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on Business Economics |
| By: | Armstrong, Christopher S. (University of Pennsylvania); Jagolinzer, Alan D. (Stanford University); Larcker, David F. (Stanford University) |
| Abstract: | This study examines the use of performance-based incentives for internal monitors (general counsel and chief internal auditor) and whether these incentives impair monitors' independence by aligning their interests with the interests of those being monitored. We find evidence that incentives are greater when monitors' job duties contribute more to the firm's production function, when other top managers receive greater incentives, and when a firm has lower expected litigation risk. We also find evidence that firms provide more incentives when there is greater demand for internal monitoring. We find no evidence that internal monitor incentives impair the monitoring function. Instead, our results suggest that adverse firm outcomes (e.g., regulatory enforcement actions and internal-control material-weakness disclosures) occur less frequently at firms that provide greater monitor incentives. |
| Date: | 2010–02 |
| URL: | http://d.repec.org/n?u=RePEc:ecl:stabus:2052&r=bec |
| By: | Meg Sato (Australia-Japan Research Centre) |
| Abstract: | This paper analyses two pronounced features of Japanese corporate governance: large corporate boards almost entirely composed of insiders and the tendency to appoint CEOs through internal promotions. It is often argued that Japanese boards are less effective in monitoring CEOs than U.S. boards which tends to be composed of a small number of directors, majority of which are outsiders. I show that Japanese corporate governance exhibits less inefficiencies than U.S. corporate governance. I further discuss the recent changes in Japanese corporate governance and provide theoretical explanation that they do not necessarily enhance board monitoring. |
| Keywords: | Board Monitoring; Distortion of Bargaining Surplus; Japanese Corporate Governance; US Corporate Governance; Board Size |
| JEL: | G30 K22 P51 |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:eab:financ:2193&r=bec |
| By: | Bargeron, Leonce L. (University of Pittsburgh); Schlingermann, Frederik P. (University of Pittsburgh and Erasmus University Rotterdam); Stulz, Rene M. (Ohio State University and ECGI); Zutter, Chad J. (University of Pittsburgh) |
| Abstract: | CEOs have a conflict of interest when their company is the target of an acquisition attempt: They can bargain for private benefits, such as retention by the acquirer, rather than for a higher premium to be paid to their shareholders. We find that target CEO retention by the bidder does not appear to be driven by the CEO bargaining for his own interests at the expense of shareholders. Retention is not associated with a lower premium. Retention is more likely when it is more valuable to the bidder in running the merged firm, in that the CEO is more likely to be retained when she has skills and knowledge that bidder executives do not have and when the incentives of target insiders are well aligned with those of target shareholders. Regardless of retention, shareholders of acquired firms whose CEO is at retirement age receive lower premiums than shareholders of acquired firms with younger CEOs. This lower premium seems to be explained by the apparent reduced acquisition value of firms led by retirement age CEOs rather than by the target CEO conflict of interest. |
| Date: | 2010–04 |
| URL: | http://d.repec.org/n?u=RePEc:ecl:ohidic:2010-8&r=bec |
| By: | Chenyang Wei; David Yermack |
| Abstract: | Many commentators have suggested that companies pay top executives with deferred compensation, a type of incentive known as inside debt. Recent SEC disclosure reforms greatly increased the transparency of deferred compensation. We investigate stockholder and bondholder reactions to companies' initial reports of their CEOs' inside debt positions in early 2007, when new disclosure rules took effect. We find that bond prices rise, equity prices fall, and the volatility of both securities drops upon disclosures by firms whose CEOs have sizable defined benefit pensions or deferred compensation. Similar changes in value occur for credit default swap spreads and exchange-traded options. The results indicate a reduction in firm risk, a transfer of value from equity toward debt, and an overall destruction of enterprise value when a CEO's deferred compensation holdings are large. |
| Keywords: | Executives - Salaries ; Defined benefit pension plans ; Chief executive officers ; Options (Finance) ; Corporations - Finance ; Disclosure of information |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednsr:445&r=bec |
| By: | Armstrong, Christopher D. (University of Pennsylvania); Larcker, David F. (Stanford University); Su, Che-Lin (University of Chicago) |
