Browsing by Author "Pawlina, Grzegorz"
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- Determinants of outstanding mortgage loan to value ratios: evidence from the netherlandsPublication . Cunha, Ricardo; Lambrecht, Bart M.; Pawlina, GrzegorzThis paper studies the determinants and behavior of outstanding mortgage loan to value (LTV) ratios for a panel data set of 5,179 households over the period 1992-2005. We find that outstanding LTVs are driven by household characteristics, life-cycle effects and mortgage type characteristics. LTV declines with the time elapsed since mortgage commencement, but its level is consistently higher (by around 10%) for non-repayment mortgages (such as interest-only or endowment mortgages) than for repayment mortgages (such as linear or annuity mortgages). The difference results from higher debt capacity associated with the possibility of deferring the principal repayment for non-repayment mortgages. Our results indicate that the recent proliferation of non-repayment mortgages is driven by tightening financing constraints due to declining affordability in the housing market and that the overall quality of outstanding mortgages has substantially deteriorated over the last decade.
- Determinants of outstanding mortgage loan to value ratios: Evidence from the NetherlandsPublication . Cunha, Ricardo; Lambrecht, Bart M.; Pawlina, Grzegorz
- Effectiveness of monitoring, managerial entrenchment, and corporate cash holdingsPublication . Couzoff, Panagiotis; Banerjee, Shantanu; Pawlina, GrzegorzWe develop a dynamic model of a firm in which cash management is partially delegated to a self-interested manager. Shareholders trade off the cost of dismissing the manager with the cost of managerial discretion over the use of liquid funds. An improvement in corporate governance quality may have a positive or a negative effect on levels and values of cash balances, depending on the source of the improvement. While a reduction of managerial entrenchment results in lower cash balances and mostly higher marginal cash values, we demonstrate that the opposite is true when the monitoring of managerial actions becomes more effective. A managerial asset substitution problem produces a novel hump-shaped relation between the firm's liquidity levels and the collective propensity of shareholders and managers to reduce cash flow risk. We also discuss the firm's risk management strategies as well as derive implications of the presence of an investment opportunity, debt financing, and shareholder activism.
- Household liquidity and incremental financing decisions: Theory and evidencePublication . Cunha, Ricardo; Lambrecht, Bart M.; Pawlina, GrzegorzIn this paper we develop a stochastic model for household liquidity. In the model, the optimal liquidity policy takes the form of a liquidity range. Subsequently, we use the model to calibrate the upper bound of the predicted liquidity range. Equipped with knowledge about the relevant control barriers, we run a series of empirical tests on a panel data set of Dutch households covering the period 1992-2007. The results broadly validate our theoretical predictions that households (i) exhaust most of their short-term liquid assets prior to increasing net debt, and (ii) reduce outstanding net debt at the optimally selected upper liquidity barrier. However, a small minority of households appear to act sub-optimally. Poor and vulnerable households rely too frequently on expensive forms of credit (such as overdrafts) hereby incurring substantial amounts of fees and fixed borrowing costs. Elderly households and people on social benefits tend to accumulate too much liquidity. Finally, some households take on expensive short-term credit while having substantial amounts of low-yielding liquid assets.