Did Dubious Mortgage Origination Practices Distort House Prices?

• 成果类型: Article
• 署名作者: Griffin, John M.; Maturana, Gonzalo
• 署名单位: University of Texas System; University of Texas Austin; Emory University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw013
• 发表日期: 2016
• 页码: 1671
• 关键词: Securitization

摘要

ZIP codes with high concentrations of originators who misreported mortgage information experienced a 75% larger relative increase in house prices from 2003 to 2006 and a 90% larger relative decrease from 2007 to 2012 compared with other ZIP codes. Several causality tests show that high fractions of dubious originators in a ZIP code lead to large price distortions. Originators with high misreporting gave credit to borrowers with high ex ante risk, yet further understated the borrowers' true risk. Overall, excess credit facilitated through dubious origination practices explain much of the regional variation in house prices over a decade. (JEL G21, G23, R30, R31)