| Abstract: | The two major paradigms in the theoretical agency literature are moral hazard (i.e., hidden action) and adverse selection (i.e., hidden information). Prior research typically solves these problems in isolation, as opposed to simultaneously incorporating both adverse selection and moral hazard features. We formulate two complementary generalized principal-agent models that incorporate features observed in real world contracting environments (e.g., agents with power utility and limited liability, lognormal stock price distributions, and stock options) as mathematical programs with equilibrium constraints (MPEC). We use state- of-the-art numerical algorithms to solve the resulting models. We find that many of the standard results no longer obtain when wealth effects are present. We also develop a new measure of incentives calculated as the change in the agent's certainty equivalent under the optimal contract for a change in action evaluated at the optimal action. This measure facilitates interpretation of the resulting contracts and allows us to compare contracts across different contracting environments. |
| JEL: | C60 C61 J33 M52 |
| Date: | 2010–02 |
| URL: | http://d.repec.org/n?u=RePEc:ecl:stabus:2049&r=bec |
| By: | Pierre-Daniel G. Sarte |
| Abstract: | This paper uses sectoral data to study survey-based diffusion indices designed to capture changes in the business cycle in real time. The empirical framework recognizes that when answering survey questions regarding their firm's output, respondents potentially rely on infrequently updated information. The analysis then suggests that their answers reflect considerable information lags, on the order of 16 months on average. Moreover, because information stickiness leads respondents to filter out noisy output fluctuations when answering surveys, it helps explain why diffusion indices successfully track business cycles and their consequent widespread use. Conversely, the analysis shows that in a world populated by fully informed identical firms, as in the standard RBC framework for example, diffusion indices would instead be degenerate. Finally, the data suggest that information regarding changes in aggregate output tends to be sectorally concentrated. The paper, therefore, is able to offer basic guidelines for the design of surveys used to construct diffusion indices. |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedrwp:10-09&r=bec |
| By: | Chen, Wen-Hao; Morissette, René |
| Abstract: | In this paper, we document the post-displacement employment patterns observed between 1979 and 2004 for displaced workers aged 50 to 54. We uncover four key patterns. First, we detect no upward trend in the re-employment rates of male displaced workers in the aggregate, in manufacturing or outside manufacturing. Second, we show that re-employment rates of displaced women generally increased over time. Third, we find substantial evidence that median and average earnings losses of males displaced from manufacturing in recent years (i.e. between 2000 and 2004) were higher than those of comparable cohorts displaced during the 1980s. Part of this increase is related to the lower re-employment rates observed in recent years for males displaced from manufacturing. These lower re-employment rates suggest that, following displacement, aggregate working hours likely fell for males displaced from manufacturing. Finally, we show that median and average earnings losses of women displaced from non-manufacturing firms fell over time. |
| Keywords: | Layoffs, Job security, Job loss, Job stability, Labour turnover |
| JEL: | J2 J6 |
| Date: | 2010–05–27 |
| URL: | http://d.repec.org/n?u=RePEc:ubc:clssrn:clsrn_admin-2010-20&r=bec |
| By: | Bigio, Saki (Department of Economics, New York University) |
| Abstract: | This paper studies the properties of an economy subject to random liquidity shocks. As in Kiyotaki and Moore [2008], liquidity shocks affect the ease with which equity can be used as to finance the down-payment for new investment projects. We obtain a liquidity frontier which separates the state-space into two regions (liquidity constrained and unconstrained). In the unconstrained region, the economy behaves according to the dynamics of the standard real business cycle model. Below the frontier, liquidity shocks have the effects of investment shocks. In this region, investment is under-efficient and there is a wedge between the price of equity and the real cost of capital. As with investment shocks, we argue that liquidity shocks are not an important source of business cycle fluctuations in absence of other frictions affecting the labor market. |
| Keywords: | Business Cycle, Asset Pricing, Liquidity |
| JEL: | E32 E44 D82 |
| Date: | 2010–05 |
| URL: | http://d.repec.org/n?u=RePEc:rbp:wpaper:2010-005&r=bec |
| By: | Elisabetta Iossa (Faculty of Economics, University of Rome "Tor Vergata"); Patrick Rey (Toulouse School of Economics) |
