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Staff Publications

OCC economists examine economic issues pertinent to national banks and write economics working papers. The papers represent the opinions of the individual economists rather than the OCC.

 

Credit Risk Analysis Division Publications

The economists in the Credit Risk Analysis Division publish research papers covering topics in credit-risk modeling, financial economics/econometrics, and general economics.

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All Publications

2015

  1. Hua Kiefer, Leonard Kiefer, and Tom Mayock (2015). “Should we Fear the Shadow? House Prices, Shadow Inventory, and the Nascent Housing Recovery,” The Journal of Real Estate Finance and Economics, 29 April, p.1-50.
  2. Ihlanfeldt, Keith and Tom Mayock (2015). “Foreclosures and Local Government Budgets Regional Science and Urban Economics, Vol. 53, pp. 135-147.
  3. Liu, Zilong, Xiaoling Pu , and Xinlei Zhao (2015), “What Moves the Correlation between Equity and CDS Markets?” Journal of Fixed Income, forthcoming.
  4. Mayock, Tom (In press). “Wages, Housing Prices, and Commutes,” Real Estate Economics.
  5. Wu, Deming (2015). “The Effects of Government Capital and Liquidity Support Programs on Bank Lending: Evidence from the Syndicated Corporate Credit Market.” Journal of Financial Stability, forthcoming.

2014

  1. Andersson, Fredrik, Monica Garcia-Perez, John Haltiwanger, Kristin McCue, and Seth Sanders (2014). “Workplace Concentration of Immigrants,” Demography (in press).
  2. Andersson, Fredrik, Simon Burgess, and Julia Lane (2014). “Do as the Neighbors Do: The Impact of Social Networks on Immigrant Employment,” Journal of Labor Research, (In press).
  3. Andersson, Fredrik, and Tom Mayock. “How does Home Equity affect Mobility,” Journal of Urban Economics (in press)
  4. Andersson, Fredrik, and Tom Mayock. “Loss Severities on Residential Real Estate during the Great Recession,” Journal of Banking and Finance, Vol. 46, pp. 266-284.
  5. Andersson, Fredrik, and Tom Mayock (2014). "The Microdynamics of Household Credit Use through a Boom-Bust Cycle," Journal of Housing Economics (in press)
  6. Hong, Han, Jingzhi Huang, and Deming Wu (2014). "The Information Content of Basel III Liquidity Risk Measures." Journal of Financial Stability, 15, 91-111.
  7. Ihlanfeldt, Keith and Tom Mayock (2014). “The Variance in Foreclosure Spillovers across Neighborhood Types,” Public Finance Review (in press)
  8. Ihlanfeldt, Keith and Tom Mayock (2014). “The Impact of REO Sales on Neighborhoods and Their Residents,” Journal of Real Estate Finance and Economics (in press)
  9. Ihlanfeldt, Keith and Tom Mayock (2014). “Housing Bubbles and Busts: The Role of Supply Elasticity,” Land Economics, 90(1), pp. 79-99.
  10. Li, Phillip (2014), "Estimation of multivariate sample selection models via a parameter-expanded Monte Carlo EM algorithm," Open Journal of Statistics, (forthcoming)".
  11. Qi, Min, Xiaofei Zhang and Xinlei Zhao (2014), “Unobservable Systematic Risk Factor and Default Prediction,” Journal of Banking and Finance 49, 216-227.
  12. Sirakaya, Sibel (2014). "Numerical Approximation of Free Horizon Optimal Control Problems." Int. J. Computational Economics and Econometrics 4 (3/4), 362-371.

2013

  1. Barakova, Irina, Dennis Glennon, and Ajay Palvia, (2013). “Sample Selection Bias in Acquisition Credit Scoring Models: An Evaluation of the Supplemental-Data Approach,” Journal of Credit Risk, 9(3), 77-117.
  2. Chen, Long, Da Zhi, and Xinlei Zhao (2013). "What drives stock price movement?" Review of Financial Studies, 26(4), 841-875.
  3. Guo, Zheng-Feng and Mototsugu Shinatani (2013). "Consistent Cotrending Rank Selection when both Stochastic and Nonlinear Deterministic Trends are Present," The Econometrics Journal, Vol. 16 (3), pp. 473–484.
  4. Patro, Dilip, Min Qi and Xian Sun (2013), "A Simple Indicator of Systemic Risk," Journal of Financial Stability, 9(1), 105-116.
  5. Qi, Min and Xinlei Zhao (2013), "Debt Structure, Market Value of Firm and Recovery Rate," Journal of Credit Risk, 9(1), 3-37.

2012

  1. Andersson, Fredrik, Elizabeth Davis, Matthew Freedman, Julia Lane, Brian McCall, and Kristin Sandusky (2012). "Decomposing the Sources of Earnings Inequality Assessing the Role of Reallocation," Industrial Relations, Vol. 51(4), pp. 779-998.
  2. Ihlanfeldt, Keith and Tom Mayock (2012). "Information, Search, and House Prices: Revisited," Journal of Real Estate Finance and Economics, 44(1), pp. 90-115.
  3. Kiefer, Hua (September 2012). "Residential Location Choice: The Role of a Taste for Similarity," International Journal of Economics and Finance, 4(9).
  4. Pu, Xiaoling and Xinlei Zhao (2012). "Correlation in Credit Risk Changes," Journal of Banking and Finance, 36, 1093-1106.
  5. Sun, Junjie, Xiaolong Yang, and Xinlei Zhao (2012). "Understanding commercial real estate indices," Journal of Real Estate Portfolio Management, 18(3), 289-303.

2011

  1. Andersson, Fredrik, Iben Bolvig, Matthew Freedman, and Julia Lane (2011). "Lost Jobs and Health Insurance: An Analysis of the Impact of Employment Volatility on Firm-Provided Health Insurance Coverage," Applied Economics, Vol. 43(32), pp. 3051-3073.
  2. Chen, QingQing, Chor-Ching Goh, Bo Sun and Lixin Colin Xu (June 2011). "Market Integration in the People's Republic of China," Asian Development Review, vol. 28.
  3. DeYoung, Robert, Scott Frame, Dennis Glennon and Peter Nigro (2011). "The Information Revolution and Small Business Lending: The Missing Evidence," Journal of Financial Services Research, 39 (1-2).
  4. Glennon, Dennis and Peter Nigro (2011). "Evaluating the Performance of Static Versus Dynamic Models of Credit Default: Evidence from Long-Term Small Business Administration-Guaranteed Loans," Journal of Credit Risk, 7(2).
  5. Guo, Zheng-Feng and Mototsugu Shinatani (2011). "Nonparametric Lag Selection for Nonlinear Additive Autoregressive Models," Economics Letters, 111(2), 131-134, 2011.
  6. Holzer, Harry, Julia Lane, David Rosenblum, and Fredrik Andersson (2011)."Where are All the Good Jobs Going? What National and Local Job Quality and Dynamics Mean for US Workers," Russell Sage Foundation.
  7. Kiefer, Hua (September 2011). "The House Price Determination Process: Rational Expectations with a Spatial Context," Journal of Housing Economics, 20(40, pp. 249-266.
  8. Li, Phillip (2011). "Estimation of sample selection models with two selection mechanisms," Computational Statistics and Data Analysis, vol. 55, pp. 1099-1108.
  9. Qi, Min and Xinlei Zhao (2011), "Comparison of Modeling Methods for Loss Given Default," Journal of Banking and Finance, 35 (11), 2842–2855.
  10. Wu, Deming, Jiawen Yang, and Han Hong (2011). "Securitization and Banks' Equity Risk." Journal of Financial Services Research 39, no. 3: 95-117.

2010

  1. Barakova, Irina and A. Palvia (2010). "Limits to relative performance evaluation," 2010, Journal of Financial Economic Policy.
  2. Ihlanfeldt, Keith and Tom Mayock (2010). "Panel Data Estimates of the Effects of Different Types of Crime on Housing Prices," Regional Science and Urban Economics, 40(2-3), pp. 161-172.
  3. Ihlanfeldt, Keith and Tom Mayock (2010). "Property Values and Crime," in Handbook on the Economics of Crime, edited by B. Benson and P. Zimmerman, Edward Elgar.

