Year: 2012
Type: dissertation
Abstract: Chapter 1 explores the impact of banks' exposure to market liquidity risk through wholesale funding on their supply of credit during the global financial crisis of 2007-2008.The methodology minimizes the impact of confounding demand factors, by focusing on supply of mortgage lending.By using disaggregated data on mortgage applications, the time variations in banks' decisions to grant mortgage loans is examined, while controlling for bank, borrower, and regional characteristics.The empirical results strongly support the hypothesis that banks which were more reliant on wholesale funding decreased their lending significantly more than retail-funded banks during the crisis.This result holds at the national level as well at the sub-national level in most of the largest Metropolitan Statistical Areas.To further control for applicant characteristics across banks, four million data points are reduced to thousands of pairs of virtually indistinguishable applications and the initial results are still conserved.While the willingness to supply loans was affected by banks' liability structure during the crisis, we find that the demand for mortgages decreased evenly along funding strategy dimension.Chapter 2 compares the accuracy of the two existing methods for solving stochastic general equilibrium models with dynamic portfolio choice and incomplete markets.The accuracy of these solution methods for the real as well as portfolio variables iii
Author: Kazim Kazimov
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W378218143