| Abstract: | Due to technological progress, recent performance is often more informative about future performance prospects than is older performance. We incorporate information decay in a career concern model in which performance depends on type and effort and contract renewal is based on the performance record. In contrast with the career concern literature (e.g. Lewis, 1986; RJE), contractors work harder when the project approaches renewal date and when their reputation is better. Productive investment are crowded out by window-dressing effort in late contract periods, but it is boosted in early periods. More frequent contract renewals strengthen reputational effects and result in improved performance if the relative cost of investment is low, but otherwise long-term contracts induce more effort. Our results are corroborated by some empirical studies showing that performance improves as the contract approaches renewal date. |
| Keywords: | Career concerns, contract renewal and dynamic incentives. |
| Date: | 2010–05–28 |
| URL: | http://d.repec.org/n?u=RePEc:rtv:ceisrp:155&r=bec |
| By: | John S Heywood; Colin Green; KA Bender |
| Abstract: | While piece rates are routinely associated with greater productivity and higher wages, they may also generate unanticipated effects. This paper uses cross-country European data to provide among the first broad survey evidence of a strong link between piece rates and workplace injury. Despite unusually good controls for workplace hazards, job characteristics and worker effort, workers on piece rates suffer a large 5 percentage point greater likelihood of injury. As injury rates are typically not controlled for when estimating the premium to piece rates, this raises the specter that a portion of the return to piece rates reflects a compensating wage differential for risk of injury. |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:lan:wpaper:006688&r=bec |
| By: | Andrea Attar (Faculty of Economics, University of Rome "Tor Vergata"); Thomas Mariotti (Toulouse School of Economics); François Salanié (Toulouse School of Economics) |
| Abstract: | We consider an exchange economy in which a seller can trade an endowment of a divisible good whose quality she privately knows. Buyers compete in menus of non-exclusive contracts, so that the seller may choose to trade with several buyers. In this context, we show that an equilibrium always exists and that aggregate equilibrium allocations are generically unique. Although the good offered by the seller is divisible, aggregate equilibrium allocations exhibit no fractional trades. In equilibrium, goods of relatively low quality are traded at the same price, while goods of higher quality may end up not being traded at all if the adverse selection problem is severe. This provides a novel strategic foundation for Akerlof’s (1970) results, which contrasts with standard competitive screening models postulating enforceability of exclusive contracts. Latent contracts that are issued but not traded in equilibrium turn out to be an essential feature of our construction. |
| Keywords: | Adverse Selection, Competing Mechanisms, Non-Exclusivity |
| JEL: | D43 D82 D86 |
| Date: | 2010–05–28 |
| URL: | http://d.repec.org/n?u=RePEc:rtv:ceisrp:159&r=bec |
| By: | Anginer, Deniz; Yildizhan, Celim |
| Abstract: | Although financial theory suggests a positive relationship between default risk and equity returns, recent empirical papers find anomalously low returns for stocks with high probabilities of default. The authors show that returns to distressed stocks previously documented are really an amalgamation of anomalies associated with three stock characteristics -- leverage, volatility and profitability. In this paper they use a market based measure -- corporate credit spreads -- to proxy for default risk. Unlike previously used measures that proxy for a firm's real-world probability of default, credit spreads proxy for a risk-adjusted (or a risk-neutral) probability of default and thereby explicitly account for the systematic component of distress risk. The authors show that credit spreads predict corporate defaults better than previously used measures, such as, bond ratings, accounting variables and structural model parameters. They do not find default risk to be significantly priced in the cross-section of equity returns. There is also no evidence of firms with high default risk delivering anomalously low returns. |
| Keywords: | Debt Markets,Mutual Funds,Economic Theory&Research,Bankruptcy and Resolution of Financial Distress,Deposit Insurance |
| Date: | 2010–05–01 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wbrwps:5319&r=bec |
| By: | Admati, Anat R. (Stanford University); Pfleiderer, Paul (Stanford University) |