2009

  1. Abowd, John, Bryce Stephens, Lars Vilhuber, Fredrik Andersson, Kevin McKinney, Marc Roemer, Simon Woodcock (2009). "The LEHD Infrastructure Files and the Creation of the Quarterly Workforce Indicators," in Producer Dynamics: New Evidence from Micro Data, edited by Timothy Dunne, J. Bradford Jensen, and Mark J. Roberts, NBER Press.
  2. Aggarwal, Raj and Min Qi (2009), "Distribution of Extreme Changes in Asian Currencies: Tail Index Estimates and Value at Risk Calculations," Applied Financial Economics, 19(13), 1083-1102.
  3. Alemdar, N. M. , S. Sirakaya and S. J. Turnovsky (2009). "Foreign Lending under Limited Enforcement." China and Asia: Economic and Financial Interactions 76, 257.
  4. Andersson, Fredrik, Harry Holzer, and Julia Lane (2009). "Temporary Help Agencies and the Advancement Prospects of Low Earners," in Studies of Labor Market Intermediation, edited by David Autor, NBER Press and NBER Working Paper 13434.
  5. Andersson, Fredrik, Matthew Freedman, John Haltiwanger, Julia Lane and Kathryn Shaw (2009). "Reaching for the Stars: Who Pays for Talent in Innovative Industries?," Economic Journal, Vol. 119 (June), pp. 308-332 and NBER Working Paper No. 12435.
  6. Chen, Long and Xinlei Zhao, 2009, "Return Decomposition," Review of Financial Studies, 22, 5213-5349.
  7. Cheung, Ron, Keith Ihlanfeldt, and Tom Mayock (2009). "The Incidence of the Land Use Regulatory Tax," Real Estate Economics, 37(44), pp. 675-704.
  8. Cheung, Ron, Keith Ihlanfeldt, and Tom Mayock (2009). "The Regulatory Tax and House Price Appreciation in Florida," Journal of Housing Economics, 18(1), 2009, pp. 34-48.
  9. Ihlanfeldt, Keith and Tom Mayock (2009). "Price Discrimination in the Housing Market," Journal of Urban Economics, 66(2), 2009, pp. 125-140.
  10. Qi, Min and Xiaolong Yang (2009), "Loss Given Default of High Loan-to-Value Residential Mortgages," Journal of Banking and Finance, 33(5), 788-799.
  11. Sirakaya, S., S. J. Turnovsky and N. M. Alemdar (2009). "Trade, Growth, and Environmental Quality." Review of International Economics 17 (5), 906-926.
  12. Xinlei Zhao (2009). "Technological Innovation and Acquisitions," Management Science, 55, 1170-1183.

2008

  1. Andersson, Fredrik, Clair Brown, Benjamin Campbell, Hyowook Chiang, Yooki Park (2008). "The Effect of HRM Practices and R&D Investment on Worker Productivity," in The Analysis of Firms and Employees: Quantitative and Qualitative Approaches, edited by Stefan Bender, Julia Lane, Kathryn Shaw, Fredrik Andersson and Till Von Wachter, University of Chicago Press.
  2. Bender, Stefan, Julia Lane, Kathryn Shaw, Fredrik Andersson, and Till Von Wachter (eds.) (2008).The Analysis of Firms and Employees: Quantitative and Qualitative Approaches, University of Chicago Press, 2008
  3. DeYoung, Robert, Dennis Glennon, and Peter Nigro (2008). "Borrower-Lender Distance, Credit Scoring, and Loan Performance: Evidence from Informationally Opaque Small Business Borrowers," Journal Financial Intermediation, 17, pp 113-143.
  4. DeYoung, Robert, Scott Frame, Dennis Glennon, Daniel McMillen, and Peter Nigro (2008). "Commercial Lending Distance and Historically Underserved Areas," Journal of Economics and Business, 60, pp 149-164.
  5. Glennon, Dennis, Nick Kiefer, Erik Larson, and Huanshi Choi (2008). "Development and Validation of Credit-Scoring Models," Journal of Credit Risk, 4.
  6. Li, Kai and Xinlei Zhao (2008). "Asymmetric Information and Dividend Policy," Financial Management, 37, 673-694.
  7. Li, Kai, Hernan Ortiz-Molina and Xinlei Zhao, 2008, "Do Institutional Investors Care About Voting Rights? Evidence From Institutional Investment in Dual-Class Firms," Financial Management, 37, 713-745 (Winner of the Best Paper Award at the 2007 Northern Finance Association Meetings).
  8. Qi, Min and G. Peter Zhang (2008), "Trend time series modeling and forecasting with neural networks", IEEE Transactions on Neural Networks, 19(5), 808-816.
  9. Qi, Min and Xinlei Zhao (2008), "Market Breadth, Trin Statistic, and Market Returns," Journal of Investing, 17(1), 65-73.

2007

  1. Andersson, Fredrik, Simon Burgess, and Julia Lane (2007). "Cities, Matching and the Productivity Gains of Agglomeration," Journal of Urban Economics, Vol. 61(1), pp. 112-28.
  2. Chen, Long and Xinlei Zhao (2007). "Mechanical Mean Reversion of Leverage Ratios," Economics Letters, 95, 223-229.
  3. Mitchell Stengel, Mahmoud El-Gamal, and Hulusi Inanoglu (2007). "Multivariate Estimation for Operational Risk with Judicious Use of Extreme Value Theory." The Journal of Operational Risk, Vol. 2, pp.21-54.
  4. Yang, Sha, Livia Markoczy and Min Qi (2007), "Unrealistic Optimism in Consumer Credit Card Adoption," Journal of Economic Psychology, 28(2), 170-185.

2006

  1. Alemdar, N. M. , S. Sirakaya and F. Hüsseinov (2006). "Optimal Time Aggregation of Infinite Horizon Control Problems." Journal of Economic Dynamics and Control 30 (4), 569-593.
  2. Chen, Long and Xinlei Zhao, (2006). "On the relation between the market-to-book ratio, growth opportunity, and leverage ratio," Financial Research Letters, 3, 253-266.
  3. Li, Xianghong and Xinlei Zhao, (2006). "Propensity Score Matching and Abnormal Performance After Seasoned Equity Offering," Journal of Empirical Finance, 13, p351-370.
  4. Qi, Min and Yangru Wu (2006) "Technical Trading-Rule Profitability, Data Snooping, and Reality Check: Evidence from the Foreign Exchange Market," Journal of Money, Credit and Banking, 38(8), 2135-2158.
  5. Sirakaya, S., S. J. Turnovsky and N.M. Alemdar (2006). "Feedback Approximation of the Stochastic Growth Model by Genetic Neural Networks." Computational Economics 27 (2), 185-206.
  6. Sirakaya, Sibel (2006). "Recidivism and Social Interactions." Journal of the American Statistical Association 101 (475), 863-877.

2005

  1. Andersson, Fredrik, Harry Holzer, and Julia Lane (2005). Moving Up or Moving On: Who Advances in the Low-Wage Labor Market?, Russell Sage Foundation.
  2. Chen, Robert and Xinlei Zhao (2005). "The Information Content of Insider Options Trading," Financial Management, 34, p153-172
  3. Glennon, Dennis and Peter Nigro (2005). "Measuring Small Business Loan Default Behavior by Maturity," Journal of Financial Services Research, 28(1 / 2), pp 77-111.
  4. Glennon, Dennis and Peter Nigro (2005). "Measuring the Default Risk of Small Business Loans: A Survival Analysis Approach," Journal of Money, Credit, and Banking, 37(5), pp. 923-947.
  5. Zhang, G. Peter and Min Qi (2005), "Neural Network Forecasting for Seasonal and Trend Time Series," European Journal of Operational Research, 160(2), 501-514.

2004 - 1994

  1. Holder, Mark E., Min Qi, and Amit K. Sinha (2004), "The Impact of Time Duration between Trades on the Price of Treasury Futures Contracts," Journal of Futures Markets, 24(10), 965-980.
  2. Alemdar, N. M. and S. Sirakaya (2003). "On-line Computation of Stackelberg Equilibria with Synchronous Parallel Genetic Algorithms." Journal of economic Dynamics and Control 27 (8), 1503-1515.
  3. Barakova, Irina, R. Bostic, P. Calem and S. Wachter (2003). "Does Credit Quality Matter for Homeownership," 2003, Journal of Housing Economics, vol. 12.
  4. Qi, Min and Sha Yang (2003), "Forecasting Consumer Credit Card Adoption: What Can We Learn about the Utility Function?" International Journal of Forecasting, 19(1), 71-85. Among the Journal’s top 10 requested articles in Year 2003.
  5. Qi, Min and Yangru Wu (2003), "Nonlinear Prediction of Exchange Rates with Monetary Fundamentals," Journal of Empirical Finance, 10(5), 623-640.
  6. Sirakaya, S. and N. M. Alemdar (2003). "Genetic Neural Networks to Approximate Feedback Nash Equilibria in Dynamic Games." Computers & Mathematics with Applications 46 (10-11), 1493-1509.
  7. Chen, QingQing (December 2002). "Personal Consumption, Asset Structure and Enterprise Financing Structure," Journal of Economic Studies, No. 4.
  8. Kolari, James, Dennis Glennon, Hwan Shin, and Michele Caputo (2002). "Predicting Large U.S. Commercial Bank Failures," Journal of Economics and Business, 54, pp. 361-387.
  9. Hasan, M. Nazmul (2001). "Rank Test of Unit Root Hypothesis with Infinite Variance Errors," Journal of Econometrics, vol. 104, pp. 49-65.
  10. Brown, Jeffery and Dennis Glennon (2000). "Cost Structures of Banks Grouped by Strategic Conduct," Applied Economics, 32, pp. 1591-1605.
  11. Mitchell Stengel and Dennis Glennon (1999). "Evaluating Statistical Models of Mortgage Lending Discrimination: A Bank-Specific Analysis." Real Estate Economics, Vol. 27, pp.299-334.
  12. Mitchell Stengel and James Gilkeson (1999). "The Economic Impact of Recent Accounting Rules." Mortgage Banking, Vol. 59, pp.55-62.
  13. Koenker, Roger W. and M. Nazmul Hasan (January 1997). "Robust Rank Tests of the Unit Root Hypothesis," Econometrica, vol. 65, No. 1, pp. 133-161.
  14. Glennon, Dennis and Julia Lane (1996). "Financial Innovation, Interest Rates, and Recent Behavior of the Velocity of Money," Journal of Banking and Finance, 20, pp. 207-225.
  15. Mitchell Stengel (1995). "From Traditional Mortgage Lending to Modern Mortgage Banking," OCC Quarterly Journal, Vol. 14, pp.11-18.
  16. Mitchell Stengel, Dennis Glennon, Marsha Courchane, and William Lang (1995). "Using Statistical Models to Identify Unfair Lending Behavior," in Fair Lending Analysis: A Compendium of Essays on the Use of Statistics, Anthony M. Yezer (ed.), American Bankers Association, pp.57-64.
  17. Koenker, Roger W. and M. Nazmul Hasan (1994). Robust Testing for Unit Root Hypothesis based on Regression Ranks Score," Proceedings of the Business and Economic Statistics Section, American Statistical Association.
  18. Mahmood, Raisul Awal, M. Nazmul Hasan and Sultan Hafeez Rahman (March 1991). "Slow Response of Trade and Industry to Import Policy Changes," Research Report No. 125, Bangladesh Institute of Development Studies.

