Articoli di riviste: "US Subprime"

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Bhatt, Dr Kaushal. "Impact of US Subprime Crisis on Indian Economy". Indian Journal of Applied Research 2, n. 1 (1 ottobre 2011): 76–77. http://dx.doi.org/10.15373/2249555x/oct2012/26.

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Cerveny, Frank. "Die US-Subprime-Krise". Bankfachklasse 30, n. 10 (ottobre 2008): 12–14. http://dx.doi.org/10.1007/bf03255449.

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Roy, Rahul, e Santhakumar Shijin. "The nexus of asset pricing, volatility and the business cycle". Journal of Economic Studies 48, n. 1 (4 maggio 2020): 79–101. http://dx.doi.org/10.1108/jes-08-2019-0357.

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PurposeThe purpose of the study is to examine the dynamics in the troika of asset pricing, volatility, and the business cycle in the US and Japan.Design/methodology/approachThe study uses a six-factor asset pricing model to derive the realized volatility measure for the GARCH-type models.FindingsThe comprehensive empirical investigation led to the following conclusion. First, the results infer that the market portfolio and human capital are the primary discounting factors in asset return predictability during various phases of the subprime crisis phenomenon for the US and Japan. Second, the empirical estimates neither show any significant impact of past conditional volatility on the current conditional volatility nor any significant effect of subprime crisis episodes on the current conditional volatility in the US and Japan. Third, there is no asymmetric volatility effect during the subprime crisis phenomenon in the US and Japan except the asymmetric volatility effect during the post-subprime crisis period in the US and full period in Japan. Fourth, the volatility persistence is relatively higher during the subprime crisis period in the US, whereas during the subprime crisis transition period in Japan than the rest of the phases of the subprime crisis phenomenon.Originality/valueThe study argues that the empirical investigations that employed the autoregressive method to derive the realized volatility measure for the parameter estimation of GARCH-type models may result in incurring spurious estimates. Further, the empirical results of the study show that using the six-factor asset pricing model in an intertemporal framework to derive the realized volatility measure yields better estimation results while estimating the parameters of GARCH-type models.

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Dymski, Gary. "Racial Exclusion and the Political Economy of the Subprime Crisis". Historical Materialism 17, n. 2 (2009): 149–79. http://dx.doi.org/10.1163/156920609x436162.

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AbstractThis paper develops a political economic explanation of the 2007–9 US subprime crisis which focuses on one of its central causes: the transformation of racial exclusion in US mortgage-markets. Until the early 1990s, racial minorities were systematically excluded from mortgage-finance due to bank-redlining and discrimination. But, then, racial exclusion in credit-markets was transformed: racial minorities were increasingly given access to housing-credit under terms far more adverse than were offered to non-minority borrowers. This paper shows that the emergence of the subprime loan is linked, in turn, to the strategic transformation of banking in the 1980s, and to the unique global circumstances of the US macro-economy. Thus, subprime lending emerged from a combination of the long US history of racial exclusion in credit-markets, the crisis of US banking, and the position of the US within the global economy. From the viewpoint of the capitalist accumulation-process, these loans increased the depth of the financial expropriation of the working class by financial capital. The crisis in subprime lending then emerged when subprime loans with exploitative terms became more widespread and were made increasingly on an under-collateralised basis – that is, when housing-loans became not just extortionary but speculative.

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Li, Haoyang. "The Influence of Covid-19 on Subprime in the U.S." E3S Web of Conferences 235 (2021): 01063. http://dx.doi.org/10.1051/e3sconf/202123501063.

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Subprime lending in the United States was a major concern after the 2008 financial crisis. While Covid-19 is sweeping the world, how will the US government and financial institutions deal with the potential crisis of subprime mortgage will be discussed in this study. Financial market institutions and the US government should both change their strategies to deal with the crisis. In addition to controlling the spread of the epidemic, the US government should temporarily lower the minimum wage and provide a series of quantitative financial subsidies. Financial institutions should also update loan data and use better monitoring and regulation to reduce subprime risk to cope with this potential crisis.

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Nikkinen, Jussi, Kashif Saleem e Minna Martikainen. "Transmission Of The Subprime Crisis: Evidence From Industrial And Financial Sectors Of BRIC Countries". Journal of Applied Business Research (JABR) 29, n. 5 (28 agosto 2013): 1469. http://dx.doi.org/10.19030/jabr.v29i5.8028.

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Although, there is an apparent consensus about the contagion effects of the current US subprime crisis. However, the transmission and repercussions of US subprime crisis, as well as the nature of the transformation suffered by different economic sectors between the US and other markets are such empirical questions that have not been dealt with comprehensively, yet. In this paper, by utilizing the multivariate GARCH analysis of Engle and Kroner (1995) for which a BEKK representation is adopted, we examine the transmission of the US subprime crisis across BRIC financial markets. Moreover, to identify the extent of contagion, we also inspect the diffusion of US subprime crisis to BRIC equity markets financial and industrial sectors. We found interesting evidence of volatility spillovers from US financial sector to all the BRIC markets financial sectors both in the full sample and crisis period. Similarly, except Chinese industrial sector, we observe contagion effects from US to Brazilian, Russian and Indian equity markets industrial sectors. Our results exhibit direct linkage for both returns and volatility between the US equity market and the BRIC markets. Equity markets of Russia and India, however, were found hardly hit during the crisis period among the BRIC countries. Finally, we found no support for the decoupling view while investigating the fastest growing emerging markets, the BRIC countries.

