Advanced search options

Advanced Search Options 🞨

Browse by author name (“Author name starts with…”).

Find ETDs with:

in
/  
in
/  
in
/  
in

Written in Published in Earliest date Latest date

Sorted by

Results per page:

Sorted by: relevance · author · university · dateNew search

You searched for subject:(Subprime credit market). Showing records 1 – 2 of 2 total matches.

Search Limiters

Last 2 Years | English Only

No search limiters apply to these results.

▼ Search Limiters


University of Texas – Austin

1. -9749-3507. Essays on subprime lending, present bias, and risk salience.

Degree: Economics, 2017, University of Texas – Austin

In chapter 1, I examine the consequences of a policy change in Rhode Island that lowered the cap on payday loan fees (interest rates) from 15% of the principal to 10%. I use a difference-in-difference framework and a unique proprietary dataset of payday loan transactions to estimate the impact on market outcomes. I find that the lenders always charge the prevailing cap, creating a strong first stage. I also find that demand for payday loans increases both at the extensive and intensive margins. I show that debt cycles become longer and more likely to end with default. Moreover, I find that no lenders exit the market after the policy change, implying that they had substantial market power. The increase in affordability of the loans increases consumer surplus by about 44%. Many consumer rights advocates believe that subprime consumers tend to be time-inconsistent. With this assumption, welfare implications of a fee cap are not straightforward, because the gain from higher affordability can be dominated by the loss from amplified time-inconsistent behavior. To address this issue, in chapter 2 I develop a dynamic model of payday loan usage with naïve hyperbolic discounting. I calibrate the model in such a way that the simulated means are as close as possible to empirical means for Rhode Island under both regulation regimes (10% and 15% fees). Using simulations of the model, I show that a tighter fee cap is welfare-improving for all consumers, regardless of their degree of time-inconsistency. Furthermore, I find that a ban is more beneficial than a fee cap to highly time-inconsistent consumers but harms time-consistent consumers. In chapter 3, I examine whether earthquake risk salience increases in an area in response to the news of earthquakes in other parts of the world. Using 20 years of housing and earthquake data, I show that disastrous earthquakes happening in other parts of the world decrease home prices in high-risk zip codes relative to low-risk zip codes. Moreover, I find that higher casualties are associated with higher price effects. I also show that the price effects decay after one month. Advisors/Committee Members: Geruso, Michael (advisor), Abrevaya, Jason (committee member), Oettinger, Gerald S. (committee member), Ward, Adrian F. (committee member).

Subjects/Keywords: Subprime credit market; Payday loans; Interest rate ceiling; Consumer welfare; Hyperbolic discounting; Natural Disasters; Earthquakes; Risk salience; Housing market; Affective reaction

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

-9749-3507. (2017). Essays on subprime lending, present bias, and risk salience. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/47165

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

-9749-3507. “Essays on subprime lending, present bias, and risk salience.” 2017. Thesis, University of Texas – Austin. Accessed June 26, 2019. http://hdl.handle.net/2152/47165.

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

-9749-3507. “Essays on subprime lending, present bias, and risk salience.” 2017. Web. 26 Jun 2019.

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete

Vancouver:

-9749-3507. Essays on subprime lending, present bias, and risk salience. [Internet] [Thesis]. University of Texas – Austin; 2017. [cited 2019 Jun 26]. Available from: http://hdl.handle.net/2152/47165.

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

-9749-3507. Essays on subprime lending, present bias, and risk salience. [Thesis]. University of Texas – Austin; 2017. Available from: http://hdl.handle.net/2152/47165

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete
Not specified: Masters Thesis or Doctoral Dissertation


University of Illinois – Urbana-Champaign

2. Jacobs, Thomas A. Three Essays in Empirical Asset Pricing.

Degree: PhD, 0075, 2010, University of Illinois – Urbana-Champaign

The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed to be promptly removed via the actions of profit seeking arbitrageurs. These extreme events motivate the three essays in this work. The first essay seeks and fails to find evidence of investor behavior consistent with the broad 'Too Big To Fail' policies enacted during the crisis by government agents. Only in limited circumstances, where government guarantees such as deposit insurance or U.S. Treasury lending lines already existed, did investors impart a premium to the debt security prices of firms under stress. The second essay introduces the Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon future U.S. inflation as measured by the Consumer Price Index (CPI). It reports the consistent positive value of this measure as well as the very large positive values it reached in the fourth quarter of 2008 after Lehman Brothers went bankrupt. It concludes that the IIS Basis continues to exist due to limitations in market liquidity and hedging alternatives. The third essay explores the methodology of performing debt based event studies utilizing credit default swaps (CDS). It provides practical implementation advice to researchers to address limited source data and/or small target firm sample size. Advisors/Committee Members: Pennacchi, George G. (advisor), Pennacchi, George G. (Committee Chair), Kahn, Charles M. (committee member), Pearson, Neil D. (committee member), Johnson, Timothy C. (committee member).