Credit-Risk Modeling

2015

  1. Qi, Min, Xiaofei Zhang and Xinlei Zhao (2014), “Unobservable Systematic Risk Factor and Default Prediction,” Journal of Banking and Finance 49, 216-227.  

2014

  1. Andersson, Fredrik, and Tom Mayock. “How does Home Equity affect Mobility,” Journal of Urban Economics (in press)
  2. Andersson, Fredrik, and Tom Mayock. “Housing Bubbles and Busts: The Role of Supply Elasticity,” Land Economics, 90(1), pp. 79-99.

2013

  1. Barakova, Irina, D. Glennon and A. Palvia (2013). "Sample Selection Bias in Acquisition Credit Scoring Models," Journal of Credit Risk.
  2. Patro, Dilip, Min Qi and Xian Sun (2013), "A Simple Indicator of Systemic Risk," Journal of Financial Stability, 9(1), 105-116.
  3. Qi, Min and Xinlei Zhao (2013), "Debt Structure, Market Value of Firm and Recovery Rate," Journal of Credit Risk, 9(1), 3-37.

2012

  1. Ihlanfeldt, Keith and Tom Mayock (2012). "Information, Search, and House Prices: Revisited," Journal of Real Estate Finance and Economics, 44(1), pp. 90-115.
  2. Pu, Xiaoling and Xinlei Zhao, 2012, "Correlation in Credit Risk Changes," Journal of Banking and Finance, 36, 1093-1106.
  3. Sun, Junjie, Xiaolong Yang, and Xinlei Zhao, 2012, "Understanding commercial real estate indices," Journal of Real Estate Portfolio Management, 18(3), 289-303.

2011

  1. Glennon, Dennis and Peter Nigro (2011). "Evaluating the Performance of Static Versus Dynamic Models of Credit Default: Evidence from Long-Term Small Business Administration-Guaranteed Loans," Journal of Credit Risk, 7(2).
  2. Qi, Min and Xinlei Zhao (2011), "Comparison of Modeling Methods for Loss Given Default," Journal of Banking and Finance, 35 (11), 2842–2855.
  3. Wu, Deming, Jiawen Yang, and Han Hong (2011). "Securitization and Banks' Equity Risk." Journal of Financial Services Research 39, no. 3: 95-117.

2010 - 2007

  1. Qi, Min and Xiaolong Yang (2009). "Loss Given Default of High Loan-to-Value Residential Mortgages," Journal of Banking and Finance, 33(5), 788-799.
  2. DeYoung, Robert, Dennis Glennon, and Peter Nigro (2008). "Borrower-Lender Distance, Credit Scoring, and Loan Performance: Evidence from Informationally Opaque Small Business Borrowers," Journal Financial Intermediation, 17, pp 113-143.
  3. Glennon, Dennis, Nick Kiefer, Erik Larson, and Huanshi Choi (2008). "Development and Validation of Credit-Scoring Models," Journal of Credit Risk, 4.

2006 - 2002

  1. Glennon, Dennis and Peter Nigro (2005). "Measuring Small Business Loan Default Behavior by Maturity," Journal of Financial Services Research, 28(1 / 2), pp 77-111.
  2. Glennon, Dennis and Peter Nigro (2005). "Measuring the Default Risk of Small Business Loans: A Survival Analysis Approach," Journal of Money, Credit, and Banking, 37(5), pp. 923-947.
  3. Kolari, James, Dennis Glennon, Hwan Shin, and Michele Caputo (2002). "Predicting Large U.S. Commercial Bank Failures," Journal of Economics and Business, 54, pp. 361-387.

Financial Economics / Econometrics

2015

  1. Hua Kiefer, Leonard Kiefer, and Tom Mayock (2015). “Should we Fear the Shadow? House Prices, Shadow Inventory, and the Nascent Housing Recovery,” The Journal of Real Estate Finance and Economics, 29 April, p.1-50.
  2. Liu, Zilong, Xiaoling Pu , and Xinlei Zhao (2015), “What Moves the Correlation between Equity and CDS Markets?” Journal of Fixed Income, forthcoming.
  3. Wu, Deming (2015). “The Effects of Government Capital and Liquidity Support Programs on Bank Lending: Evidence from the Syndicated Corporate Credit Market.” Journal of Financial Stability, forthcoming.

2014

  1. Barakova, Irina, M. Nazmul Hasan and Harini Parthasarathy (2014). “Role of Collateral and Covenants in Bank Monitoring and Loss Mitigation.”
  2. Li, Phillip (2014), "Estimation of multivariate sample selection models via a parameter-expanded Monte Carlo EM algorithm," Open Journal of Statistics, (forthcoming)".

2013

  1. Guo, Zheng-Feng and Mototsugu Shinatani (2013). "Consistent Cotrending Rank Selection when both Stochastic and Nonlinear Deterministic Trends are Present," The Econometrics Journal, Vol. 16 (3), pp. 473–484.

2012

  1. Kiefer, Hua (September 2012). "Residential Location Choice: The Role of a Taste for Similarity," International Journal of Economics and Finance, 4(9).

2011

  1. Chen, QingQing, Chor-Ching Goh, Bo Sun and Lixin Colin Xu (June 2011). "Market Integration in the People's Republic of China," Asian Development Review, vol. 28.
  2. Guo, Zheng-Feng and Mototsugu Shinatani (2011). "Nonparametric Lag Selection for Nonlinear Additive Autoregressive Models," Economics Letters, 111(2), 131-134, 2011.
  3. Kiefer, Hua (September 2011). "The House Price Determination Process: Rational Expectations with a Spatial Context," Journal of Housing Economics, 20(40, pp. 249-266.
  4. Li, Phillip (2011). "Estimation of sample selection models with two selection mechanisms," Computational Statistics and Data Analysis, vol. 55, pp. 1099-1108.
  5. Robert DeYoung, Scott Frame, Dennis Glennon and Peter Nigro (2011). "The Information Revolution and Small Business Lending: The Missing Evidence," Journal of Financial Services Research, 39 (1-2).

2010 - 2009

  1. Aggarwal, Raj and Min Qi (2009), "Distribution of Extreme Changes in Asian Currencies: Tail Index Estimates and Value at Risk Calculations," Applied Financial Economics, 19(13), 1083-1102.
  2. Alemdar, N. M. , S. Sirakaya and S. J. Turnovsky (2009). "Foreign Lending under Limited Enforcement." China and Asia: Economic and Financial Interactions 76, 257.
  3. Chen, Long and Xinlei Zhao, 2009, "Return Decomposition," Review of Financial Studies, 22, 5213-5349.

2008

  1. DeYoung, Robert, Scott Frame, Dennis Glennon, Daniel McMillen, and Peter Nigro (2008). "Commercial Lending Distance and Historically Underserved Areas," Journal of Economics and Business, 60, pp 149-164.
  2. Li, Kai and Xinlei Zhao, 2008, "Asymmetric Information and Dividend Policy," Financial Management, 37, 673-694.
  3. Li, Kai, Hernan Ortiz-Molina and Xinlei Zhao, 2008, "Do Institutional Investors Care About Voting Rights? Evidence From Institutional Investment in Dual-Class Firms," Financial Management, 37, 713-745 (Winner of the Best Paper Award at the 2007 Northern Finance Association Meetings).
  4. Qi, Min and G. Peter Zhang (2008), "Trend time series modeling and forecasting with neural networks", IEEE Transactions on Neural Networks, 19(5), 808-816.
  5. Qi, Min and Xinlei Zhao (2008), "Market Breadth, Trin Statistic, and Market Returns," Journal of Investing, 17(1), 65-73.

2007

  1. Chen, Long and Xinlei Zhao, 2007, "Mechanical Mean Reversion of Leverage Ratios," Economics Letters, 95, 223-229.
  2. Mitchell Stengel, Mahmoud El-Gamal, and Hulusi Inanoglu (2007). "Multivariate Estimation for Operational Risk with Judicious Use of Extreme Value Theory." The Journal of Operational Risk, Vol. 2, pp.21-54.
  3. Yang, Sha, Livia Markoczy and Min Qi (2007), "Unrealistic Optimism in Consumer Credit Card Adoption," Journal of Economic Psychology, 28(2), 170-185.