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Ismail, Encup Supriatna e Moh Dulkiah. "What is at the Root of the American Global Crisis?" International Journal of Science and Society 1, n. 2 (11 settembre 2019): 1–13. http://dx.doi.org/10.54783/ijsoc.v1i2.9.

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The rising defaults on subprime mortgages in the US triggered a global crisis for the money markets. The fact is the global financial crisis started with the US policies. What began with elevated losses on US subprime mortgages has spread beyond the borders of the United States and the confines of the mortgage market. Many of the world’s leading investment banks have collapsed as a result. Depression, a thing of the past, has made a striking comeback. Will it come back again in the future? Who is to blame? What should be done to avoid future incidence?

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Anundsen, André K. "Econometric Regime Shifts and the US Subprime Bubble". Journal of Applied Econometrics 30, n. 1 (gennaio 2015): 145–69. http://dx.doi.org/10.1002/jae.2367.

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Zhang, Zhuozhe. "Global Financial Crisis: Cause, Impact and Response". BCP Business & Management 40 (8 marzo 2023): 136–48. http://dx.doi.org/10.54691/bcpbm.v40i.4372.

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The subprime crisis is a financial calamity brought on by subprime mortgage companies going bankrupt, investment funds being forced to close, and major stock market shocks. At the start of this century, the US stock market, real estate market, and other asset markets experienced a number of asset bubbles due to excess liquidity, house purchase policy stimulus, financial innovation, and other factors. Along with the tightening of monetary policy, the weakening of the US housing market, and particularly the rise in short-term interest rates, the interest rate for repaying subprime mortgages surged considerably. At the same time, buyers find it challenging to sell their homes or refinance utilising mortgage housing because to the ongoing cooling of the housing market. Due to the failure of many subprime borrowers to make scheduled loan repayments and the failure of banks to sell their properties at high prices, which resulted in significant losses, the subprime crisis was directly caused by these events. Most people agree that the absence of a mechanism for financial monitoring was a major factor in the crisis. The United States has accelerated the adoption of neo liberal economic policies during the past three decades, which is one of the primary causes. However, more than ten years after the United States stabilised the financial system through monetary, fiscal, financial, and other measures, the global economy has been hit considerably more severely and has not yet fully emerged from the shadow of the crisis.

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Gopinath, Tulasi. "Does Subprime Mortgage Crisis in the US Impact India?" Indian Economic Journal 56, n. 3 (ottobre 2008): 159–80. http://dx.doi.org/10.1177/0019466220080311.

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Anundsen, André Kallåk, e Christian Heebøll. "Supply restrictions, subprime lending and regional US house prices". Journal of Housing Economics 31 (marzo 2016): 54–72. http://dx.doi.org/10.1016/j.jhe.2016.02.001.

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Muller-Kahle, Maureen I., e Krista B. Lewellyn. "Did Board Configuration Matter? The Case of US Subprime Lenders". Corporate Governance: An International Review 19, n. 5 (10 agosto 2011): 405–17. http://dx.doi.org/10.1111/j.1467-8683.2011.00871.x.

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Dymski, Gary A. "Development as Social Inclusion: Reflections on the US subprime crisis". Development 53, n. 3 (26 agosto 2010): 368–75. http://dx.doi.org/10.1057/dev.2010.48.

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Bandyopadhyay, Satiprasad, Ranjini Jha e Duane Kennedy. "The effect of the US subprime crisis on Canadian banks". Advances in Accounting 36 (marzo 2017): 58–74. http://dx.doi.org/10.1016/j.adiac.2016.08.005.

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Lee, Yen-Hsien, Alan L. Tucker, David K. Wang e Hsin-Ting Pao. "Global contagion of market sentiment during the US subprime crisis". Global Finance Journal 25, n. 1 (2014): 17–26. http://dx.doi.org/10.1016/j.gfj.2014.03.003.

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Tilfani, Oussama, Paulo Ferreira, Andreia Dionisio e My Youssef El Boukfaoui. "EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients". Journal of Risk and Financial Management 13, n. 5 (7 maggio 2020): 91. http://dx.doi.org/10.3390/jrfm13050091.

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For this paper, we dynamically analysed the comovements between three major stock markets—Germany, the UK, and the US—and the countries of the European Union, divided into two groups: Eurozone and non-Eurozone. Correlation coefficients based on a detrended cross-correlation analysis (DCCA) were used, and the respective temporal variation was evaluated. Given the objective of performing a dynamic analysis, sliding windows were used in an attempt to represent short and long-term analyses. Critical moments in financial markets worldwide were also taken into account, namely the subprime debt crisis, the sovereign debt crisis, and Brexit. The results suggest that Germany and other Eurozone countries generally share high levels of comovements, although the Brexit decision reduced those connections. The subprime crisis also increases comovements among markets.

