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Systemic Risk and the Refinancing Ratchet Effect
Equity Mortgages Interest Rates Price Housing Risk and Uncertainty United States
2015/4/22
The confluence of three trends in the U.S. residential housing market-rising home prices, declining interest rates, and near-frictionless refinancing opportunities-led to vastly increased systemic ris...
The Flattening Firm and Product Market Competition: The Effect of Trade Liberalization
Trade Managerial Roles Organizational Change and Adaptation Organizational Design Organizational Structure
2015/4/21
This paper establishes a causal effect of competition from trade liberalization on various characteristics of organizational design. We exploit a unique panel dataset on firm hierarchies (1986-1999) o...
The foreign exchange market: return distributions, multifractality, anomalous multifractality and Epps effect
foreign exchange market multifractality Epps effect
2010/12/13
We present a systematic study of various statistical characteristics of high-frequency returns from the foreign exchange market. This study is based on six exchange rates forming two triangles: EUR-G...
Effect of Asian currency crisis on multifractal spectra
Asian currency crisis multifractal spectra
2010/12/13
We analyze the multifractal spectra of daily foreign exchange rates for Japan, Hong Kong, Korea, and Thailand with respect to the United States Dollar from 1991 to 2005. We find that the return time ...