2006

  1. Chen, Long and Xinlei Zhao (2006). "On the relation between the market-to-book ratio, growth opportunity, and leverage ratio," Financial Research Letters, 3, 253-266.
  2. Li, Xianghong and Xinlei Zhao (2006). "Propensity Score Matching and Abnormal Performance After Seasoned Equity Offering," Journal of Empirical Finance, 13, p351-370.
  3. Qi, Min and Yangru Wu (2006) "Technical Trading-Rule Profitability, Data Snooping, and Reality Check: Evidence from the Foreign Exchange Market," Journal of Money, Credit and Banking, 38(8), 2135-2158.

2005 - 1995

  1. Chen, Robert and Xinlei Zhao (2005). "The Information Content of Insider Options Trading," Financial Management, 34, p153-172.
  2. Barakova, Irina, R. Bostic, P. Calem and S. Wachter (2003). "Does Credit Quality Matter for Homeownership," 2003, Journal of Housing Economics, vol. 12.
  3. Qi, Min and Sha Yang (2003), "Forecasting Consumer Credit Card Adoption: What Can We Learn about the Utility Function?" International Journal of Forecasting, 19(1), 71-85. Among the Journal’s top 10 requested articles in Year 2003.
  4. Hasan, M. Nazmul (2001). "Rank Test of Unit Root Hypothesis with Infinite Variance Errors," Journal of Econometrics, vol. 104, pp. 49-65.
  5. Koenker, Roger W. and M. Nazmul Hasan (January 1997). "Robust Rank Tests of the Unit Root Hypothesis," Econometrica, vol. 65, No. 1, pp. 133-161.
  6. Mitchell Stengel (1995). "From Traditional Mortgage Lending to Modern Mortgage Banking," OCC Quarterly Journal, Vol. 14, pp.11-18.
  7. Mitchell Stengel, Dennis Glennon, Marsha Courchane, and William Lang (1995). "Using Statistical Models to Identify Unfair Lending Behavior," in Fair Lending Analysis: A Compendium of Essays on the Use of Statistics, Anthony M. Yezer (ed.), American Bankers Association, pp.57-64.

General Economic Research

2015

  1. Ihlanfeldt, Keith and Tom Mayock (2015). “Foreclosures and Local Government BudgetsRegional Science and Urban Economics, Vol. 53, pp. 135-147
  2. Mayock, Tom (In press). “Wages, Housing Prices, and Commutes,” Real Estate Economics.

2014

  1. Andersson, Fredrik, Monica Garcia-Perez, John Haltiwanger, Kristin McCue, and Seth Sanders (2014). “Workplace Concentration of Immigrants,” Demography (in press).
  2. Andersson, Fredrik, Simon Burgess, and Julia Lane (2014). “Do as the Neighbors Do: The Impact of Social Networks on Immigrant Employment,” Journal of Labor Research, (In press).
  3. Ihlanfeldt, Keith and Tom Mayock (2014). “The Variance in Foreclosure Spillovers across Neighborhood Types,” Public Finance Review (in press)
  4. Ihlanfeldt, Keith and Tom Mayock (2014). “The Impact of REO Sales on Neighborhoods and Their Residents,” Journal of Real Estate Finance and Economics (in press)
  5. Barakova, Irina, M. Nazmul Hasan and Harini Parthasarathy (2014). “Role of Collateral and Covenants in Bank Monitoring and Loss Mitigation.”
  6. Sirakaya, Sibel (2014). "Numerical Approximation of Free Horizon Optimal Control Problems." Int. J. Computational Economics and Econometrics 4 (3/4), 362-371.

2013 - 2011

  1. Chen, Long, Da Zhi, and Xinlei Zhao (2013). "What drives stock price movement?" Review of Financial Studies, 26(4), 841-875.
  2. Andersson, Fredrik, Elizabeth Davis, Matthew Freedman, Julia Lane, Brian McCall, and Kristin Sandusky (2012). "Decomposing the Sources of Earnings Inequality Assessing the Role of Reallocation," Industrial Relations, Vol. 51(4), pp. 779-998.
  3. Andersson, Fredrik, Iben Bolvig, Matthew Freedman, and Julia Lane (2011). "Lost Jobs and Health Insurance: An Analysis of the Impact of Employment Volatility on Firm-Provided Health Insurance Coverage," Applied Economics, Vol. 43(32), pp. 3051-3073.
  4. Holzer, Harry, Julia Lane, David Rosenblum, and Fredrik Andersson (2011)."Where are All the Good Jobs Going? What National and Local Job Quality and Dynamics Mean for US Workers," Russell Sage Foundation.

2010

  1. Barakova, Irina and A. Palvia (2010). "Limits to relative performance evaluation," 2010, Journal of Financial Economic Policy.
  2. Ihlanfeldt, Keith and Tom Mayock (2010). "Panel Data Estimates of the Effects of Different Types of Crime on Housing Prices," Regional Science and Urban Economics, 40(2-3), pp. 161-172.
  3. Ihlanfeldt, Keith and Tom Mayock (2010). "Property Values and Crime," in Handbook on the Economics of Crime, edited by B. Benson and P. Zimmerman, Edward Elgar.

2009

  1. Abowd, John, Bryce Stephens, Lars Vilhuber, Fredrik Andersson, Kevin McKinney, Marc Roemer, Simon Woodcock (2009). "The LEHD Infrastructure Files and the Creation of the Quarterly Workforce Indicators," in Producer Dynamics: New Evidence from Micro Data, edited by Timothy Dunne, J. Bradford Jensen, and Mark J. Roberts, NBER Press.
  2. Andersson, Fredrik, Harry Holzer, and Julia Lane (2009). "Temporary Help Agencies and the Advancement Prospects of Low Earners," in Studies of Labor Market Intermediation, edited by David Autor, NBER Press and NBER Working Paper 13434.
  3. Andersson, Fredrik, Matthew Freedman, John Haltiwanger, Julia Lane and Kathryn Shaw (2009). "Reaching for the Stars: Who Pays for Talent in Innovative Industries?," Economic Journal, Vol. 119 (June), pp. 308-332 and NBER Working Paper No. 12435.
  4. Cheung, Ron, Keith Ihlanfeldt, and Tom Mayock (2009). "The Incidence of the Land Use Regulatory Tax," Real Estate Economics, 37(44), pp. 675-704.
  5. Cheung, Ron, Keith Ihlanfeldt, and Tom Mayock (2009). "The Regulatory Tax and House Price Appreciation in Florida," Journal of Housing Economics, 18(1), 2009, pp. 34-48.
  6. Ihlanfeldt, Keith and Tom Mayock (2009). "Price Discrimination in the Housing Market," Journal of Urban Economics, 66(2), 2009, pp. 125-140.
  7. Sirakaya, S., S. J. Turnovsky and N. M. Alemdar (2009). "Trade, Growth, and Environmental Quality." Review of International Economics 17 (5), 906-926.
  8. Xinlei Zhao (2009). "Technological Innovation and Acquisitions," Management Science, 55, 1170-1183.

2008 - 2006

  1. Andersson, Fredrik, Clair Brown, Benjamin Campbell, Hyowook Chiang, Yooki Park (2008). "The Effect of HRM Practices and R&D Investment on Worker Productivity," in The Analysis of Firms and Employees: Quantitative and Qualitative Approaches, edited by Stefan Bender, Julia Lane, Kathryn Shaw, Fredrik Andersson and Till Von Wachter, University of Chicago Press.
  2. Bender, Stefan, Julia Lane, Kathryn Shaw, Fredrik Andersson, and Till Von Wachter (eds.) (2008).The Analysis of Firms and Employees: Quantitative and Qualitative Approaches, University of Chicago Press, 2008
  3. Andersson, Fredrik, Simon Burgess, and Julia Lane (2007). "Cities, Matching and the Productivity Gains of Agglomeration," Journal of Urban Economics, Vol. 61(1), pp. 112-28.
  4. Alemdar, N. M. , S. Sirakaya and F. Hüsseinov (2006). "Optimal Time Aggregation of Infinite Horizon Control Problems." Journal of Economic Dynamics and Control 30 (4), 569-593.
  5. Sirakaya, S., S. J. Turnovsky and N.M. Alemdar (2006). "Feedback Approximation of the Stochastic Growth Model by Genetic Neural Networks." Computational Economics 27 (2), 185-206.
  6. Sirakaya, Sibel (2006). "Recidivism and Social Interactions." Journal of the American Statistical Association 101 (475), 863-877.

