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作者：Fishback, Price V.; Flores-Lagunes, Alfonso; Horrace, William C.; Kantor, Shawn; Treber, Jaret
作者单位：University of Arizona; National Bureau of Economic Research; State University System of Florida; University of Florida; Syracuse University; University of California System; University of California Merced; University System of Ohio; Kenyon College
摘要：Problems with mortgage financing are widely considered to be a major cause of the recent financial meltdown. Several modern programs have been designed to mimic the Home Owners' Loan Corporation (HOLC) of the 1930s. We analyze the impact of the HOLC on the nonfarm rental and owned home markets for over 2,800 counties in the United States in the 1930s. In sparsely populated counties, where financial markets were not as well developed as in larger cities, the HOLC stimulated demand for owned hou...
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作者：Acharya, Viral V.; Shin, Hyun Song; Yorulmazer, Tanju
作者单位：New York University; Princeton University; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：What is the effect of financial crises and their resolution on banks' choice of liquidity? When banks have relative expertise in employing risky assets, the market for these assets clears only at fire-sale prices following a large number of bank failures. The gains from acquiring assets at fire-sale prices make it attractive for banks to hold liquid assets. The resulting choice of bank liquidity is countercyclical, inefficiently low during economic booms but excessively high during crises. We ...
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作者：Maddaloni, Angela; Peydro, Jose-Luis
作者单位：European Central Bank
摘要：Using a unique dataset of the Euro-area and the U.S. bank lending standards, we find that low (monetary policy) short-term interest rates soften standards for household and corporate loans. This softening-especially for mortgages-is amplified by securitization activity, weak supervision for bank capital, and low monetary policy rates for an extended period. Conversely, low long-term interest rates do not soften lending standards. Finally, countries with softer lending standards before the cris...
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作者：Demyanyk, Yuliya; Van Hemert, Otto
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Cleveland; New York University
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 growt...
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作者：Santos, Joao A. C.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：The massive losses that banks incurred with the meltdown of the subprime mortgage market have raised concerns about their ability to continue lending to corporations. We investigate these concerns. We find that firms paid higher loan spreads during the subprime crisis. Importantly, the increase in loan spreads was higher for firms that borrowed from banks that incurred larger losses. These results hold after we control for firm-, bank-, and loan-specific factors, and account for endogeneity of...
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作者：Purnanandam, Amiyatosh
作者单位：University of Michigan System; University of Michigan
摘要：An originate-to-distribute (OTD) model of lending, where the originator of a loan sells it to various third parties, was a popular method of mortgage lending before the onset of the subprime mortgage crisis. We show that banks with high involvement in the OTD market during the pre-crisis period originated excessively poor-quality mortgages. This result is not explained away by differences in observable borrower quality, geographical location of the property, or the cost of capital of high- and...
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作者：Brunetti, Celso; di Filippo, Mario; Harris, Jeffrey H.
作者单位：Johns Hopkins University; Catholic University of the Sacred Heart; University of Delaware
摘要：We explore whether central bank intervention improves liquidity in the interbank market during the current subprime crisis with unique trade and quote data from the e-MID, the only regulated electronic interbank market in the world. Central bank intervention consistently creates greater uncertainty in the interbank market. Prior to the crisis, the cover-to-bid ratio effectively conveys good and bad news from the central bank, but this link is broken during the crisis, suggesting that standard ...
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作者：Garleanu, Nicolae; Pedersen, Lasse Heje
作者单位：National Bureau of Economic Research; University of California System; University of California Berkeley; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; New York University
摘要：In a model with heterogeneous-risk-aversion agents facing margin constraints, we show how securities' required returns increase in both their betas and their margin requirements. Negative shocks to fundamentals make margin constraints bind, lowering risk-free rates and raising Sharpe ratios of risky securities, especially for high-margin securities. Such a funding-liquidity crisis gives rise to bases, that is, price gaps between securities with identical cash-flows but different margins. In th...
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作者：Tong, Hui; Wei, Shang-Jin
作者单位：International Monetary Fund; Columbia University; National Bureau of Economic Research
摘要：This article studies whether the volume and composition of capital flows affect the degree of credit crunch during the 2007-2009 crisis. Using data on 3,823 firms in 24 emerging countries, we find that, on average, the decline in stock prices was more severe for firms that are intrinsically more dependent on external finance for working capital. Interestingly, while the volume of capital flows per se has no significant effect, the composition matters a lot. In particular, greater dependence on...
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作者：Ghent, Andra C.
作者单位：City University of New York (CUNY) System; Baruch College (CUNY)
摘要：We use loan-level data from the New York City metropolitan area to examine the extent to which lenders attempted to prevent foreclosures with concessionary modifications during the Great Depression. We find no principal forgiveness in the sample and only a handful of concessionary mortgage modifications of other types. Far more mortgages terminated through foreclosure than received any sort of concessionary modification. The results indicate that there are significant impediments to renegotiat...