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Huang, Liangkai. "Did Monetary Policy Cause a Housing in The US In The First Half Of The 2000S". BCP Business & Management 29 (12 ottobre 2022): 346–50. http://dx.doi.org/10.54691/bcpbm.v29i.2294.

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In the early 21st century, a global financial crisis occurred in the global financial history. The US subprime crisis in 2007 has evolved into a global financial crisis, which not only impacted the financial industry of various countries, but also spread to the sandwich economy. In this context, it is of great practical and theoretical significance to timely sort out various academic theoretical views on the causes of the financial crisis and analyze the deep causes of the current financial crisis using Marx's economic crisis theory, which has great enlightenment on the improvement and supervision of China's financial market. Based on data statistics and model recommendations, this paper deeply studies the causes of subprime housing credit in the United States, and concludes that the monetary policy of the Federal Reserve is to a large extent the main cause of the housing crisis in the United States.

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He, Beier. "The Subprime Crisis: Cause and Effect". Highlights in Business, Economics and Management 5 (16 febbraio 2023): 336–41. http://dx.doi.org/10.54097/hbem.v5i.5101.

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This research explains and analyzes how the Subprime Crisis happened in 2008 and how the crisis impacted the market and policy in America. The causes are unfolded from three perspectives. First reason is that government adopt a low interest rating, aiming at increasing the house affordability. Second, excessively innovative financial products, such as MBS, and credit rating agencies lead to even more unlimited loans with poor quality. Third, the complex commercial chain behind mortgage products enlarged the range of the crisis’s influence, which is triggered by government increasing the interest rate. The meltdown of subprime commercial chain brings a series damages: house market bubble burst, banks and businesses broken, rapidly decreasing employment rate, etc. To control the continuing damages from the collapse of mortgage market, the US government begins to intervene the market by promulgating laws, including Dodd-Frank legislation and Basel III to regulate and restrict businesses’ and banks’ behaviors.

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Hasnaoui, Habib, e Ibrahim Fatnassi. "Time-Varying Beta And The Subprime Financial Crisis: Evidence From U.S. Industrial Sectors". Journal of Applied Business Research (JABR) 30, n. 5 (27 agosto 2014): 1465. http://dx.doi.org/10.19030/jabr.v30i5.8799.

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<p>In the current study, we investigate the effect of the subprime financial crisis on the time-varying beta of 10 U.S. industrial sectors. We use daily data, during the period 2002 through 2014, and the bivariate BEKK-GARCH model to the conditional capital asset pricing model (CAPM) to create the time-varying betas for the 10 sectors. After controlling for local and global volatilities, the data enable us to confirm the different magnitudes of influence of the subprime crisis on the 10 industrial sectors. The results are important for investors and portfolio managers, and may have policy implications.</p>

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Sangeeta e Ruchika Bhateja. "Impact of Subprime Crisis on Macroeconomic Factors of us and India". International Journal of Management Studies VI, n. 5 (10 giugno 2019): 109. http://dx.doi.org/10.18843/ijms/v6si5/18.

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孙, 云. "The Reflection of Us Subprime Crisis on China’s Mortgage-Backed Securitization". Finance 07, n. 01 (2017): 32–37. http://dx.doi.org/10.12677/fin.2017.71004.

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TSUJIMURA, Masako. "An Application of Leontief Inverse to the US Subprime Mortgage Crisis". Input-Output Analysis 17, n. 1-2 (2009): 88–104. http://dx.doi.org/10.11107/papaios.17.88.

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Grahl, John. "The professors and the banks: US views on the subprime crisis". International Review of Applied Economics 28, n. 3 (25 febbraio 2014): 383–400. http://dx.doi.org/10.1080/02692171.2013.872088.

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MOZUMDER, SHARIF, e ARAFATUR RAHMAN. "MARKET RISK OF INVESTMENT IN US SUBPRIME CRISIS: COMPARISON OF A PURE DIFFUSION AND A PURE JUMP MODEL". Annals of Financial Economics 11, n. 03 (settembre 2016): 1650013. http://dx.doi.org/10.1142/s2010495216500135.

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We consider the oldest financial model to estimate the market risk of investment underlying the world indexes and compare its risk management features with those of a newer model. Our concern is the risk underlying the world indexes in the recent US subprime crisis period. We illustrate how the recent variance gamma (VG) pure jump model is comparable with one of the earliest pure diffusion (Bachelier (BC)) model in estimating investment risk in financial markets using the tail risk measure value-at-risk (VaR) and its coherent version expected shortfall (ES). We observe that for pure jump VG model single quantile VaR is consistently a better performer across indexes; however for tail average risk measure ES, VG is not a consistently better performer; pure diffusion Bachelier model gives ES estimates which are often — not always — better than VG. This provides one more empirical indication that the combination of diffusion and jump is likely to be more effective in turbulent times, e.g., in US subprime crisis period.