| Abstract: | While it is recognized that the high degree of leverage used by financial institutions creates systemic risks and other negative externalities, many argue that financial institutions must rely on extensive debt financing since equity financing is "expensive." Some of the reasons debt is attractive to financial institutions, such as tax benefits and implicit guarantees, are due to subsidies that exacerbate the negative externalities associated with leverage, and are therefore not legitimate from a public policy perspective. Another argument given for high levels of debt financing is that debt serves as a disciplining device for managers who would otherwise make suboptimal or wasteful investment decisions. We propose a mechanism that allows financial institutions to maintain the contractual obligations of debt while avoiding or reducing many of the costs associated with it, including deadweight bankruptcy costs, agency costs due to risk shifting, and under-investment associated with debt overhang. Essentially, we propose a way to increase the liability of the equity issued by the financial institution without changing the limited-liability nature of publicly-held securities. The increased liability is backed by a proposed "Equity Liability Carrier," which holds the increased-liability equity of the financial institution as well as safe liquid assets. In addition to reducing or eliminating the agency problems associated with leverage, this structure concentrates the incentives to monitor and control managers within equity holders, and reduces the need for inefficient liquidation, implicit guarantees and bailouts. Our proposal can be viewed as a way for regulators to impose effectively higher capital requirements, while allowing financial institutions to undertake significant debt commitments. |
| JEL: | G21 G28 G32 G38 H81 K23 |
| Date: | 2009–12 |
| URL: | http://d.repec.org/n?u=RePEc:ecl:stabus:2043&r=bec |
| By: | Giuseppe Bertola; Aurelijus Dabušinskas; Marco Hoeberichts; Mario Izquierdo; Claudia Kwapil; Jérémi Montornès; Daniel Radowski |
| Abstract: | This paper analyses information from survey data collected in the framework of the Eurosystem\'s Wage Dynamics Network (WDN) on patterns of firm-level adjustment to shocks. We document that the relative intensity and the character of price vs. cost and wage vs. employment adjustments in response to cost-push shocks depend - in theoretically sensible ways - on the intensity of competition in firms\' product markets, on the importance of collective wage bargaining and on other structural and institutional features of firms and of their environment. Focusing on the pass-through of cost shocks to prices, our results suggest that the pass-through is lower in highly competitive firms. Furthermore, a high degree of employment protection and collective wage agreements tend to make this pass-through stronger |
| Keywords: | wage bargaining, labour-market institutions, survey data, European Union |
| JEL: | J31 J38 P50 |
| Date: | 2010–05–26 |
| URL: | http://d.repec.org/n?u=RePEc:eea:boewps:wp2010-07&r=bec |
| By: | Toshihiro Matsumura; Noriaki Matsushima |
| Abstract: | Innovators who have developed advanced technologies, along with launching new products by themselves, often license these technologies to their rivals. When a firm launches a new product, product positioning is also an important matter. We consider a standard linear city model with two firms in which the licenser and the licensee negotiate on licensing and engage in Nash bargaining after they determine their product positions. We investigate how the bargaining power of the licenser affects the product positions of the firms. We find that the licenser more likely chooses the central position when its bargaining power is weak whereas the product position of the licenser accelerates price competition between the firms. We also discuss the welfare implication. We find that the inverse U shape relationship between the bargaining power of the licenser and total social surplus, i.e., neither too strong nor too weak bargaining power of the licensor is optimal. |
| Date: | 2010–05 |
| URL: | http://d.repec.org/n?u=RePEc:dpr:wpaper:0775&r=bec |
| By: | Fahlenbrach, Rudiger (Swiss Finance Institute, Ecole Polytechnique Federale de Lausanne); Low, Angie (Nanyang Technological University); Stulz, Rene M. (Ohio State University and ECGI) |
| Abstract: | Outside directors have incentives to resign to protect their reputation or to avoid an increase in their workload when they anticipate that the firm on whose board they sit will perform poorly or disclose adverse news. We call these incentives the dark side of outside directors. We find strong support for the existence of this dark side. Following surprise director departures, affected firms have worse stock and operating performance, are more likely to suffer from an extreme negative return event, are more likely to restate earnings, and have a higher likelihood of being named in a federal class action securities fraud lawsuit. |
| JEL: | G30 G34 |
| Date: | 2010–03 |
| URL: | http://d.repec.org/n?u=RePEc:ecl:ohidic:2010-7&r=bec |