2005 - 1994

  1. Andersson, Fredrik, Harry Holzer, and Julia Lane (2005). Moving Up or Moving On: Who Advances in the Low-Wage Labor Market?, Russell Sage Foundation.
  2. Zhang, G. Peter and Min Qi (2005). "Neural Network Forecasting for Seasonal and Trend Time Series," European Journal of Operational Research, 160(2), 501-514.
  3. Holder, Mark E., Min Qi, and Amit K. Sinha (2004), "The Impact of Time Duration between Trades on the Price of Treasury Futures Contracts," Journal of Futures Markets, 24(10), 965-980.
  4. Alemdar, N. M. and S. Sirakaya (2003). "On-line Computation of Stackelberg Equilibria with Synchronous Parallel Genetic Algorithms." Journal of economic Dynamics and Control 27 (8), 1503-1515.
  5. Qi, Min and Yangru Wu (2003), "Nonlinear Prediction of Exchange Rates with Monetary Fundamentals," Journal of Empirical Finance, 10(5), 623-640.
  6. Sirakaya, S. and N. M. Alemdar (2003). "Genetic Neural Networks to Approximate Feedback Nash Equilibria in Dynamic Games." Computers & Mathematics with Applications 46 (10-11), 1493-1509.
  7. Chen, QingQing (December 2002). "Personal Consumption, Asset Structure and Enterprise Financing Structure," Journal of Economic Studies, No. 4.
  8. Brown, Jeffery and Dennis Glennon (2000). "Cost Structures of Banks Grouped by Strategic Conduct," Applied Economics, 32, pp. 1591-1605.
  9. Mitchell Stengel and Dennis Glennon (1999). "Evaluating Statistical Models of Mortgage Lending Discrimination: A Bank-Specific Analysis." Real Estate Economics, Vol. 27, pp.299-334.
  10. Mitchell Stengel and James Gilkeson (1999). "The Economic Impact of Recent Accounting Rules." Mortgage Banking, Vol. 59, pp.55-62.
  11. Glennon, Dennis and Julia Lane (1996). "Financial Innovation, Interest Rates, and Recent Behavior of the Velocity of Money," Journal of Banking and Finance, 20, pp. 207-225.
  12. Koenker, Roger W. and M. Nazmul Hasan (1994). Robust Testing for Unit Root Hypothesis based on Regression Ranks Score," Proceedings of the Business and Economic Statistics Section, American Statistical Association.

 

Compliance Risk Analysis Division Publications

The economists in the Compliance Risk Analysis Division publish research papers covering a wide range of topics.

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All Publications

2016

  1. Jackson, K. (2016), "The Effect of Social Information on Giving from Lapsed Donors: Evidence from a Field Experiment." Voluntas: International Journal of Voluntary and Nonprofit Organizations 72, 920-940. Available online at http://dx.doi.org/10.1007/s11266-015-9566-2.
  2. Jackson, K. (2016), "Do land use regulations stifle residential development? Evidence from California cities." Journal of Urban Economics 91, 45-56. Available online at http://dx.doi.org/10.1016/j.jue.2015.11.004.
  3. Tzioumis, Konstantinos (2016), “Detecting Discrimination: A Dynamic Perspective,” Journal of Royal Statistical Society (Series A), Vol. 179, Part 1, pp. 1-20.

2015

  1. Haghani, S., (2015), Estimation of the Probability of Credit Card Charge-Off in the Presence of Competing Risks, forthcoming in the Journal of the Banking and Finance Review.
  2. Jackson, K. (2015), "The Effect of Social Information on Giving from Lapsed Donors: Evidence from a Field Experiment." Voluntas: International Journal of Voluntary and Nonprofit Organizations, March 2015. Available online at http://dx.doi.org/10.1007/s11266-015-9566-2.
  3. Rambharat, B.R. and A.J. Tschirhart (2015), "A Statistical Diagnosis of Customer Risk Ratings in Anti-Money Laundering Surveillance," Statistics and Public Policy (forthcoming).
  4. Tzioumis, Konstantinos (2015), "Appraisers and Valuation Bias: An Empirical Analysis," Real Estate Economics (forthcoming).
  5. Voicu, Ioan, Irina Paley, Andres Lopez, and Irene Fang (2015), “Information Externalities, Neighborhood Characteristics, and Home Mortgage Pricing,” Real Estate Economics, Vol. 43, Issue 3, pp. 719-749.

2014

  1. Do, Chau and Arturo Gonzalez (2014). "Hispanic Brokers and Borrowers: The Effect of Language Affinity on the Price of Home Mortgages," Regional Science and Urban Economics, November 2014.
  2. Haghani, S., (2014), Modeling Hedge Fund Lifetimes: A dependent Competing Risks Framework with Latent Exit Types, Journal of Empirical Finance, Vol. 28, 291-320.
  3. Schwartz, Amy E. and Ioan Voicu (2014), “Which Schools Matter? Disentangling the Impact of Zoned Schools and Choice Schools on House Prices in New York City,” Regional Science and Urban Economics, Vol. 49, pp.1-10.

2013

  1. Been, Vicki, Mary Weselcouch, Ioan Voicu, and Scott Murff (2013), “Determinants of the Incidence of U.S. Mortgage Loan Modifications,” Journal of Banking and Finance, Vol. 37 (10).
  1. Do, Chau and Irina Paley. (2013) “Gender and Mortgage Choice: More Evidence of Gender Based Risk Aversion.” Feminist Economics, Vol. 19 (2).
  1. Tzioumis, Konstantinos (2013), “Are Company Founders Underpaid?” Applied Economics, Vol. 89, pp. 2527-2536.
  2. Tzioumis, Konstantinos and Matt Gee (2013), “Nonlinear Incentives and Mortgage Officers’ Decisions Economy,” Journal of Financial Economics, Vol. 107, pp. 436-453.

2012

  1. Do, Chau (2012). “Home Equity Lines of Credit: Differences Across Race and Ethnicity,” Housing Studies, Vol. 27 (3).
  2. Voicu, Ioan, Marilyn Jacob, Kristopher Rengert, and Irene Fang (2012), “Subprime Loan Default Resolutions: Do They Vary Across Mortgage Products and Borrower Demographic Groups?” Journal of Real Estate and Finance Economics, Vol. 45 (4).
  3. Tzioumis, Konstantinos and Leora Klapper (2012), “Taxation and Capital Structure: Evidence From a Transition Economy,” FinanzArchiv: Public Finance Analysis, Vol. 68, pp. 165-190.
  4. Voicu, Ioan, Marilyn Jacob, Irene Fang, and Kristopher Rengert (2012), “Subprime Loan Default Resolutions: Do They Vary Across Mortgage Products and Borrower Demographic Groups?” The Journal of Real Estate Finance and Economics, Vol. 45 (4), pp. 939-964.

2011

  1. Do, Chau and Irina Paley (2011). “Altruism in the House: The Impact of Home Equity on Charitable Giving.” Review of Economics of the Household, Vol. 10 (3).
  2. Karikari, John, Ioan Voicu, and Irene Fang (2011), “FHA vs. Subprime Mortgage Originations: Is FHA the Answer to the Subprime Crisis?” The Journal of Real Estate Finance and Economics, Vol. 43 (4), pp. 441-458.

2010

  1. Hilber, Christian and Ioan Voicu (2010), “Agglomeration Economies and the Location of Foreign Direct Investment: Evidence from Romania,” Regional Studies, Vol. 44 (3), pp. 355-371.
  2. Jackson, K., Holland, D., Albrecht, C., and Woolstenhulme, D. (2010), "Fraud Isn't Just for Big Business: Understanding the Drivers, Consequences, and Prevention of Fraud in Small Business." Journal of International Management Studies, April 2010, pp. 160-164.

2009

  1. Ellen, Ingrid G., Kathy O’Reagan, and Ioan Voicu (2009), “Impact of Low-Income Housing Tax Credit Program on Poverty Concentration and Neighborhood Revitalization,” in Housing Markets and the Economy: Risk, Regulation, Policy; Essays in Honor of Karl Case, edited by E. Glaeser and J. Quigley, Cambridge, MA., Lincoln Land Institute.

2008

  1. Tzioumis, Konstantinos (2008), “Why Do Firms Adopt CEO Stock Options?” Journal of Economic Behavior and Organization, Vol. 68, pp. 100-111.
  2. Voicu, Ioan and Vicky Been (2008), “The Effect of Community Gardens on Neighboring Property Values,” Real Estate Economics, Vol. 36 (2), pp. 241-283.

2007

  1. Do, Chau and Irina Paley (2007). “Explaining the Growth of Higher-Priced Loans in HMDA: The Oaxaca Decomposition Approach.” Journal of Real Estate Research, Vol. 29 (4).
  2. Ellen, Ingrid G., Michael H. Schill, Amy E. Schwartz, and Ioan Voicu (2007), “Does Federally Subsidized Rental Housing Depress Neighborhood Property Values?” Journal of Policy Analysis and Management, Vol. 26 (2), pp. 257-280.
  3. Kumar, Anjali, Mukta Joshi, Loraine Ronchi, and Konstantinos Tzioumis (2007), “Measuring Financial Access”, in Michael S. Barr, Anjali Kumar, Robert E. Litan (eds), Building Inclusive Financial Systems, Brookings Institution Press.
  4. Schill, Michael H., Ioan Voicu, and Jonathan Miller (2007), “The Condominium v. Cooperative Puzzle: An Empirical Analysis of Housing in New York City,” The Journal of Legal Studies, Vol. 36 (2), pp. 275-324
  5. Schwartz, Amy E., Ingrid G. Ellen, and Ioan Voicu (2007), “The Impact of Business Improvement Districts on Property Values: Evidence from New York City,” Brookings Wharton Papers on Urban Affairs, pp. 32-35.

2006

  1. Listokin, David, Siona Listokin, and Ioan Voicu (2006), “Comment of Jack Goodman’s “Houses, Apartments, and the Incidence of Property Taxes,” Housing Policy Debate, Vol. 17 (1), pp. 27-44.
  2. Schwartz, Amy E., Ingrid G. Ellen, Michael H. and Ioan Voicu (2006), “The External Effects of Place-Based Subsidized Housing,” Regional Science and Urban Economics, Vol. 36 (6), pp. 679-707.
  3. Stijn Claessens and Konstantinos Tzioumis (2006), “Ownership and Financing Structures of Corporations in Europe,” Corporate Governance: An International Review, Vol. 14, pp. 266-276.