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Monte, Edson Zambon, Renzo Caliman Souza e Ricardo Ramalhe Moreira. "Interrelationships Between the Brazilian Financial Market and Foreign Financial Markets: New Evidence During and After the Subprime Crisis". International Journal of Economics and Finance 15, n. 5 (10 aprile 2023): 37. http://dx.doi.org/10.5539/ijef.v15n5p37.

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This study analyzed the financial interrelations between Brazil and selected foreign economies (United States (US), Germany, United Kingdom (UK), Japan and China) during and after the Subprime crisis, using three financial market indicators: stock market index, exchange rate and interest rate. The Vector Autoregressive approach and the Granger causality test were used, with daily data. The periods considered were: i) period of crisis (03/14/2007 to 03/31/2010); and ii) post-crisis period (04/01/2010 to 12/30/2019). The results revealed that in the Subprime crisis, the interrelations were intense, especially in the stock and exchange markets. IBOVESPA and Brazilian exchange rate were predominantly affected by the US, German and UK equity markets. Evidence in the post-crisis period showed considerably lesser interrelationships between the Brazilian financial market and foreign financial markets. Thus, the results confirmed that the crisis significantly intensified interrelations, with the main contagion channels as the stock markets and the foreign exchange markets.

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Watson, Ronald D. "Subprime Mortgages, Market Impact, and Safety Nets". Review of Pacific Basin Financial Markets and Policies 11, n. 03 (settembre 2008): 465–92. http://dx.doi.org/10.1142/s021909150800143x.

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The US financial system is undergoing a painful restructuring as credit losses originating in the mortgage finance sector of the economy grow ever larger. A combination of factors including general prosperity, demographic shifts in demand for housing, low interest rates, innovations in mortgage lending and securitization, and a breakdown in credit quality control systems all contributed to this problem. Public policymakers and industry leaders are struggling to find ways to stem the credit losses, restructure and recapitalize the financial industry, and set the economy on a path to recovery. This paper reviews the origins of this problem, explains the events that precipitated the crisis in 2007, and analyzes the pros and cons of the "fixes" that have been proposed to address these problems.

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Rivera-Escobar, Orlando, John Willmer Escobar e Diego Fernando Manotas. "Measurement of Systemic Risk in the Colombian Banking Sector". Risks 10, n. 1 (13 gennaio 2022): 22. http://dx.doi.org/10.3390/risks10010022.

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This paper uses three methodologies for measuring the existence of systemic risk in the Colombian banking system. The determination of its existence is based on implementing three systemic risk measures widely referenced in academic works after the subprime crisis, known as CoVaR, MES and SRISK. Together, the three methodologies were implemented for the case of Colombian Banks during the 2008–2017 period. The findings allow us to establish that the Colombian banking sector did not present a systemic risk scenario, despite having suffered economic losses due to external shocks, mainly due to the subprime crisis. The results and findings show the efficiency of the systemic risk measures implemented in this study as an alternative to measure systemic risk in banking systems.

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Bardhan, Ashok. "Housing and the Financial Crisis in the US: Cause or Symptom?" Vikalpa: The Journal for Decision Makers 34, n. 3 (luglio 2009): 1–8. http://dx.doi.org/10.1177/0256090920090301.

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After steady growth for a decade and a half, the US economy is now in the grip of a serious recession. While the source of the current economic crisis lies in the housing and housing finance sectors, the so-called subprime crisis should be seen as a symptom of deeper structural and politico-economic problems of today's globalized capitalism, rather than the primary cause of the broader crisis. Considering growing financial complexity and regulatory requirements, and issues of equity and fairness, Ashok Bardhan expects a greater role for government institutions in the future.

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Wachter, Susan. "The Market Structure of Securitisation and the US Housing Bubble". National Institute Economic Review 230 (novembre 2014): R34—R44. http://dx.doi.org/10.1177/002795011423000104.

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Housing finance and, specifically, the subprime private label securitisation market in the US, was at the epicentre of the global financial crisis. Excessive debt expansion in the run-up to the crisis resulted in credit risk, under-identified and mispriced ex ante, and in systemic risk. This paper considers the role of financial innovation in debt markets and the changing market structure of securitisation in the evolution of the US housing price bubble. New financing vehicles contributed to growing risk, but the more salient factor was the change in the structure of securitisation, which led to unsustainable levels of debt.

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Liu, Bruce Jianhe, Yubin Wang, Jingjing Wang, Xin Wu e Shu Zhang. "Is China the price taker in soybean futures?" China Agricultural Economic Review 7, n. 3 (7 settembre 2015): 389–404. http://dx.doi.org/10.1108/caer-10-2014-0104.

