The Mortgage Rate Conundrum

• 成果类型: Article
• 署名作者: Justiniano, Alejandro; Primiceri, Giorgio E.; Tambalotti, Andrea
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Chicago; Northwestern University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/717043
• 发表日期: 2022
• 页码: 121-156
• 关键词: Boom

摘要

We study the interest rates of privately securitized residential mortgages during the credit boom of the early 2000s. They reveal a sharp and persistent drop in the spread between mortgage and Treasury rates starting in the summer of 2003. The emergence of this mortgage rate conundrum immediately followed the collapse of an unprecedented refinancing wave, and it was more pronounced in the regions where that wave had grown faster. These same areas also experienced more originations of the nonconforming mortgages that boosted private label securitization after 2003. Mortgages originated after this shift are the first to show signs of deteriorating quality.