scholarly journals Testing the white noise hypothesis in high-frequency housing returns of the United States

2020 ◽  
Vol 9 (3) ◽  
pp. 178-188
Author(s):  
Aviral Kumar Tiwari ◽  
Rangan Gupta ◽  
Juncal Cunado ◽  
Xin Sheng
Keyword(s):  
United States ◽  
White Noise ◽  
Housing Market ◽  
Sovereign Debt ◽  
Debt Crisis ◽  
The United States ◽  
Market Returns ◽  
Subprime Mortgage ◽  
Economic Agents ◽  
Rolling Window

Utilizing a daily dataset of aggregate housing market returns of the United States, we test whether housing market returns are white noise using the blockwise wild bootstrap in a rolling-window framework. We investigate the dynamic evolution of housing market efficiency and find that the white noise hypothesis is accepted in most windows associated with non-crisis periods. However, for some periods before the burst of the housing market bubbles, and during the subprime mortgage crisis, European sovereign debt crisis and the Brexit, the white noise hypothesis is rejected, indicating that the housing market is inefficient in periods of turbulence.  Our results have important implications for economic agents.

scholarly journals Forty Years of Leverage: What Have We Learned About Sovereign Debt?

2014 ◽  
Vol 104 (5) ◽  
pp. 266-271
Author(s):  
Peter Boone ◽  
Simon Johnson
Keyword(s):  
United States ◽  
Financial Crises ◽  
Sovereign Debt ◽  
Best Practice ◽  
Debt Crisis ◽  
The United States ◽  
Banking Crises ◽  
Sovereign Debt Crisis ◽  
Negative Effects ◽  
Regulatory Constraints

Financial crises frequently increase public sector borrowing and threaten some form of sovereign debt crisis. Until recently, high income countries were thought to have become less vulnerable to severe banking crises that have lasting negative effects on growth. Since 2007, crises and attempted reforms in the United States and Europe indicate that advanced countries remain acutely vulnerable. Best practice from developing country experience suggests that regulatory constraints on the financial sector should be strengthened, but this is hard to do in countries where finance has a great deal of political power and cultural prestige, and where leverage is already high.

The Impact of Sovereign Debt Crisis on the EU Economy

2015 ◽  
pp. 1-11
Author(s):  
Serkan Cura
Keyword(s):  
Sovereign Debt ◽  
Debt Crisis ◽  
Spillover Effect ◽  
The United States ◽  
Sovereign Debt Crisis ◽  
The European Union ◽  
Global Crisis ◽  
Subprime Mortgage ◽  
Short Time ◽  
The Eu

The subprime mortgage crisis, which started in the United States in 2008, turned into a global crisis in a short time. Following the policies to reduce and mitigate the impacts of the global crisis, a sovereign debt crisis began that led to tremendous increases in government deficits and debt stock in the European Union region and made government financial systems unsustainable. This debt crisis, which started in the second half of 2009 in Greece, has resulted in a spillover effect for every EU member country. The ongoing crisis has rendered the future of Economic and Monetary Union uncertain. This chapter aims to determine the root causes of sovereign debt crisis in the EU and the economic and financial effects of and precautions for the crisis. This study also discusses the degradation of the EU's economic and political integration as a result of the sovereign debt crisis.

scholarly journals International Real Estate Review

2019 ◽  
Vol 22 (1) ◽  
pp. 27-58
Author(s):  
I-Chun Tsai ◽  
◽  
Che-Chun Lin ◽  
Keyword(s):  
United States ◽  
Financial Markets ◽  
Housing Market ◽  
West Coast ◽  
Housing Markets ◽  
The United States ◽  
Subprime Mortgage ◽  
Mortgage Crisis ◽  
Subprime Mortgage Crisis ◽  
Default Risks

This paper uses the house price indices of 20 metropolitan statistical areas (MSAs) across the United States from January 1991 to April 2018 to analyze the dynamic connectedness of the housing markets in these MSAs. By estimating the connectedness of the entire sample before, during, and after the subprime mortgage crisis, this paper compares the changes in the impact of each regional housing market in the abovementioned MSAs during the stated time period. The results show that housing markets in west coast MSAs are the most influential, and the spatial distribution of this influence is affected by the subprime mortgage crisis because, compared to other periods, the fewest MSAs have a positive net impact during the crisis period and are found along the coast. The influence of the west coast cities increases after the subprime mortgage crisis compared to that before the crisis, probably because the house prices in these cities recover more quickly. In addition, an increase in connectedness represents more systematic risks and also influences the connectedness of the housing markets with other financial markets. The results of this paper also indicate that if the Federal Reserve uses monetary policies to interfere with the housing market, this might increase the default risks of the entire housing market across the United States, and a financial crisis from the spread of default risks might ensue. By discussing the linkage of the regional housing markets across the United States, we provide another warning indicator for the risks of housing markets, risks linked to other financial markets, and uncertainty risks for the overall economy.