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Purpose – The purpose of this paper is to examine whether China is still a passive price taker from the US soybean futures, or instead domestic futures market has developed certain degrees of pricing power through time. The finding helps to identify the importance of China soybean futures in the perspective of portfolio selection for international futures traders. If China soybean futures market is no longer a price taker after the subprime crisis, traders need to include it as a separate category in their portfolio. Design/methodology/approach – This paper uses exponential generalized autoregressive conditional heteroskedasticity-generalized error distribution (EGARCH-GED) and generalized autoregressive conditional heteroskedasticity-generalized error distribution (GARCH-GED) models to test spillover effects between Dalian Commodity Exchange (DCE) and Chicago Board of Trade (CBOT) soybean futures. The authors divide daily samples into three subperiods based on the subprime crisis. Three research questions – whether China is still the price taker, the importance of Chinese soybean futures in international futures portfolio selection, and the influences of subprime crisis on soybean futures volatility relationship – are examined by comparing estimation results through time and different contracts. Findings – The spillover effect from CBOT soybean futures to DCE No. 1 soybean futures becomes weaker through time. China is no longer a soybean futures price taker after the subprime crisis. The authors also find the shocks of bearish news on DCE soybeans are greater than those of bullish news. Potential volatility of DCE in long positions is bigger than that in short positions. Practical implications – China is the largest soybean importer. DCE is a very important futures market for non-genetically modified soybeans. It is necessary for both international and domestic futures traders to understand the changes in international soybean futures price relationship and take corresponding strategies. It is also important for market to realize that DCE soybean futures are to a less degree price taker after the subprime crisis. Originality/value – The paper applies EGARCH-GED and GARCH-GED models to identify changes in spillover effects before, during, and after the subprime crisis. Different from other studies, this paper finds after the subprime crisis, China is no longer the soybean futures price taker. This paper also compares the spillover effects of non-genetically modified soybean futures (No. 1 soybean futures) with genetically modified soybean futures (No. 2 soybean futures).

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Grammatikos, Theoharry, Thorsten Lehnert e Yoichi Otsubo. "Market perceptions of US and European policy actions around the subprime crisis". Journal of International Financial Markets, Institutions and Money 37 (luglio 2015): 99–113. http://dx.doi.org/10.1016/j.intfin.2015.02.007.

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Mayer, Margit. "Das neue Elend der US-Städte". PROKLA. Zeitschrift für kritische Sozialwissenschaft 41, n. 163 (1 giugno 2011): 253–72. http://dx.doi.org/10.32387/prokla.v41i163.353.

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The recent financial and economic crisis had its origins in the subprime mortgage collapse that wreaked havoc across urban America, with exploding foreclosure and eviction rates confronting municipalities with entirely new challenges. On top of these housing market and vacancy problems, the financial crisis has squeezed municipal budgets so that local politicians have themselves resorted to risky fiscal innovations as well as to increasingly severe cuts in public sector and social programs, aggravating poverty, homelessness and the decay of public urban infrastructures. While these developments occur unevenly across different types of cities and regions, and state measures to deal with the accelerating social problems have also varied, trends of instrumentalizing the ‘budget crisis’ for consolidating class power can be identified. With the assault on public sector unions launched by a number of states and cities, some disparate protest and resistance movements have begun to emerge.

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Singh, Amanjot, e Parneet Kaur. "Stock Market Linkages: Evidence From The US, China And India During The Subprime Crisis". Timisoara Journal of Economics and Business 8, n. 1 (1 giugno 2015): 137–62. http://dx.doi.org/10.1515/tjeb-2015-0012.

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AbstractThe Subprime crisis spillovered the returns and volatility from the US stock market to the other integrated economies. The present study attempts to analyze the stock market linkages between the US, India and China, especially during the US subprime Crisis. The technique of Tri-Variate Vector Autoregression and the Spillover Index has been employed so as to analyze the relations during the time period 2007 to 2009. To estimate the time varying risk parameters, the technique of Threshold Generalized Autoregressive Conditional Heteroskedastic [TGARCH (1,1)] model has been used. A uni-directional causality has been observed from the US market to the Indian and Chinese market, whereas another unidirectional causality has also been spotted running from the Chinese market to the Indian market in the context of stock market returns during the crisis period. A unidirectional volatility spillover from the US to the Indian market and from the Indian to the Chinese market has been found to be significant. As per the volatility Spillover Index, the cross market impact on the volatility reduces over a time period 2007-2009, due to the increased impact of the past volatility and the presence of 'leverage effect'. The falling returns added to the volatility in the respective markets. The efficient tests of causality inspired by Hill (2007) reported an indirect impact of the US market volatility on the Chinese market via Indian. The portfolio managers should discount this information well ahead of time to maintain the portfolio values by taking positions in futures and options market.

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Donadelli, Michael. "Uncertainty shocks and policymakers’ behavior: evidence from the subprime crisis era". Journal of Economic Studies 42, n. 4 (14 settembre 2015): 578–607. http://dx.doi.org/10.1108/jes-01-2014-0016.

