Endogenous collateral: arbitrage and equilibrium without bounded short sales

We study the implications of the absence of arbitrage in an two period economy where default is allowed and assets are secured by collateral choosen by the borrowers. We show that non arbitrage sale prices of assets are submartingales, whereas non arbitrage purchase prices of the derivatives (secured by the pool of collaterals) are supermartingales. We use these non arbitrage conditions to establish existence of equilibrium, without imposing bounds on short sales. The nonconvexity of the budget set is overcome by considering a continuum of agents. Our results are particularly relevant for the collateralized mortgage obligations(CMO) markets.

Hope, risk perception and propensity to indebtedness

Hope is an important construct in marketing, once it is an antecedent of important marketing variables, such as trust, expectation and satisfaction (MacInnis & de Mello, 2005, Almeida, Mazzon & Botelho, 2007). Specifically, the literature suggests that hope can play an important influence on risk perception (Almeida, 2010, Almeida et al., 2007, Fleming, 2008, MacInnis & de Mello, 2005) and propensity to indebtedness (Fleming, 2008). Thus, this thesis aims to investigate the relations among hope, risk perception related to purchasing and consumption and propensity to indebtedness, by reviewing the existing literature and conducting two empirical researches. The first of them is a laboratory experiment, which accessed hope and risk perception of getting a mortgage loan. The second is a survey, investigating university students’ propensity to get indebted to pay for their university tuition, analyzed through the method of Structural Equations Modeling (SEM). These studies found that hope seems to play an important role on propensity to indebtedness, as higher levels of hope predicted an increase in the propensity to accept the mortgage loan, independent of actual risks, and an increase in the propensity of college students to get indebted to pay for their studies. In addition, the first study suggests that hope may lead to a decrease in risk perception, which, however, has not been confirmed by the second study. Finally, this research offers some methodological contributions, due to the fact that it is the first study using an experimental method to study hope in Brazil and, worldwide, it is the first study investigating the relation among hope, risk perception and propensity to indebtedness, which proved to be important influences in consumer behavior

Fatores determinantes do preço de imóveis

Este estudo tem como objetivo determinar os principais fatores macroeconômicos que influenciam a formação do preço de imóveis, tomando como base o mercado imobiliário residencial da cidade de São Paulo entre os anos de 2001 e 2012. Para capturar o efeito endógeno do PIB, da taxa de juros e da bolsa de valores sobre o preço de imóveis, optou-se por um modelo VAR. Concluiu-se que, dentre as variáveis, o PIB foi o fator mais preponderante na formação do preço, chegando a ter um impacto quase três vezes superior à taxa de juros. Não foram encontradas evidências estatísticas significativas do efeito da bolsa sobre o preço dos imóveis. Constatou-se ainda que choques no PIB e na taxa de juros demoram, no mínimo, um ano para começarem a refletir sobre o preço. Essas conclusões foram mais robustas no período anterior à crise imobiliária americana de 2008.

Deregulation and The 2007-2008 Housing/Debt Crisis Analysis of the Housing/Debt Crisis of 2007-2008 and its impact on the Financial Strength and Vulnerability of the United States and Global Economy

One looming question has persisted in the minds of economists the world over in the aftermath of the 2007-2008 American Housing and Debt Crisis: How did it begin and who is responsible for making this happen? Another two-part question is: What measures were implemented to help end the crisis and what changes are being implemented to ensure that it will never happen again? Many speculate that the major contributing factor was the repeal of the Glass-Steagall Act in 1999 that prompted a virtual feeding frenzy among the banking community when new calls from Capitol Hill encouraged home ownership in America as well as the secondary mortgage market which skyrocketed thereafter. The Glass-Steagall Act will be among many of the topics explored in this paper along with the events leading up to the 2007-2008 housing/debt crisis as well as the aftermath.