| By: | George Alessandria; Joseph P. Kaboski; Virgiliu Midrigan |
| Abstract: | This paper examines the role of inventories in the decline of production, trade, and expenditures in the US in the economic crisis of late 2008 and 2009. Empirically, the authors show that international trade declined more drastically than trade-weighted production or absorption and there was a sizeable inventory adjustment. This is most clearly evident for autos, the industry with the largest drop in trade. However, relative to the magnitude of the US downturn, these movements in trade are quite typical. The authors develop a two-country general equilibrium model with endogenous inventory holdings in response to frictions in domestic and foreign transactions costs. With more severe frictions on international transactions, in a downturn, the calibrated model shows a larger decline in output and an even larger decline in international trade, relative to a more standard model without inventories. The magnitudes of production, trade, and inventory responses are quantitatively similar to those observed in the current and previous US recessions. |
| Keywords: | Inventories ; Global financial crisis ; International trade |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedpwp:10-18&r=bec |
| By: | Wenli Li; Michelle J. White; Ning Zhu |
| Abstract: | This paper argues that the U.S. bankruptcy reform of 2005 played an important role in the mortgage crisis and the current recession. When debtors file for bankruptcy, credit card debt and other types of debt are discharged - thus loosening debtors' budget constraints. Homeowners in financial distress can therefore use bankruptcy to avoid losing their homes, since filing allows them to shift funds from paying other debts to paying their mortgages. But a major reform of U.S. bankruptcy law in 2005 raised the cost of filing and reduced the amount of debt that is discharged. The authors argue that an unintended consequence of the reform was to cause mortgage default rates to rise. Using a large dataset of individual mortgages, they estimate a hazard model to test whether the 2005 bankruptcy reform caused mortgage default rates to rise. Their major result is that prime and subprime mortgage default rates rose by 14 percent and 16 percent, respectively, after bankruptcy reform. The authors also use difference-in-difference to examine the effects of three provisions of bankruptcy reform that particularly harmed homeowners with high incomes and/or high assets and find that the default rates of affected homeowners rose even more. Overall, they calculate that bankruptcy reform caused the number of mortgage defaults to increase by around 200,000 per year even before the start of the financial crisis, suggesting that the reform increased the severity of the crisis when it came. |
| Keywords: | Bankruptcy ; Law and legislation ; Foreclosure ; Default (Finance) ; Mortgage loans ; Global financial crisis |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedpwp:10-16&r=bec |
| By: | Philipp Ackermann |
| Abstract: | External price benchmarking imposes a price cap for pharmaceuticals based on prices of identical products in other countries. Suppose that a regulatory agency can either directly negotiate drug prices with pharmaceutical manufacturers or implement a benchmarking regime based on foreign prices. Using a model where two countries differ only in their market size, we show that a country prefers benchmarking if its agency has considerably less bargaining power compared to the agency in the other country. Assuming that bargaining power is positively correlated to country size, we find that only small countries might have an incentive to engage in external price benchmarking. This incentive shrinks if population size grows. |
| Keywords: | Pharmaceuticals; price negotiation; administered prices; external reference pricing |
| JEL: | L65 I18 |
| Date: | 2010–02 |
| URL: | http://d.repec.org/n?u=RePEc:ube:dpvwib:dp1004&r=bec |
| By: | Stephen Cecchetti; Ingo Fender; Kostas Patrick McGuire |
| Abstract: | Global risk maps are unified databases that provide risk exposure data to supervisors and the broader financial market community worldwide. We think of them as giant matrices that track the bilateral (firm-level) exposures of banks, non-bank financial institutions and other relevant market participants. While useful in principle, these giant matrices are unlikely to materialise outside the narrow and targeted efforts currently being pursued in the supervisory domain. This reflects the well known trade-offs between the macro and micro dimensions of data collection and dissemination. It is possible, however, to adapt existing statistical reporting frameworks in ways that would facilitate an analysis of exposures and build-ups of risk over time at the aggregate (sectoral) level. To do so would move us significantly in the direction of constructing the ideal global risk map. It would also help us sidestep the complex legal challenges surrounding the sharing or dissemination of firm-level data, and it would support a two-step approach to systemic risk monitoring. That is, the alarms sounded by the aggregate data would yield the critical pieces of information to inform targeted analysis of more detailed data at the firm- or market-level. |