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Purpose – The purpose of this paper is to examine the effects of the 2007-2009 uncertainty shocks on policymakers’ behavior. Design/methodology/approach – Uncertainty shocks in the US credit, financial and production markets are represented by extraordinary events. As in Bloom (2009), these events are associated with significant economic and political shocks (e.g. Lehman Brothers’ collapse). Credit markets uncertainty shocks, which played a crucial role in the aftermath of the house prices collapse in the USA, are first analyzed in a bivariate VAR context, and then, embodied in a simple theoretical framework. Findings – The empirical evidence suggests that the US credit, financial and production markets have been affected by a relative large number of uncertainty shocks (i.e. rare events). In a Brainard’s (1967) uncertainty scenario, it is shown that a bizarre money-liquidity relationship exacerbates the “policymakers’ cautiousness-aggressiveness trade-off.” In addition, the model suggests that a “double” dose of policy, in presence of a global credit crunch, might be useless. Originality/value – This paper improves the existing literature in two main directions. First, it provides novel empirical evidence on the unusual dynamics of the US credit market and its effects on the real economic activity during the crisis. Second, in a very simple theoretical framework accounting for parameter uncertainty, it addresses whether a bizarre money-credit relationship affects policymakers’ behavior (i.e. cautiousness vs aggressiveness).

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Chin, Wen Cheong, Min Cherng Lee, Tan Pei Pei, Grace Lee Ching Yap e ChristineTan Nya Ling. "Dynamic Long Memory High Frequency Multipower Variation Volatility Evaluations for S&P500". Modern Applied Science 10, n. 5 (4 febbraio 2016): 1. http://dx.doi.org/10.5539/mas.v10n5p1.

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<p class="MsoNormal" style="text-align: justify; text-justify: inter-ideograph; tab-stops: 56.7pt;">This study explores the multipower variation integrated volatility estimates using high frequency data in financial stock market. The different combinations of multipower variation estimators are robust to drastic financial jumps and market microstructure noise. In order to examine the informationally market efficiency, we proposed a rolling window estimate procedures of Hurst parameter using the modified rescale-range approach. In order to test the robustness of the method, we have selected the S&P500 as the empirical data. The empirical study found that the long memory cascading volatility is fluctuating across the studied period and drastically trim down after the subprime mortgage crisis. This time-varying long memory analysis allow us to understand the informationally market efficiency before and after the subprime mortgage crisis in U.S.</p>

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Ammar, SAMOUT. "BEHAVIOUR OF FINANCIAL MARKETS DURING THE SUBPRIME CRISIS". INTERNATIONAL JOURNAL OF MANAGEMENT & INFORMATION TECHNOLOGY 11, n. 2 (30 giugno 2016): 2657–72. http://dx.doi.org/10.24297/ijmit.v11i2.4857.

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The objective of this article is to highlight the nature of the relationship between several stock markets (France, the great Britain, Germany, and United States). The behavior of those facing the subprime crisis that took place in United State markets we tried to analyze in August 2007. Empirically to make think back to these questions, we relied primarily on testing correlation. The result of this test demonstrates the significant increase in the correlation between stock markets: US, French, Germany and Britain during the period of the crisis. We interpret this increase as evidence of contagion. Secondly, it was based on the theory of co-integration. The results of the co-integration tests show the existence of three co-integration relationships between the most stock markets. The existence of co-integration relationship is evidence of contagion and integration of stock markets. Thirdly, we tried to apply the causality test between stock indices. The result of this test shows the existence of several causality between these indices confirming the importance of contagion during the crisis.

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Lakshmi, P., S. Visalakshmi e Kavitha Shanmugam. "Intensity of shock transmission amid US-BRICS markets". International Journal of Emerging Markets 10, n. 3 (20 luglio 2015): 311–28. http://dx.doi.org/10.1108/ijoem-04-2013-0063.

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Purpose – The purpose of this paper is to analyze the intensity of transmission of shocks from USA to BRICS countries in the long-run and short-run deviations and swiftness of recovery during US subprime mortgage crisis. This analysis enables the authors to explore the evolving patterns of relationships between these markets and examine whether their co-movements altered either in response to international shocks that originated in advanced markets like USA or due to their domestic fluctuations. Design/methodology/approach – Employing data of daily stock market indices (open and close) of BRICS countries for the period January 2, 2001 to May 31, 2012, this paper examines the interactions and characteristics of price movements of BRICS with US market by applying co-integration tests, vector error correction model and Granger causality relationship. The daily stock market indices data are derived from respective stock exchange web sites. Findings – The results exhibit that both long-run co-integration relationships and short-run Granger causality relationships exist between the stock markets of US-BRICS. Furthermore, this nexus is amplified in the short-run during 2007-2009, when the subprime mortgage financial crisis in the USA cropped up. This finding lends support to the prominence of developed (US) market links in the proliferation of persistent co-movements of BRICS stock markets. Research limitations/implications – The findings imply an increasing degree of global market integration due to quick dissemination of global shocks originating from developed market like USA, and swift recovery which can be attributed to the increased resilience, consistent with the moderated level of domestically driven risk in the BRICS markets. In spite of their similarities, long-run and short-run interdependences with the US stock market exhibit differences among the BRICS. This can be attributed to the regional heterogeneity in long-run risk and return co-movements with the USA. Practical implications – Changes from the US index easily affect these stock markets in the short-run, which implies that the US index may act as a leading indicator for investing funds in BRICS markets. Originality/value – This study would enable the authors to understand whether BRICS economies actually remain resilient to adverse developments in USA and could serve as alternative investment destinations for global portfolio diversification.

