Papers by Yuliya Demyanyk
Macroeconomic Asymmetry in the European Union: The Difference Between New and Old Members
Cepr Discussion Papers, 2005
We study the degree of output and consumption asymmetry for the ten new and fifteen original Euro... more We study the degree of output and consumption asymmetry for the ten new and fifteen original European Union members during the period 1994–2001. We establish basic stylized facts about macroeconomic asymmetry from correlations of GDP and consumption growth rates with corresponding aggregates. In addition, we determine which countries would potentially gain the most from international risk sharing within the European
We study the degree of output asymmetry for ten EU acceding countries and fifteen current members... more We study the degree of output asymmetry for ten EU acceding countries and fifteen current members. The asymmetry is measured by correlations and by the utility-based measure suggested by Kalemli-Ozcan, Sørensen and Yosha (2001), both calculated for per capita GDP growth rates. The latter measure allows determining which of the entering countries would potentially gain the most from joining the European Union and what are the unexploited gains from the international risk sharing for the members of a larger 25-country Union. Our findings show much higher potential gains for the acceding countries compared to those for existing EU members. Economies with the most volatile and counter-cyclical output growth-the three Baltic states, Czech Republic, and Slovak Republic-might benefit the most. If existing EU-15 member-states move towards full risk sharing conditions, their potential welfare gains after enlargement would virtually be the same as without it.
We study a unique data set of borrower-level credit information from TransUnion, one of the three... more We study a unique data set of borrower-level credit information from TransUnion, one of the three major credit bureaus, which is linked to a database containing detailed information on the borrowers' mortgages. We find that the updated credit score is an important predictor of mortgage default in addition to the credit score at origination. However, the 6-month change in the credit score also predicts default: A positive change in the credit score significantly reduces the probability of delinquency or foreclosure. Next, we analyze the consequences of default on a borrower's credit score. The credit score drops on average 51 points when a borrower becomes 30-days delinquent on his mortgage, but the effect is much more muted for transitions to more severe delinquency states and even for foreclosure.
Omega Int J Manage Sci, Oct 31, 2010
In this article we provide a summary of empirical results obtained in several economics and opera... more In this article we provide a summary of empirical results obtained in several economics and operations research papers that attempt to explain, predict, or suggest remedies for financial crises or banking defaults, as well as outlines of the methodologies used. We analyze financial and economic circumstances associated with the US subprime mortgage crisis and the global financial turmoil that has led to severe crises in many countries. The intent of the article is to promote future empirical research that might help to prevent bank failures and financial crises.
We estimate potential welfare gains from financial integration and corresponding better insurance... more We estimate potential welfare gains from financial integration and corresponding better insurance against country-specific shocks to output (risk sharing) for the twenty-five European Union countries. Using theoretical utility-based measures we express the gains from risk sharing as the utility equivalent of a permanent increase in consumption. We report positive potential welfare gains for all the EU countries if they move toward full risk sharing. Ten country-members who joined the Union in 2004 have more volatile or counter-cyclical consumption and output and would obtain much higher potential gains than the longer-standing fifteen members. JEL Classification: F15, F36, E32
The Rise and Fall of Consumption in the 2000s
SSRN Electronic Journal, 2000
We study the degree of output asymmetry for ten EU acceding countries and fifteen current members... more We study the degree of output asymmetry for ten EU acceding countries and fifteen current members. The asymmetry is measured by correlations and by the utility-based measure suggested by Kalemli-Ozcan, Sørensen and Yosha (2001), both calculated for per capita GDP growth rates. The latter measure allows determining which of the en-tering countries would potentially gain the most from joining the European Union and what are the unexploited gains from the international risk sharing for the members of a larger 25-country Union. Our findings show much higher potential gains for the acceding countries compared to those for existing EU members. Economies with the most volatile and counter-cyclical output growth—the three Baltic states, Czech Republic, and Slovak Republic—might benefit the most. If existing EU-15 member-states move towards full risk sharing conditions, their potential welfare gains after enlargement would virtually be the same as without it.. We thank Bent Sørensen for comm...
The Rise and Fall of Consumption in the '00s
We estimate the effects of deregulation of U.S. banking restrictions on the amount of interstate ... more We estimate the effects of deregulation of U.S. banking restrictions on the amount of interstate personal income insurance during the period 1970–2001. Interstate income insurance occurs when personal income reacts less than one-to-one to state-specific shocks to output. We find that income insurance improved after banking deregulation, and that this effect is larger in states where small businesses are more
A Gap in Regulation and the Looser Lending Standards that Followed
Bank Exposure to Commercial Real Estate
Uneven Debt Burdens across the United States
Keeping the house or moving for a job
Economic Commentary, 2013
DP9474 Moving to a Job: The Role of Home Equity, Debt, and Access to Credit
Moving to a Job: The Role of Home Equity, Debt, and Access to Credit
SSRN Electronic Journal, 2000
ABSTRACT Using credit report data from two of the three major credit bureaus in the United States... more ABSTRACT Using credit report data from two of the three major credit bureaus in the United States, we infer with high certainty whether households move to other labor markets defined by metropolitan areas. We estimate how moving patterns relate to labor market conditions, personal credit, and homeownership using panel regressions with fixed effects which control for all constant individual-specific traits. We interpret the patterns through simulations of a dynamic model of consumption, housing, and location choice. We find that homeowners with negative home equity move more than other homeowners, in particular when local unemployment growth is high – overall, negative home equity is not an important barrier to labor mobility.
SSRN Electronic Journal, 2000
We study a unique data set of borrower-level credit information from TransUnion, one of the three... more We study a unique data set of borrower-level credit information from TransUnion, one of the three major credit bureaus, which is linked to a database containing detailed information on the borrowers' mortgages. We find that the updated credit score is an important predictor of mortgage default in addition to the credit score at origination. However, the 6-month change in the credit score also predicts default: A positive change in the credit score significantly reduces the probability of delinquency or foreclosure. Next, we analyze the consequences of default on a borrower's credit score. The credit score drops on average 51 points when a borrower becomes 30-days delinquent on his mortgage, but the effect is much more muted for transitions to more severe delinquency states and even for foreclosure.
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Papers by Yuliya Demyanyk