The data consist of Auto AAA-rated ABS tranches issued from 2007 to 2012, for 9 different issuers in the automotive sector. The main source is the U.S. Securities and Exchange Commission’s EDGAR database available at https://www.sec.gov/edgar/searchedgar/companysearch.html. The Commission’s website states that “All companies, foreign and domestic, are required to file registration statements, periodic reports, and other forms electronically through EDGAR. Anyone can access and download this information for free.”

The 9 companies covered are: BMW, Carmax, Ford Harley, Honda, Hyundai, Nissan Lease, Nissan Owner, World Omni. All data come from their respective Prospectuses in EDGAR. The only exception is Honda where the amounts of each tranche were available in EDGAR, but the monthly net losses were gathered directly from Honda’s ABS portal at http://abs.honda.com/.

All sources have been downloaded and backed up and are available upon request.

Each company has a different number of ABS tranches per year and in total. Tranches are numbered as: yyyy-#, where yyyy stands for the year of issue and # could be a number or a capital letter (depending on the company) and stands for the chronological order of the tranche. For instance, 2012-1 is the first tranche of year 2012, and 2007-B is the second tranche of year 2007.

Each tranche is further separated in different classes of notes: A1, A2a, A2b, A3a, A3b, A4a, A4b, B, C, D. The small case letters in the notes classes A2-A4 indicate whether the interest rate is fixed beforehand or is set to float according to the current LIBOR rate. Small case “a” stands for fixed and “b” – for floating. All other classes have fixed interest rates by default. Whenever the official Prospectuses did not separate notes into “a” and “b” for classes A2-A4 we allocated the entire class to either of these, depending on whether the interest rate was fixed or floating. Thus, if the Prospectus reported only notes class A2, but the interest rate was floating, we wrote 0 to class A2a and allocated the full amount to class A2b.

In this chapter we offer novel answers to three related questions:

• What are the potential benefits of developing a European unemployment insurance system (EUIS)?
• Could all the European countries involved benefit from a common, simple change to their current unemployment insurance systems?
• Could unanimous agreement for this change be achieved without needing permanent transfers across countries?

To properly address these questions, we first develop a dynamic equilibrium model with job search frictions, which provides a new characterisation of how different euro area labour markets are and therefore calls into question whether such an agreement can ever be reached. Nevertheless, our answer to the final question is: yes, it can be done!  By Árpád Ábrahám, João Brogueira de Sousa, Ramon Marimon and Lukas Mayr, European University Institute Continue reading →