Lending to the Borrower from Hell

2017 ◽  
Author(s):  
Mauricio Drelichman ◽  
Hans-Joachim Voth
Keyword(s):  
United States ◽  
Sixteenth Century ◽  
Sovereign Debt ◽  
Risk Sharing ◽  
The United States ◽  
Philip Ii ◽  
Loan Contracts ◽  
The Right ◽  
Intelligent Model ◽  
New Evidence

Why do lenders time and again loan money to sovereign borrowers who promptly go bankrupt? When can this type of lending work? As the United States and many European nations struggle with mountains of debt, historical precedents can offer valuable insights. This book looks at one famous case—the debts and defaults of Philip II of Spain. Ruling over one of the largest and most powerful empires in history, King Philip defaulted four times. Yet he never lost access to capital markets and could borrow again within a year or two of each default. Exploring the shrewd reasoning of the lenders who continued to offer money, the book analyzes the lessons from this historical example. Using detailed new evidence collected from sixteenth-century archives, the book examines the incentives and returns of lenders. It provides powerful evidence that in the right situations, lenders not only survive despite defaults—they thrive. It also demonstrates that debt markets cope well, despite massive fluctuations in expenditure and revenue, when lending functions like insurance. The book unearths unique sixteenth-century loan contracts that offered highly effective risk sharing between the king and his lenders, with payment obligations reduced in bad times. A fascinating story of finance and empire, this book offers an intelligent model for keeping economies safe in times of sovereign debt crises and defaults.

scholarly journals SUBPRIME MORTGAGE CRISIS IN THE UNITED STATES IN 2007–2008: CAUSES AND CONSEQUENCES (PART I)

Ekonomika ◽  
2015 ◽  
Vol 93 (4) ◽  
pp. 85-118 ◽  
Author(s):  
Vaidotas Pajarskas ◽  
Aldona Jočienė
Keyword(s):  
United States ◽  
Federal Reserve ◽  
The United States ◽  
Mortgage Market ◽  
Subprime Mortgage ◽  
Market Expansion ◽  
Mortgage Crisis ◽  
Subprime Mortgage Crisis ◽  
The Government ◽  
The Impact

The main purpose of this article is to determine which factors and how contributed to the subprime mortgage crisis in the United States in 2007–2008, what their causal links and effects on the markets and the whole economy were, and to assess what actions could have been taken by the Federal Reserve and the Government in order to mitigate or prevent the consequences of subprime mortgage crisis and housing bubble. In order to obtain the research results, the authors performed a qualitative analysis of the scientific literature on the course of events and their development that led to the subprime mortgage crisis, and focused on the insufficiently regulated home mortgage market expansion, the impact on the subprime mortgage crisis of financial innovations and financial engineering, poorly evaluated systemic risks and policy undertaken by both the U.S. Government and the Federal Reserve before and after the crisis. The quantitative research focused on two main parts: firstly, analysis of the dependence between the causes of subprime mortgage crisis and the consequences, using a statistical and regression analysis, and secondly, an alternative path the Government and the Federal Reserve could have taken in their policy actions and the results they could have produced. The authors believe that the results of the research could give useful guidelines to the central bankers and government officials on how to make long-term decisions that can help in preparing for the financial distress, mitigating the consequences when the crisis strikes, accelerating the recovery and even preventing the crisis it in the future. The second part of the qualitative research will appear in the next issue of the journal.

International debt and linkage strategies: some foreign-policy implications for the United States

1985 ◽  
Vol 39 (4) ◽  
pp. 699-727 ◽  
Author(s):  
Benjamin J. Cohen
Keyword(s):  
United States ◽  
Foreign Policy ◽  
Latin American ◽  
Debt Crisis ◽  
Policy Instruments ◽  
The United States ◽  
Policy Implications ◽  
Power Resources ◽  
The Government ◽  
The Imf

The global debt problem influences the foreign-policy capabilities of the United States through its impact on the government's “linkage strategies” in foreign affairs. In some circumstances policy makers are forced to make connections between different policy instruments or issues that might not otherwise have been felt necessary; in others, opportunities for connections are created that might not otherwise have been felt possible. The Polish debt crisis of 1981–82, the Latin American debt crisis of 1982–83, and the IMF quota increase in 1983 are suggestive in this regard. Linkage strategies bred by the debt issue are more apt to be successful when the interest shared by the United States with other countries in avoiding default is reinforced by other shared economic or political interests. They will also be more successful to the extent that the government can supplement its own power resources by relating bank decisions to foreign-policy considerations. Power in such situations, however, is a wasting asset, even when employed indirectly through the intermediation of the IMF.

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