Securitization and the Fixed-Rate Mortgage

• 成果类型: Article
• 署名作者: Fuster, Andreas; Vickery, James
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu060
• 发表日期: 2015
• 页码: 176
• 关键词: BACKED SECURITIES; RISK-MANAGEMENT; PREPAYMENT; valuation; finance; MARKET; POLICY; INVESTMENT; default; DESIGN

摘要

Fixed-rate mortgages (FRMs) dominate the U.S. mortgage market, with important consequences for monetary policy, household risk management, and financial stability. We show that the FRM market share is sharply lower when mortgages are difficult to securitize, exploiting plausibly exogenous variation in access to liquid securitization markets generated by a regulatory cutoff and time variation in private securitization activity. We interpret our findings as evidence that lenders are reluctant to retain the prepayment and interest rate risk embedded in FRMs. The form of securitization (private versus government backed) has little effect on FRM supply during periods in which private securitization markets are well functioning.