| Keywords: | risk map, international banking, financial crises, yen carry trade, funding risk |
| Date: | 2010–05 |
| URL: | http://d.repec.org/n?u=RePEc:bis:biswps:309&r=bec |
| By: | Aaker, Jennifer (Stanford University); Vohs, Kathleen D. (University of Minnesota); Mogilner, Cassie (University of Pennsylvania) |
| Abstract: | Consumers use warmth and competence, two fundamental dimensions that govern social judgments of people, to form perceptions of firms. Three experiments showed that consumers perceive non-profits as being warmer than for-profits, but as less competent. Further, consumers are less willing to buy a product made by a non-profit than a for-profit because of their perceptions that the firm lacks competence. Consequently, when perceived competence of a non-profit is boosted through subtle cues that connote credibility, discrepancies in willingness to buy disappear. In fact, when consumers perceive high levels of competence and warmth, they feel admiration for the firm--which translates to consumers' increased desire to buy. This work highlights the importance of consumer stereotypes about non-profit and for-profit companies that, at baseline, come with opposing advantages and disadvantages but that can be altered. |
| Date: | 2010–01 |
| URL: | http://d.repec.org/n?u=RePEc:ecl:stabus:2047&r=bec |
| By: | Junichiro Ishida; Toshihiro Matsumura; Noriaki Matsushima |
| Abstract: | We investigate a Cournot model with strategic R&D investments wherein efficient low-cost firms compete against less efficient high-cost firms. We find that an increase in the number of high-cost firms can stimulate R&D by the low-cost firms, while it always reduces R&D by the high-cost firms. More importantly, this force can be strong enough to compensate for the loss that arises from more intense market competition: the low-cost firms' profits may indeed increase with the number of high-cost firms. An implication of this result is far-reaching, as it gives low-cost firms an incentive to help, rather than harm, high-cost competitors. We relate this implication to a practice known as open knowledge disclosure, especially Ford's strategy of disclosing its know-how publicly and extensively at the beginning of the 20th century. |
| Date: | 2010–05 |
| URL: | http://d.repec.org/n?u=RePEc:dpr:wpaper:0777&r=bec |
| By: | Pesaran, M.H. |
| Abstract: | Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated during the recent financial crisis. We shall examine the nature of asset return correlations using weekly returns on futures markets and investi- gate the extent to which multivariate volatility models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model passes the usual diagnostic tests based on probability integral transforms, but fails the value at risk (VaR) based diagnostics when applied to the post 2007 period that includes the recent financial crisis. |
| Keywords: | Volatilities and Correlations, Weekly Returns, Multivariate t, Financial Interdependence, VaR diagnostics, 2008 Stock Market Crash |
| JEL: | C51 C52 G11 |
| Date: | 2010–05–29 |
| URL: | http://d.repec.org/n?u=RePEc:cam:camdae:1025&r=bec |
| By: | Christopher Henderson; Julapa Jagtiani |
| Abstract: | The recent mortgage crisis has resulted in several bank failures as the number of mortgage defaults increased. The current Basel I capital framework does not require banks to hold sufficient amounts of capital to support their mortgage lending activities. The new Basel II capital rules are intended to correct this problem. However, Basel II models could become too complex and too costly to implement, often resulting in a trade-off between complexity and model accuracy. In addition, the variation of the model, particularly how mortgage portfolios are segmented, could have a significant impact on the default and loss estimated and, thus, could affect the amount of capital that banks are required to hold. This paper finds that the calculated Basel II capital varies considerably across the default prediction model and segmentation schemes, thus providing banks with an incentive to choose an approach that results in the least required capital for them. The authors also find that a more granular segmentation model produces smaller required capital, regardless of the economic environment. In addition, while borrowers' credit risk factors are consistently superior, economic factors have also played a role in mortgage default during the financial crisis. |
| Keywords: | Capital ; Banks and banking ; Basel capital accord |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedpwp:10-17&r=bec |