Mortgage Loan Flow Networks and Financial Norms

• 成果类型: Article
• 署名作者: Stanton, Richard; Walden, Johan; Wallace, Nancy
• 署名单位: University of California System; University of California Berkeley
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx097
• 发表日期: 2018
• 页码: 3595
• 关键词: social-structure; Systemic risk; CRISIS

摘要

We develop a theoretical model of a network of intermediaries whose optimal behavior is jointly determined, leading to heterogeneous financial norms and systemic vulnerabilities. We apply the model to the network of U.S. mortgage intermediaries from 2005 to 2007, using a data set containing all private-label, fixed-rate mortgages, with loan flows defining links. Default risk was closely related to network position, evolving predictably among linked nodes, and loan quality estimated from the model was related to independent quality measures, altogether pointing to the vital importance of network effects in this market.