2005

  1. Do, Chau and Kelly Bedard (2005). “Are Middle Schools Effective? The Impact of School System Configuration on Student Outcomes.” Journal of Human Resources, Vol. 40 (3).
  2. Ellen, Ingrid G. and Ioan Voicu (2005), “Non-Profit Housing and Neighborhood Spillovers,” Journal of Policy Analysis and Management, Vol. 25 (1), pp. 31-52.

2004

  1. Do, Chau (2004). “The Effect of Local Colleges on the Quality of the College Attended,” Economics of Education Review, Vol. 23 (3).
  2. Ellen, Ingrid G., Michael H. Schill, Amy E. Schwartz, and Ioan Voicu (2004), “The Role of Cities in Providing Housing Assistance: A New York Perspective” in City Taxes, City Spending: Essays in Honor of Dick Netzer, ed. Amy Ellen Schwartz, Edward Elgar Publishing Inc.
  3. Voicu, Ioan (2004), “A comparison of the Performance of Domestic and Foreign Firms in the Romanian Manufacturing Sector,” Eastern European Economic, Vol. 42 (4), pp. 5-32.

2003

  1. Ellen, Ingrid G., Michael H. Schill, Amy E. Schwartz, and Ioan Voicu (2003), “Housing Production Subsidies and Neighborhood Revitalization: New York City’s Ten-Year Capital Plan for Housing,” Economic Policy Review, Vol. 9 (2).
  2. Schwartz, Amy E., Scott J. Susin, and Ioan Voicu (2003), “Has Falling Crime Driven New York City’s Real Estate Boom?” Journal of Housing Research, Vol. 14 (1), pp. 101-136.

2002

  1. Listokin, David, Elvin Wyly, Ioan Voicu, and Brian Schmitt (2002). “Known Facts or Reasonable Assumptions? An Examination of Alternative Sources of Housing Data,” Journal of Housing Research, Vol. 13 (2), pp. 219-251.
  2. Schill, Michael H., Ingrid G. Ellen, Amy E. Schwartz, and Ioan Voicu (2002), “Revitalizing Inner City Neighborhoods: New York City’s Ten Year Plan for Housing,” Housing Policy Debate, Vol. 13 (3), pp. 529-556.

2001

  1. Listokin, David, Elvin Wyly, Ioan Voicu, and Brian Schmitt (2001). “The Potential and Limitations of Mortgage Innovation in Fostering Homeownership in the United States,” Housing Policy Debate, Vol. 12 (3), pp. 465-514.

 

Enterprise Risk Analysis Division

The economists in the Enterprise Risk Analysis Division publish research papers covering a wide range of topics.

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All Publications

2017

  1. Agarwal, Sumit, Souphala Chomsisengphet, and Yunqi Zhang (2017). “How Does Working in a Finance Profession Affect Mortgage Default?,” Journal of Banking and Finance (forthcoming).
  2. Agarwal, Sumit, Gene Amromin, Itzhak Ben-David, Souphala Chomsisengphet, Tomasz Piskorski, and Amit Seru (2017). "Policy Intervention in Debt Renegotiation: Evidence from Home Affordability Modification Program," Journal of Political Economy (forthcoming).

2016

  1. Agarwal, Sumit, Brent Ambrose, Souphala Chomsisengphet, and Chunlin Liu (2016). “Joint Liability Lending and Credit Risk: Evidence from the Home Equity market,” Journal of Housing Economics, 32, p. 47-66.
  2. Agarwal, Sumit, Souphala Chomsisengphet, and Chunlin Liu (2016). “An Empirical Analysis of Asymmetric Information in Home Equity Lending,” Journal of Financial Services Research, 46(1), p. 101-119.
  3. A. Christie, D. Houser, and J. Chen. “Ethics and Advances in Economic Science: the Role of Two Norms (chapter)”. In: Handbook on Economic Professional Ethics. Ed. by George DeMartino and D. McClosky. Oxford University Press, 2015, print forthcoming 2016.
  4. N Schenck, V Salotti, and J Thornton. “The Impact of Real Estate Lending on Thrifts Franchise Values During the 2007-2009 Crisis: A Comparison with Commercial Banks”. In: Journal of Financial Re- search (2016). Forthcoming.
  5. N Schenck and J Thornton. “Charter Values, Bailouts and Moral Hazard in Banking”. In: Journal of Regulatory Economics (2016). Forthcoming.

2015

  1. Agarwal, Sumit, Gene Amromin, Itzhak Ben-David, Souphala Chomsisengphet and Douglas Evanoff (2015). “Financial Literacy and Financial Planning: Evidence from India,” Journal of Housing Economics, 27, p. 4-21.
  2. Agarwal, Sumit, Souphala Chomsisengphet, Chunlin Liu, and Nicholas Souleles (2015). "Do Consumers Choose the Right Credit Contract?," The Review of Corporate Finance Studies, 4(2), p.239-257.
  3. Agarwal, Sumit, Souphala Chomsisengphet, Neale Mahoney, and Johannes Stroebel (2015). "Regulating Consumer Financial Products: Evidence from Credit Cards," Quarterly Journal of Economics, 130(1), p. 111-164.
  4. Partha Sengupta and Suning Zhang. “Equity-based Compensation of Outside Directors and Corporate Disclosure Quality”. In: Contemporary Accounting Research 32 (2015), p1073–1098.
  5. Partha Sengupta et al. “How Do Managers View Auditors Disclosure Strategy? The Effect of Earnings Guidance on Audit Fees”. In: Journal Accounting and Public Policy 31 (2015), p492–515.
  6. Lan Shi and David Downs. “The Impact of Reversing Regulatory Arbitrage on Loan Originations: Evidence from Mortgage Banking Subsidiaries of Bank Holding Corporations”. In: Journal of Real Estate Finance and Economics 50.3 (2015), p307–338.
  7. Lan Shi and Christina Tapia. “The Disciplining Effect of Concern for Referrals: Evidence from Real Estate Agents”. In: Real Estate Economics (2015). Forthcoming.
  8. Lan Shi and Yan Zhang. “Appraisal Inflation: Evidence from 2009 GSE HVCC Intervention”. In: Journal of Housing Economics 27 (2015). Special Issue on Housing Finance, p71–90.
  9. Akhtarur Siddique, Iftekhar Hasan, and Xian Sun. “Monitoring the Invisible Hand of Market Discipline: Capital Adequacy Revisited”. In: Journal of Banking and Finance 50 (2015), p475–492.
  10. Akhtarur Siddique, Bardia Kamrad, and Sandeep Dahiya. “Operating Performance and Stock Price Dynamics of Firms Announcing Out- sourcing”. In: International Journal of Operations and Quantitative Management 21 (2015), p175–200.

2014

  1. Agarwal, Sumit, Gene Amromin, Itzhak Ben-David, Souphala Chomsisengphet and Douglas Evanoff  (2014). “Predatory Lending and the Subprime Crisis,” Journal of Financial Economics 113, 29-52.
  2. Agarwal, Sumit, Souphala Chomsisengphet, Neale Mahoney, and Johannes Stroebel (2014). “A simple framework for estimating the consumer benefits from regulating hidden fees,” Journal of Legal Studies, 43(S2), p. S239-S252.
  3. J. Jones, R. Song, and R. Sowers. “The Topology of Central Counter- party Clearing Networks and Network Stability”. In: Stochastic Models 30.1 (2014), p16–47.
  4. N Schenck. “Distance-to-Default Measures and Determinants for Systemically Important Financial Institutions”. In: Journal of Financial Regulation and Compliance 22.2 (2014), p159–172.

2013

  1. Andersson, Fredrik, Souphala Chomsisengphet, Dennis Glennon and Feng Li (2013). "The Changing Pecking Order of Consumer Defaults," Journal of Money, Credit and Banking, vol. 45, pp. 251-275.
  2. Christie. “Asymmetric Information and Bank Lending: The Role of Formal and Informal Institutions (A Survey of Laboratory Research)”. In: Research in Experimental Economics 16 (2013), p5–30.
  3. A. Christie. “From Experimental Economics toward Integral Human Rationality”. In: Journal of Markets and Morality 16.1 (2013), p37– 51.
  4. Akhtarur Siddique and Iftekhar Hasan. Stress Testing: approaches, methods and applications. Risk Books, London, 2013.
  5. Akhtarur Siddique and Valerio Poti. “What Drives Currency Predictability”. In: Journal of International Money and Finance 36 (2013), p86–106.
  6. Yan Zhang. “Does Loan Renegotiation Differ by Securitization? A Transition Probability Study”. In: Journal of Financial Intermediation 22.3 (2013), p513–527.
  7. Yan Zhang. “Fair Lending Analysis of Mortgage Pricing: Does Under- writing Matter?” In: Journal of Real Estate Finance and Economics 46 (2013), p131–151.

2012

  1. Agarwal, Sumit, Brent Ambrose, Souphala Chomsisengphet and Anthony Sanders (2012). "Thy Neighbor's Mortgage: Does Living in a Subprime Neighborhood Affect One's Probability of Default?," Real Estate Economics, vol. 40, pp. 1-22.
  2. Bostic, Raphael, Souphala Chomsisengphet, Kathleen E. Engel, Patricia A. McCoy, Anthony Pennington-Cross and Susan Wachter (2012). "Mortgage Product Substitution and State Anti-Predatory Lending Laws: Better Loans and Better Borrowers," Atlantic Economic Journal, vol 40, pp. 273-294.
  3. Akhtarur Siddique, Bardia Kamrad, and Ricardo Ernst. “Partial equilibrium in risk-based production decisions”. In: Naval Research Logistics 59 (2012), p1–17.

