The comovement across US states in terms of loan and delinquency during financial crisis
| Autor: | Yang, Ching-Hsin, 楊景昕 |
|---|---|
| Rok vydání: | 2016 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 104 Although previous research shows that strong growth in credit is one of the most important drivers of financial crises, it still remains unclear what common factors affect the fluctuation of rate of credit and delinquency. Based on the model of Kose (2003), we observe the common factor of these fluctuations and the results identify that the country factor is an important source of volatility for mortgage credit. On the contrary the country factor plays only a minor role in explaining fluctuations in mortgage default. Besides, this paper investigates the comovement of debt and delinquency rate among the states in the 2008 financial crisis, and we find that many states have different dynamic of debt and delinquency in terms of timings and magnitudes. We conclude that when the government implements the quantitative easing, each state may have the different response to the market shock. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
| Externí odkaz: |
|