Understanding the Subprime Mortgage Crisis

• 成果类型: Article
• 署名作者: Demyanyk, Yuliya; Van Hemert, Otto
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Cleveland; New York University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhp033
• 发表日期: 2011
• 页码: 1848
• 关键词: heterogeneity; TERMINATIONS; banking; equity; models; sale

摘要

Using loan-level data, we analyze the quality of subprime mortgage loans by adjusting their performance for differences in borrower characteristics, loan characteristics, and macroeconomic conditions. We find that the quality of loans deteriorated for six consecutive years before the crisis and that securitizers were, to some extent, aware of it. We provide evidence that the rise and fall of the subprime mortgage market follows a classic lending boom-bust scenario, in which unsustainable growth leads to the collapse of the market. Problems could have been detected long before the crisis, but they were masked by high house price appreciation between 2003 and 2005.