2011

  1. Agarwal, Sumit, Brent Ambrose, Souphala Chomsisengphet and Chunlin Liu (2011). "The Role of Soft Information in Dynamic Contract Settings: Evidence from the Home Equity Market," Journal of Money, Credit and Banking, vol. 43, pp. 633-655.
  2. Agarwal, Sumit, Gene Amromin, Itzhak Ben-David, Souphala Chomsisengphet, and Douglas Evanoff (2011). “Financial Counseling, Financial Literacy, and Household Decision Making,” in Mitchell, O., and A. Lusardi (eds.), Financial Literacy: Implications for Retirement Security and the Financial Marketplace, Oxford, UK: Oxford University Press, pp. 181-205.
  3. Agarwal, Sumit, Gene Amromin, Itzhak Ben-David, Souphala Chomsisengphet, and Douglas Evanoff (2011). "The Role of Securitization in Mortgage Renegotiation," Journal of Financial Economics, vol. 102, pp. 559-578.
  4. Agarwal, Sumit, Souphala Chomsisengphet and Chunlin Liu (2011). "Consumer Bankruptcy and Default: The Role of Individual Social Capital," Journal of Economic Psychology, vol.32, pp. 632-650.
  5. Agarwal, Sumit, Souphala Chomsisengphet, and John Driscoll (2011). “Loan Commitments and Private Firms,” Federal Reserve Bank of Chicago Economic Prospective, 2011:Q2, pp. 71-79.
  6. Partha Sengupta and Gopal Krishnan. “How Do Auditors Perceive Recognized Versus Disclosed Lease and Pension Obligations? Evidence from Fees and Going Concern Opinions”. In: International Journal of Auditing 15 (2011), p127–149.
  7. Partha Sengupta and Zheng Wang. “Pricing of Off-Balance Sheet Debt: How Do Bond Market Participants Use the Footnote Disclosures on Operating Leases and Postretirement Benefit Plans?” In: Accounting and Finance 51 (2011), p787–808.
  8. Lan Shi. “Respondable Risk and Incentives for CEOs: the Role of Information-collection and Decision-making”. In: Journal of Corporate Finance 17.1 (2011), p189–205.

2010

  1. Agarwal, Sumit, Gene Amromin, Itzhak Ben-David, Souphala Chomsisengphet, and Douglas Evanoff (2010). "Learning to Cope: Voluntary Financial Education Programs and the Housing Crisis," American Economic Review – Papers Proceeding, vol.100, pp. 495-500.
  2. Agarwal, Sumit, Souphala Chomsisengphet and Chunlin Liu (2010). "The Importance of Adverse Selection in the Credit Card Market: Evidence from Randomized Trials of Credit Card Solicitations," Journal of Money, Credit and Banking, vol. 42, pp. 743-754.
  3. Elul, Ronel, Nicholas Souleles, Souphala Chomsisengphet, Dennis Glennon, Robert Hunt (2010). "What 'Triggers' Mortgage Default?," American Economic Review – Papers and Proceeding, vol. 100, pp. 490-494
  4. J. Jones. “A Primer on Interest Rate Models and Financial Instrument Valuation”. In: Bank Asset/Liability Management 26.11 (2010).
  5. J. Jones. “Model Risk”. In: Bank Asset/Liability Management 26.12 (2010).
  6. J. Jones. “The Advisory on Interest Rate Risk Management: An Overview of Supervisory Expectations”. In: Bank Asset/Liability Management 26.10 (2010).
  7. J. Jones, P. Nigro, and M. Aydogdu. “Some Evidence on the Secondary Market Trading of Syndicated Loans”. In: Journal of Business & Economic Research 8.5 (2010).
  8. N Schenck and F. Wolf. “Issues of Financial Statement Analysis of Small Homebuilders in Commercial Lending Decision Process in the U.S.” In: International Journal of Business, Accounting, & Finance 4.2 (2010), p33–44.
  9. Lan Shi. “Incentive Effect of Piece Rate Contracts: Evidence from Two Small Field Experiments”. In: The B.E. Journal of Economic Analysis & Policy 10.1 (2010).

2009

  1. Agarwal, Sumit, Gene Amromin, Itzhak Ben-David, Souphala Chomsisengphet, and Douglas Evanoff (2009). “Do Financial Counseling Mandates Improve Mortgage Choice and Performance?,” in the 45th Proceedings of a Conference on Bank Structure and Competition, Federal Reserve Bank of Chicago.
  2. Agarwal, Sumit and Souphala Chomsisengphet (2009). "Role of Personal Bankruptcy Exemption Laws on Mortgage Availability,” Cityscape, vol. 11, pp. 101-112.
  3. Lan Shi. “The Limit of Oversight in Policing: Evidence from the 2001 Cincinnati Riot”. In: Journal of Public Economics 93.1-2 (2009), p99– 113.
  4. Yan Zhang and Lan Shi. “Appraisal Inflation Evidence from 2009 GSE HVCC Intervention”. In: Journal of Housing Economics 27 (2009), p71–90.

2008

  1. Agarwal, Sumit, Souphala Chomsisengphet and Brent Ambrose (2008). "Determinants of automobile loan default and prepayment," Federal Reserve Bank of Chicago Economic Perspective, 2008:Q3, pp. 17-28.
  2. Agarwal, Sumit, Souphala Chomsisengphet and Lawrence Mielnicki (2008). "Do Forbearance Plans Help Mitigate Credit Card Losses,?" Journal of Family and Economic Issues, vol. 29, pp. 191-209 (Lead article).
  3. N. Schenck. “Small Business Lending Environment in Emerging Economies: A Comparison of Brazil and Russia”. In: Journal of International Busi- ness Research 7.2 (2008), p13–30.
  4. Akhtarur Siddique, Allan Eberhart, and William Maxwell. “A Reexamination of the Tradeoff Between the Future Benefit and Riskiness of R&D”. In: Journal of Accounting Research (2008).

2007

  1. Agarwal, Sumit, Souphala Chomsisengphet, and Brent Ambrose (2007). “Information Asymmetry and the Automobile Loan Market,” in Household Credit Usage: Personal Debt and Mortgages, Agarwal, Sumit and Brent Ambrose (eds.), Palgrave-Macmillan Publishing, pp. 92-116.
  2. Chomsisengphet, Souphala and Anthony Pennington-Cross (2007). “Interest Rates in the Subprime Mortgage Market,” in Household Credit Usage: Personal Debt and Mortgages, Agarwal, Sumit and Brent Ambrose (eds.), Palgrave-Macmillan Publishing, pp. 237-352.
  3. Pennington-Cross, Anthony and Souphala Chomsisengphet (2007). "Subprime Refinancing: Equity Extraction and Mortgage Termination," Real Estate Economics, vol. 35, pp. 233-263.

2006

  1. Agarwal, Sumit, Brent Ambrose, Souphala Chomsisengphet and Chunlin Liu (2006). "An Empirical Analysis of Home Equity Loans and Lines Performance," Journal of Financial Intermediation, vol. 15, pp. 444-469.
  2. Agarwal, Sumit, Souphala Chomsisengphet, and Chunlin Liu (2006). “Determinants of Small Business Default,” in The Analytics of Risk Model Validation, Christodoulakis, George A. and Stephen E. Satchell (eds.), Elsevier, pp. 1-12.
  3. Burton, Steven, Souphala Chomsisengphet and Erik Heitfield (2006). "Credit risk concentrations in wholesale loan portfolios," Journal of Credit Risk, vol. 2, pp. 3-31.
  4. Burton, Steven, Souphala Chomsisengphet, and Erik Heitfield (2006). “Risk-sensitive regulatory capital rules for hedged credit exposures” in Counterparty Credit Risk Modeling: Pricing, Risk Management and Regulation, Michael Pykhtin, (ed.), London: Risk Waters Group.
  5. Chomsisengphet, Souphala and Anthony Pennington-Cross (2006). "The Evolution of the Subprime Mortgage Market," St. Louis Fed Review, vol. 88, pp. 31-56.
  6. Chomsisengphet, Souphala and Ronel Elul (2006). "Bankruptcy Exemptions, Credit History, and the Mortgage Market," Journal of Urban Economics, vol. 59, pp. 171-188.

2005

  1. Agarwal, Sumit, Souphala Chomsisengphet and Chunlin Liu (2005). "Exemption Laws and Small Business Bankruptcy Decision," Southern Economic Journal, vol. 71, pp. 620-635.
  2. Agarwal, Sumit, Souphala Chomsisengphet and Olivier Hassler (2005). "The Impact of the 2002 Currency Crisis and Subsequent Economic Policies on the Argentine Mortgage Market," Journal of Housing Economic, vol. 14, pp. 242-270.

 

Market Risk Analysis Division Publications

The economists in the Market Risk Analysis Division publish research papers covering a wide range of topics.

