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- W2182556162 abstract "We view mortgage as a risky derivative of its underlying house collateral and combine no-arbitrage valuation with equilibrium valuation approaches to develop a dynamic model of leverage cycle and interest rate. This model provides a unified explanation to pro-cyclical optimism, asset prices and leverage, and counter-cyclical volatility and interest rate. In addition, the model shows that tightening funding margin in the mortgage securities market dampens optimism, asset prices and leverage, whereas it raises volatility and interest rate in the housing market. Such double leverage cycle leads to more volatile markets and severe leverage cycle, thus resulting in worse financial crises." @default.
- W2182556162 created "2016-06-24" @default.
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- W2182556162 date "2013-01-01" @default.
- W2182556162 modified "2023-09-24" @default.
- W2182556162 title "Why Does Bad News Increase Volatility and Interest Rate, and Decrease Optimism, Asset Prices and Leverage?" @default.
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