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Siddiqui, Sikandar, e Margrit Seckelmann. "Der Subprime-Kollaps: Ursachen, Auswirkungen und Implikationen für staatliches Handeln". dms – der moderne staat – Zeitschrift für Public Policy, Recht und Management 2, n. 1 (10 maggio 2009): 133–57. http://dx.doi.org/10.3224/dms.v2i1.08.

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Dieser Text beschreibt den Zusammenbruch des Marktes für US-amerikanische Subprime-Hypotheken und erklärt, wie sich dieses Geschehen zu einer internationalen Finanzmarktkrise ausweiten konnte. Darauf aufbauend wird eine Bestandsaufnahme der für international tätige Kreditinstitute der¬zeit maßgeblichen öffentlichen Regulierungen vorgenommen und daraus eine Reihe von Handlungsempfehlungen für eine Überarbeitung dieser Vorgaben abgeleitet. Die sich anschließende ökonomische Analyse der wahrscheinlichen Auswirkungen aktueller staatlicher „Rettungsmaßnahmen“ für den Bankensektor mündet in einen alternativen Vorschlag zur Stabilisierung der Bewältigung der aktuellen Krisensituation.

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Theunissen, Anton. "Securitization, loan modification and the supply of subprime mortgage credit in the US". Risk Governance and Control: Financial Markets and Institutions 3, n. 3 (2013): 149–62. http://dx.doi.org/10.22495/rgcv3i3c1art6.

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This paper develops a continuous time, contingent claims model of mortgage valuation with strategic behavior to show that mortgages that are securitized are characterized by significantly higher loan to value ratios than mortgages held on the balance sheet of the originator, if securitized mortgages cannot be renegotiated. Insofar as securitization inhibits loan modification, it serves as a credible threat to the borrower that default will provoke foreclosure. This enhances the value of the lender’s claim on the loan collateral, the home, and she is willing to lend more per dollar of collateral value. An important implication of the analysis is that the higher loan to value ratio for the securitized mortgage does not imply that the securitized mortgage is characterized by looser underwriting standards than the mortgage held on balance sheet. Higher loan to value ratios for securitized mortgages do not necessarily constitute evidence that securitization encourages risky lending.

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Pino, Gabriel. "Did small or large US banks transmit more risk during the Subprime crisis?" North American Journal of Economics and Finance 59 (gennaio 2022): 101587. http://dx.doi.org/10.1016/j.najef.2021.101587.

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Wagner, Martin, e Dominik Wied. "Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis". Journal of Time Series Analysis 38, n. 6 (27 luglio 2017): 960–80. http://dx.doi.org/10.1111/jtsa.12247.

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Helleiner, Eric, e Jason Thistlethwaite. "Subprime catalyst: Financial regulatory reform and the strengthening of US carbon market governance". Regulation & Governance 7, n. 4 (4 aprile 2012): 496–511. http://dx.doi.org/10.1111/j.1748-5991.2012.01136.x.

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Pouresmaeili, Hamideh. "Malaysia's commodity export performance during Asian currency crisis and US subprime mortgage crisis". International Journal of Trade and Global Markets 8, n. 1 (2015): 27. http://dx.doi.org/10.1504/ijtgm.2015.067971.

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Tzeremes, Panayiotis. "Oil volatility index and Chinese stock markets during financial crisis: a time-varying perspective". Journal of Chinese Economic and Foreign Trade Studies 14, n. 2 (22 febbraio 2021): 187–201. http://dx.doi.org/10.1108/jcefts-08-2020-0051.

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Purpose This study aims to examine the interconnection among the oil volatility index (OVX) and the Chinese stock markets (CSM) during the financial crisis over the period June 1, 2007 to June 26, 2012. Design/methodology/approach Applying the time-varying Granger causality test, this paper conducts an exhaustive analysis of the OVX and the CSMs during the financial crisis. In particular, the financial crisis is classified in three stages, namely, the US subprime crisis, the global financial crisis and the sovereign debt crisis. Findings Briefly, the findings indicate almost a neutral relationship between the OVX and the CSMs during the entire financial crisis, the US subprime crisis and the global financial crisis. Finally, this paper has found a positive relationship between the OVX and the CSMs during the sovereign debt crisis. Practical implications This outcome clearly suggests that Chinese investors have to disregard uncertain information. In addition, policymakers can ameliorate the willingness of market investors in the CSM and further deepen the market-oriented reform of China’s domestic oil prices. Originality/value The innovative combination of these two strands, the OVX and the three stages of the financial crisis, is empirically examined in the study and this paper finds a non-linear linkage between the OVX and CSMs.