Subjects/Keywords: Too Big To Fail; Crisis; Moral hazard; Spillover; Systemic Risk; Systemically Important Firm; Bank Run; Subprime; Wholesale Funding; Securitization; Government Support; Government Agents; Federal Reserve; Federal Reserve Intervention; Discount Window; Open Market Operations (OMO); Term Auction Facility (TAF); Primary Dealer Credit Facility (PDCF); Term Securities Lending Facility (TSLF); Guarantee; Deterministic Guarantee; Stochastic Guarantee; Deposit Insurance; Federal Deposit Insurance Corporation (FDIC); Treasury Lending Line; Government Sponsored Enterprises (GSE); Fannie Mae; Freddie Mac; Conservatorship; Government Agents; Continental Illinois National Bank and Trust; Continental Illinois; Bear Stearns Failure; Bear Stearns Rescue; Purchase of Bear Stearns; Lehman Bankruptcy; American International Group (AIG); Derivative Exposure; Purchase of Merrill Lynch; Merrill Lynch; IKB Industrie Deutschebank; IKB; Northern Rock; Bank Run; Purchase of Countrywide; Countrywide; Bank of America; Citigroup; JP Morgan Chase; Big Three Banks; Big Four Banks; Failure of IndyMac Bank; IndyMac; Wachovia; Wells Fargo; Failure of Washington Mutual; Washington Mutual (WAMU); Monoline Insurers; Monoline Insurer Downgrade; Municipal Bond Insurance Association (MBIA); American Municipal Bond Assurance Corporation (AMBAC); Event Study; Merton Model; Model of Debt Return; Model of Equity Return; Cumulative Abnormal Return; Credit Default Swaps (CDS); Measuring CDS Returns; CDX Index; Monte Carlo Simulation; Troubled Asset Relief Program (TARP); Morgan Stanley; Goldman Sachs; Arbitrage; Limits to Arbitrage; U.S. Treasury Markets; Inflation Markets; Inflation Derivatives; Inflation Indexed Swaps; Treasury Inflation Protected Securities (TIPS); Break Even Inflation (BEI); Inflation Indexed Swap Basis; Inflation Indexed Swap Basis (IIS Basis); Liquidity; On-the-run; Off-the-run; Consumer Price Index (CPI); Bureau of Labor Statistics (BLS); Blue Chip Economic Indicators; Survey of Professional Forecasters (SPF); Bid Ask Spread; Event Study Methodology; Debt Based Event Study; CDS Based Event Study; Market Model; Adjusted Spread; Monte Carlo Experiments; Moody's BAA Seasoned Bond Index; LIBOR Swap Rate; Size and Power Tests; Investment Grade Firms; Non-Investment Grade Firms; Performance Measure

Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Jacobs, T. A. (2010). Three Essays in Empirical Asset Pricing. (Doctoral Dissertation). University of Illinois – Urbana-Champaign. Retrieved from http://hdl.handle.net/2142/16903

Chicago Manual of Style (16th Edition):

Jacobs, Thomas A. “Three Essays in Empirical Asset Pricing.” 2010. Doctoral Dissertation, University of Illinois – Urbana-Champaign. Accessed June 26, 2019. http://hdl.handle.net/2142/16903.

MLA Handbook (7th Edition):

Jacobs, Thomas A. “Three Essays in Empirical Asset Pricing.” 2010. Web. 26 Jun 2019.

Vancouver:

Jacobs TA. Three Essays in Empirical Asset Pricing. [Internet] [Doctoral dissertation]. University of Illinois – Urbana-Champaign; 2010. [cited 2019 Jun 26]. Available from: http://hdl.handle.net/2142/16903.

Council of Science Editors:

Jacobs TA. Three Essays in Empirical Asset Pricing. [Doctoral Dissertation]. University of Illinois – Urbana-Champaign; 2010. Available from: http://hdl.handle.net/2142/16903

.