12/18/2003
Attachments:
Working Paper 03-4
How To Share Prices and Debt Yield Spreads Respond to New Information?
Author:
Robert S. Seiler, Manager of Policy Research
06/07/2007
Attachments:
Working Paper 07-2
Author:
Andrew Leventis, Senior Economist
The repeat-transactions model that is used in the construction of OFHEO’s house price index (HPI) does not perfectly control for changes in the average condition of the housing stock. If the value of home improvements is not exactly offset by the effects of home depreciation, the HPI could reflect more or less appreciation than would be reported in a true “constant quality” index. This paper attempts to measure the annual amount of “quality drift” embedded within the index.
01/15/2004
Attachments:
Working Paper 04-2
Author:
Michelle A. Danis, Financial Economist
This paper develops a joint model of exchange entry and the bid-ask spread in equity option markets. To our knowledge, no other study of spreads in financial markets has incorporated the exchange decision about whether or not to list a security. This allows us to control for the potential endogeneity of the exchanges in a manner consistent with a game theoretic model of entry.
06/29/2007
Attachments:
Working Paper 07-4
Author:
Robert N. Collender, Senior Policy Analyst
Samantha Roberts, Senior Financial Economist
Valerie L. Smith, Senior Policy Analyst
09/26/2007
Attachments:
Working Paper 07-5
Author:
Austin Kelly, Associate Director for Housing Finance Research
Previous research has focused on equity as a prime determinant of mortgage default propensities. This paper extends the analysis of mortgage default to include mortgages that require no down payment from the purchaser.
07/17/2008
Attachments:
Working Paper 08-2
Author:
Robert N. Collender, Senior Policy Analyst
The current paper explores the potential role of the rapidly expanding Credit Default Swaps (CDS) market as a potential source of information and discipline to enhance Enterprise safety and soundness.