The Impact of Subprime Mortgage Crisis on Cross-Currency Linkage of LIBOR-OIS Spreads

2009 ◽  
Author(s):  
Philip Inyeob Ji ◽  
Francis Haeuck In
Keyword(s):  
Subprime Mortgage ◽  
Mortgage Crisis ◽  
Subprime Mortgage Crisis ◽  
The Impact

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.

The Impact of International Hot Money in International Commodity Future Markets during the Subprime Mortgage Crisis

2010 ◽  
Vol 171-172 ◽  
pp. 744-747
Author(s):  
Qing Ye ◽  
Li Yan Han
Keyword(s):  
Correlation Coefficients ◽  
Price Volatility ◽  
Return Rate ◽  
Subprime Mortgage ◽  
International Commodity ◽  
Mortgage Crisis ◽  
Subprime Mortgage Crisis ◽  
Commodity Future ◽  
The Impact ◽  
Hot Money

Behavior of traders including investors and speculators in commodity future markets are studied before and after the subprime mortgage crisis. We put our attention on quantity of traders hold positions instead of price volatility or capital return rate of commodity future markets. By standardize correlation coefficients of net positions we try to quantify the impact of speculative funds on behalf of international hot money in international commodity futures markets in the subprime mortgage crisis. Parametric and non-parametric tests are used in this paper. The empirical results reveal that investment directions of speculators do change in crisis and they connect more tightly with markets compared with investors for that their find more opportunities and higher return rate during the Subprime mortgage crisis.

scholarly journals The Impact of Subprime Mortgage Crisis on Islamic Banking and Islamic Stock Market

2012 ◽  
Vol 65 ◽  
pp. 668-673 ◽  
Author(s):  
Bakri Abdul Karim ◽  
Wong Siew Lee ◽  
Zulkefly Abdul Karim ◽  
Mohamad Jais
Keyword(s):  
Stock Market ◽  
Islamic Banking ◽  
Subprime Mortgage ◽  
Mortgage Crisis ◽  
Subprime Mortgage Crisis ◽  
The Impact

Are Green Fund Investors Really Socially Responsible?

2012 ◽  
Vol 15 (04) ◽  
pp. 1250023 ◽  
Author(s):  
Huimin Chung ◽  
Han-Hsing Lee ◽  
Pei-Chun Tsai
Keyword(s):  
Fund Flows ◽  
Socially Responsible ◽  
Subprime Mortgage ◽  
Fund Flow ◽  
The Social ◽  
Significant Difference ◽  
Mortgage Crisis ◽  
Prior Literature ◽  
Subprime Mortgage Crisis ◽  
The Impact

This paper investigates the performance, fund characteristics, fund flow of green fund and the impact of subprime mortgage crisis on fund flow volatility. In terms of fund performance, our results show that there is no consistently significant difference between performance of green funds and conventional funds. As for fund characteristics, green funds are more sensitive to market and size risks compared to conventional funds, while they are less sensitive to value and momentum factors than conventional funds. Consistent with prior literature, there exists an asymmetric phenomenon for green funds, that is, fund flows of green funds are significantly related to lagged positive return but not significantly associated with lagged negative returns in normal market conditions. During the subprime mortgage crisis, both mature green and mature conventional funds experienced fund outflows. However, volatility of green funds flows is much lower than their conventional counterparts. Our results suggest that green fund investors can derive utility from the social responsibility attribute, and they are really more socially responsible when making investment decisions.

BORROWING CAPACITY, FINANCIAL INSTABILITY, AND CONTAGION

2019 ◽  
Vol 22 (01) ◽  
pp. 1850060
Author(s):  
YOUNGNA CHOI
Keyword(s):  
United States ◽  
The United States ◽  
Financial Instability ◽  
Subprime Mortgage ◽  
Capacity Limitations ◽  
Flow Of Funds ◽  
Mortgage Crisis ◽  
Subprime Mortgage Crisis ◽  
Economic Constraints ◽  
The Impact

We use the case of the 2007 United States subprime mortgage crisis to investigate the impact of borrowing capacity limitations on financial instability and contagion. We divide an economy into agents that interact via flow of funds and express the financial instability level of each agent as a function of time derivatives of its wealth, cash inflows, and borrowing capacity. We show that among these factors, the borrowing capacity, which is determined by other economic constraints, has the largest impact on financial instability. It is suggested that borrowing capacity limitations could even cause contagion through feedback loop formed by flow of funds. We use historical time series of the integrated macroeconomic accounts of the United Stated from 1960 to 2017 to verify our conjecture by quantifying the financial instability levels of the agents under different levels of borrowing capacity and how they affect one another during the period of the subprime mortgage crisis. Finally, the constraints of data collecting practice outside the United States in assessing borrowing capacity is addressed, accompanied by partial, yet compatible, results of selected Eurozone countries.