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All Publications

2016

  1. Li, Phillip, Min Qi, Xiaofei Zhang and Xinlei Zhao (2016), “Alternative Methods to Model Loss Given Default”, Journal of Credit Risk, 12(4), 1-31
  2. Kilic, Rehim (2016), “Regime-dependent exchange-rate pass-through to import prices”, International Review of Economics and Finance, 41, 295-308

2015

  1. Duong, Diep and Norman Swanson (2015), “Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction”, Journal of Econometrics, 187(2), 606-621
  2. Duong, Diep and Norman Swanson (2015), “Density and Conditional Distribution Based Specification Analysis”, Handbook of Financial Econometrics and Statistics, Springer, New York, 1509-1561
  3. Jang, Nogler, and Cho (2015), “Recent Changes in Auditor Going Concern Modification Resolution”, Global Business Administration Review, Vol 12-3

2014

  1. Qi, Min, Xiaofei Zhang and Xinlei Zhao (2014), Unobserved Systematic Risk Factor and Default Prediction”, Journal of Banking and Finance, 49, 216-227
  2. Jang, Wong, and Huh (2014), “Portfolio Decisions and the optimal Deductible for an insurance Policy,” Korean Insurance Journal, Vol 99
  3. Bai, Qing, Qingqing Chang and Avis Devine (2014), “Capital market supply and REITs’ financing and investment decisions”, International Journal of Managerial Finance, 10(2), 146-167

2013

  1. Suh, Jang, and Ahn (2013), “A Simple Method for Measuring Systemic Risk Using Credit Default Swap Data,” Journal of Economic Development, Vol 38, Number 4
  2. Song, Weihong, Jie (Diana) Wei, Lei Zhou (2013), “The Value of ‘Boutique’ Financial Advisors in Mergers and Acquisitions”, Journal of Corporate Finance, 20, 94-114
  3. Patro, Dilip, Min Qi and Xian Sun (2013), “A Simple Indicator of Systemic Risk”, Journal of Financial Stability, 9(1), 105-116
  4. Lin, Wenling (2013), “Is There Any Alpha in Institutional Emerging Market Equity Funds?” Journal of Portfolio Management, 39, 106-117
  5. Jang and Nogler (2013), “Auditing Treasury Operations: Risks and Traps,” Journal of Corporate Accounting and Finance, Vol 24, Issue 2
  6. Guidolin, M. and Y.M. Tam (2013), “A Yield Spread Perspective on the Great Financial Crisis: Break-Point Test Evidence.” International Review of Financial Analysis, 26, 18-39

2012

  1. Sun, Junjie, Xiaolong Yang and Xinlei Zhao (2012), “Understanding Commercial Real Estate Indices”, Journal of Real Estate Portfolio Management, 18(3), 289-304
  2. Nogler and Jang (2012), “Auditor's Going-concern modification decision in the post-Enron era,” Journal of Corporate Accounting and Finance, Vol 23, Issue 5
  3. Chichernea, Doina, Anthony Holder, Jie (Diana) Wei (2012), “Connecting the Dots: Accrual Quality Premium vs. Value Premium”, Managerial Finance, 38(12), 1106-1133
  4. Chen, F. and Lin, W. (2012), “What Matters in International Equity Diversification?”  Journal of Investment Consulting, 13, 15-24
  5. Bond, Shaun, and Qingqing Chang (2012), “Liquidity Dynamics across Public and Private Markets”, Journal of International Money and Finance, 31(7), 1890-1910
  6. Bond, Shaun, and Qingqing Chang (2012), “Investing in Real Estate -- Direct vs. Indirect”, H. Kent Baker, and Greg Filbeck (Eds.), Alternative Investments, New Jersey: John Wiley & Sons, Inc.

2011

  1. Duong, Diep and Norman Swanson (2011), “Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps”, Missing Data Methods: Advances in Econometrics, 27, 179-233.
  2. Jang and Nogler (2011), “Sarbanes-Oxley Act: Was the ‘One-Size-Fits-All’ Approach Justified?” Journal of Corporate Accounting and Finance, 22(4), 65-76

2010

  1. Sengupta, R. and Y.M. Tam (2010). “Why HARM the Subprime Borrower?” Federal Reserve Bank of St. Louis, The Regional Economists, 18(2), 21-22
  2. Rambharat, B.Ricky and A.E. Brockwell (2010), “Sequential Monte Carlo pricing of American-style options under stochastic volatility models”, The Annals of Applied Statistics, 4(1), 222-265
  3. Madan, Dilip B. and Yue Xiao (2010), “Leveraged Levy Processes as Models for Stock Prices”, Quantitative Finance, 10(7)
  4. Livingston, Miles, Jie (Diana) Wei, Lei Zhou (2010), “Moody’s and S&P Ratings: Are They Equivalent? Conservative Ratings and Split Rated Bond Yields”, Journal of Money, Credit and Banking, 42(7), 1267-1293
  5. Lin, Wenling (2010), “A New Measure of A New Measure of Tactical Allocation Skills in Performance Attribution Analysis”, Journal of Performance Measurement, 50, 27-38
  6. Li, Hongyan, Junjie Sun and Leigh Tesfatsion (2010), “Testing Institutional Arrangements via Agent-Based Modeling: A U.S. Electricity Market Application”, chapter in Computational Methods in Economic Dynamics
  7. Kose, John and Alexander Reisz (2010), “Temporal Resolution of Uncertainty, Disclosure Policy, and Corporate Bond Yields”, Journal of Corporate Finance, 16(5), 655-678
  8. Contreras, Patricio (2010), “Is VAR a useful tool in volatile markets?” Risk, Oct 2010.  

2009

  1. Qi, Min and Xiaolong Yang (2009), “Loss Given Default of High Loan-to-Value Residential Mortgages”, Journal of Banking and Finance, 33, 788-799
  2. Jang, Inwon and D. Kim (2009), “The Dynamics of the Credit Spread and Monetary Policy: Empirical Evidence from the Korean Bond Market,” Journal of Emerging Market Finance, 8(2), 109-131
  3. Jang, Inwon, and D. Kim (2009), “Macroeconomics of Catastrophic Event Risks: Research Comes of Age”, chapter in Emerging Topics in Macroeconomics
  4. Sengupta, R. and Y.M. Tam (2009), “Home Prices: A Case for Cautious Optimism.” Federal Reserve Bank of St. Louis, Monetary Trends
  5. Sengupta, R. and Y.M. Tam (2009), “Recent Movements in the Baltic Dry Index”, Federal Reserve Bank of St. Louis, Economic Synopses No. 12
  6. Patro, Dilip (2009), “Determinants of Flows into U.S.-Based International Mutual Funds”, Chapter 78, Handbook of Quantitative Finance and Risk Management
  7. Lin, Wenling, Hoffman, P., and Duncan, A. (2009), “Global Equity Investing: An Alternative Approach to Structuring Equity Portfolios”, Journal of Portfolio Management, 35(2), 50-60
  8. Guidolin, M. and Y.M. Tam (2009), “Is the Financial Crisis Over? A Yield Spread Perspective.” Federal Reserve Bank of St. Louis, Monetary Trends
  9. Guidolin, M. and Y.M. Tam (2009), “Taming the Long-Term Spreads”, Federal Reserve Bank of St. Louis, Monetary Trends
  10. Graham, John, Campbell Harvey and Huang Hai (2009), “Investor Competence, Trading Frequency, and Home Bias,” Management Science, 55, 1094-1106
  11. Chander, Nandini, Dilip Patro and Ari Yezegel (2009), “Crisis, Contagion and Cross Listings”, Journal of Banking and Finance, 33(9), 1709-1729

2008

  1. Sengupta, R. and Y.M. Tam (2008), “The LIBOR-OIS Spread as a Summary Indicator”, Federal Reserve Bank of St. Louis, Economic Synopses No. 25
  2. Sengupta, R. and Y.M. Tam (2008), “Mortgage Originations: 2000-2006”, Federal Reserve Bank of St. Louis, Economic Synopses No. 18
  3. Jang, Inwon, R. Wong and H. Huh (2008), “Optimal capital investment under uncertainty: An extension,” Economics Bulletin, 5(4), 1-7
  4. Lee, Cheng-Few, Dilip Patro and Bo Liu (2008), “Functional Forms, Market Segmentation and Pricing of Closed-end Country Funds”, Advances in Financial Planning and Forecasting, 3, 235-278

2007

  1. Sun, Junjie and Leigh Tesfatsion (2007), “Dynamic Testing of Wholesale Power Market Designs: An Open-Source Agent-Based Framework”, Computational Economics, 30(3), 291-327
  2. Reisz, Alexander and Claudia Perlich (2007), “A Market-Based Framework for Bankruptcy Prediction”, Journal of Financial Stability; 3(2), 85-131
  3. Jang, Inwon, and T. Bielecki (2007), “Portfolio Selection with a Defaultable Security,” Asia-Pacific Financial Markets, 13(2), 113-127
  4. Jang, Inwon, and H. Huh (2007), “Phillips curve, sacrifice ratio, and the natural rate of unemployment,” Economic Modelling, 24, 797-813
  5. Brick, Ivan, Oded Palmon and Dilip Patro (2007), “Stock Price Response to Calls of Convertible Bonds: Still a Puzzle”, Financial Management, 36(2), 1-21

2006

  1. Reisz, Alexander and Claudia Perlich (2006), “Temporal Resolution of Uncertainty and Corporate Bond Yields: An Empirical Investigation”, Journal of Business, 79(2), 731-770