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Flandreau, Marc, e Joanna Kinga Sławatyniec. "Understanding rating addiction: US courts and the origins of rating agencies' regulatory license (1900–1940)". Financial History Review 20, n. 3 (26 novembre 2013): 237–57. http://dx.doi.org/10.1017/s096856501300022x.

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This article challenges the ‘regulatory license’ view that reliance by regulators on the output of rating agencies in the 1930s ‘caused’ the agencies to become a central part of the fabric of the US financial system. We argue that long before the 1930s, courts began using ratings as financial-community-produced norms of prudence. This created ‘a legal license’ problem, very analogous to the ‘regulatory license’ problem, and gave rise to conflicts of interest not unlike those that have been discussed in the context of the subprime crisis. Rating agencies may have had substantial responsibility for the Great Depression of the 1930s.

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LIANG, PRISCILLA, THOMAS D. WILLETT e NAN ZHANG. "THE SLOW SPREAD OF THE GLOBAL CRISIS". Journal of International Commerce, Economics and Policy 01, n. 01 (aprile 2010): 33–58. http://dx.doi.org/10.1142/s1793993310000068.

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We argue that the depth and breadth of the spread of the current crisis from the US subprime market across the globe was due more to the buildup of substantial financial vulnerabilities prior to the crisis than to irrational panic during the crisis. We examine how these developments explain the belated recognition of the severity of the crisis and its slow spread through various channels of contagion. We also discuss lessons for policy and research.

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Tilfani, Oussama, e My Youssef El Boukfaoui. "Multifractal Analysis of African Stock Markets During the 2007–2008 US Crisis". Review of Pacific Basin Financial Markets and Policies 22, n. 04 (dicembre 2019): 1950022. http://dx.doi.org/10.1142/s021909151950022x.

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In this paper, we examine the effects of subprime crisis on the largest African stock markets (South Africa, Nigeria, Egypt, and Morocco) by testing the fractal market hypothesis. We use a rolling window Multifractal Detrended Fluctuation Analysis, and find decline in local Hurst exponent and an increase in short-term trading activity for all considered stock markets during the global financial crisis. We furthermore investigate the interrelationships of African and the American stock markets using multi-scale contagion test. Findings suggest that the cross-correlation of African stock markets increases with American markets becoming higher during the crisis sub-period. However, the presence of contagion or interdependence effects are country and time horizon-dependent. Implications of the results are discussed.

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Chang, Chien‐Yun, Jian‐Hsin Chou e Hung‐Gay Fung. "Time dependent behavior of the Asian and the US REITs around the subprime crisis". Journal of Property Investment & Finance 30, n. 3 (20 aprile 2012): 282–303. http://dx.doi.org/10.1108/14635781211223833.

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Dymski, Gary, Jesus Hernandez e Lisa Mohanty. "Race, Gender, Power, and the US Subprime Mortgage and Foreclosure Crisis: A Meso Analysis". Feminist Economics 19, n. 3 (3 maggio 2013): 124–51. http://dx.doi.org/10.1080/13545701.2013.791401.

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Lonardoni Paulino Schiavon, Luiza, e Antônio Fernando Crepaldi. "The use of a Detrended Cross-Correlation Analysis on returns from agricultural commodities in the subprime crisis". Revista Gestão da Produção Operações e Sistemas 16, n. 03 (23 settembre 2021): 119–37. http://dx.doi.org/10.15675/gepros.v16i3.2795.

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Abstract (sommario):

Purpose: To understand the dynamics of the agricultural commodities market and predict a possible economic crisis, in addition to helping agricultural producers balance their product portfolio, diversifying their goods and reducing risks. Theoretical framework: Prices of agricultural commodities have changed significantly since 2002; although had been an increase in demand, where weather problems negatively affected supply, resulting in price increases. With the global financial crisis of 2008, there was a reduction in international credit and an increase in the US dollar against the Brazilian Real. Design/Methodology/Approach: Detrended Cross-Correlation Analysis and Detrended Fluctuation Analysis methods were used to understand the behavior of the cross correlations of the price of five Brazilian agribusiness commodities (cotton, sugar, coffee, corn and soybeans) for the previous periods, during and after the subprime crisis. Findings: Both methods showed a significant change in the behavior of the series in the period of crisis, when compared to their temporal neighborhoods. Research, Practical & Social Implications: It was found that the crisis changed the structure of the correlation of the returns on the commodities analyzed. This change implies alterations to a possible product portfolio in order to minimize risks. Originality/Value: The long-term nonlinear correlation behavior was calculated and analyzed on the temporal series for the return on the main agricultural commodities in the period of the subprime crisis and its temporal neighborhoods were calculated and analyzed, allowing several changes to be found in the product correlation structure, due to the crisis process. Keywords: Subprime Financial Crisis; Agricultural Commodities; Detrended Fluctuation Analysis; Detrended Cross-Correlation Analysis.

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