Wachter, Susan M

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2006 - 200912010 - 20161
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  • Publication
    Underpriced Default Spread Exacerbates Market Crashes
    (2006-10-09) Koh, Winston T.H; Pavlov, Andrey; Mariano, Roberto S; Phang, Sock Y; Wachter, Susan M; Tan, Augustine H.H
    In this paper, we develop a specific observable symptom of a banking system that underprices the default spread in non-recourse asset-backed lending. Using three different data sets for 18 countries and property types, we find that, following a negative demand shock, the “underpricing” economies experience far deeper asset market crashes than economies in which the put option is correctly priced. Furthermore, only one of the countries in our sample continues to exhibit the underpricing symptom following a market crash. This indicates that market crashes have a cleansing effect and eliminate underpricing at least for a period of time. This makes investing in such markets safer following a negative demand shock.
  • Publication
    Borrowing Constraints and Homeownership
    (2016-05-01) Acolin, Arthur; Bricker, Jesse; Calem, Paul S; Wachter, Susan M
    This paper identifies the impact of borrowing constraints on homeownership in the U.S. in the aftermath of the 2008 financial crisis. While homeownership declines and tightened credit are evident, the role the tightening of credit has had on the probability of individual households to become homeowners has not been previously identified. The homeownership rate in 2010-2013 is estimated to be 2.3 percentage points lower than if the constraints were set at the 2001 level.