptocurrency markets. We present a simple framework to summarize the factors that determine exchange rates. To the extent that cryptocurrencies are like national currencies issued by c...
Keywords: Foreign exchange, cryptocurrency, money, digital currencies, policy
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2014

Lending Pro-Cyclicality and Macro-Prudential Policy: Evidence from Japanese LTV Ratios

Arito ONO, Hirofumi UCHIDA, Gregory UDELL, Iichiro UESUGI
Using unique micro data compiled from the real estate registry in Japan, we examine more than 400,000 loan-to-value (LTV) business loan ratios to draw implications for caps on LTV ratios as a macroprudential policy measure. We find that the LTV ratio exhibits counter-cyclicality, behavior that would...
Keywords: LTV ratios, Pro-cyclicality, Macroprudential Policy, Bubble
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Annual Conference

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Real Estate and Urban Economics

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May 2021

Lending Next to the Courthouse: Exposure to Adverse Events and Mortgage Lending Decisions

Yuhai XUAN, Da HUO, Mingzhu TAI
Adverse housing market events can affect credit conditions not only by hurting the financial fundamentals of banks, but may also by changing the lending behaviors of individual loan officers. In this paper, we test the latter mechanism by analyzing loan-level mortgage applications from 2008 to 2016 ...
Keywords: mortgage lending, foreclosure, risk
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