scholarly journals Subprime mortgage crisis in the United States in 2007–2008: causes and consequences (part II)

Ekonomika ◽  
2015 ◽  
Vol 94 (1) ◽  
pp. 7-41 ◽  
Author(s):  
Vaidotas Pajarskas ◽  
Aldona Jočienė
Keyword(s):  
United States ◽  
Federal Reserve ◽  
Quantitative Research ◽  
The United States ◽  
Mortgage Market ◽  
Subprime Mortgage ◽  
Mortgage Crisis ◽  
Subprime Mortgage Crisis ◽  
The Government ◽  
The Impact

This is the second part of the qualitative and quantitative research on the subprime mortgage crisis in the United States in 2007–2008. The main purpose of this research is to determine the factors and how they contributed to the subprime mortgage crisis, 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 the subprime mortgage crisis and the housing bubble. In order to obtain the 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 insufficiently regulated home mortgage market expansion, the impact on 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, the analysis of dependencies between the causes of subprime mortgage crisis and the consequences using the statistical and regression analysis; secondly, an alternative path the Government and the Federal Reserve could have taken in their policy actions, and the results they could have produced have been explored. 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 in the future.

The impact of subprime mortgage crisis to long-run and short-run volatility components of Indonesian and Malaysian equity markets

2012 ◽  
Vol 15 (2-3) ◽  
pp. 207-228 ◽  
Author(s):  
Chin Wen Cheong ◽  
Ng Sew Lai ◽  
Nurul Afidah Mohmad Yusof ◽  
Khor Chia Ying ◽  
Fosee
Keyword(s):  
Equity Markets ◽  
Subprime Mortgage ◽  
Long Run ◽  
Mortgage Crisis ◽  
Short Run ◽  
Subprime Mortgage Crisis ◽  
The Impact

Consuming Passions, Wasted Efforts

2017 ◽  
Author(s):  
Judith Hamera
Keyword(s):  
Las Vegas ◽  
Consumer Credit ◽  
Pivotal Role ◽  
Child Molestation ◽  
Subprime Mortgage ◽  
Mortgage Crisis ◽  
Subprime Mortgage Crisis ◽  
Michael Jackson

This chapter examines Michael Jackson’s fiscal travails from 2002 to the release of This Is It in 2010, reading coverage of his consumption, debt, and attempts at recovery as racialized public melodrama. It begins with a scene of Jackson shopping in Las Vegas taken from Living with Michael Jackson, viewed through both the emerging consumer credit bubble and the temperance melodrama The Drunkard. It then turns to the ways testimony about Jackson’s finances, particularly his debts, played a pivotal role in his child molestation trial, reproducing a financialized melodramatic racial dialectic that emerged again in the subprime mortgage crisis. It concludes by reading parallels between accounts of Jackson’s physical wasting on the set of This Is It and that of the compulsively dancing child in Hans Christian Andersen’s tale “The Red Shoes.” Both represent the process of disciplining past excesses through redemptive contraction as US austerity rhetoric reached a crescendo.

scholarly journals CONTAGION AND DOWNSIDE RISK IN THE REIT MARKET DURING THE SUBPRIME MORTGAGE CRISIS

2015 ◽  
Vol 19 (1) ◽  
pp. 42-57 ◽  
Author(s):  
Ming-Chi CHEN ◽  
Hsiu-Jung TSAI ◽  
Tien-Foo SING ◽  
Chih-Yuan YANG
Keyword(s):  
Stock Returns ◽  
The United States ◽  
The European Union ◽  
Subprime Mortgage ◽  
Crisis Period ◽  
Contagion Effects ◽  
Mortgage Crisis ◽  
Systematic Risks ◽  
Subprime Mortgage Crisis ◽  
Capm Beta

This study empirically tests the contagion effects in stock and real estate investment trust (REIT) markets during the subprime mortgage crisis by using daily stock- and REIT-markets data from the following countries and international bodies: the United States, the European Union, Japan, Hong Kong, Singapore, Australia, and the global REIT market. We found a significant and positive dynamic conditional correlation (DCC) coefficient between stock returns and REIT returns. The results revealed that the REIT markets responded early to market shocks and that the variances were higher in the post-crisis period than in the pre-crisis period. Evidence supporting the contagion effects includes increases in the means of the DCC coefficients during the post-crisis period. The Japanese and Australian REIT markets possess the lowest time-varying downside systematic risks. We also demonstrated that the “DCC E-beta” captures more significant downside linkages between market portfolios and expected REIT returns than does the standard CAPM beta.

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