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CMBS Subordination, Ratings Inflation, and the Crisis of 2007-2009

Stanton, Richard - 2010

This paper analyzes the performance of the commercial mortgage-backed security (CMBS) market before and during the … mortgage market) the loans underlying CMBS did not significantly change their characteristics during this period, commercial … and 1980s and, overall, the CMBS and CMBX markets performed as normal during the financial crisis (at least by the …

Persistent link: https://www.econbiz.de/10012462449

Credit Frictions in the Great Recession

Kehoe, Patrick J. - 2020

Although a credit tightening is commonly recognized as a key determinant of the Great Recession, to date, it is unclear whether a worsening of credit conditions faced by households or by firms was most responsible for the downturn. Some studies have suggested that the household-side credit...

Persistent link: https://www.econbiz.de/10012482420

Breaking the Spell with Credit-Easing : Self-Confirming Credit Crises in Competitive Search Economies

Gaballo, Gaetano - 2016

We show that credit crises can be Self-Confirming Equilibria (SCE), which provides a new rationale for policy interventions like, for example, the FRB's TALF credit-easing program in 2009. We introduce SCE in competitive credit markets with directed search. These markets are efficient when...

Persistent link: https://www.econbiz.de/10012456667

The Subprime Panic

Gorton, Gary B. - 2008

Understanding the ongoing credit crisis or panic requires understanding the designs of a number of interlinked securities, special purpose vehicles, and derivatives, all related to subprime mortgages. I describe the relevant securities, derivatives, and vehicles to show: (1) how the chain of...

Persistent link: https://www.econbiz.de/10012464249

Did Capital Requirements and Fair Value Accounting Spark Fire Sales in Distressed Mortgage-Backed Securities?

Merrill, Craig B. - 2012

Much attention has been paid to the large decreases in value of non-agency residential mortgage-backed securities (RMBS …

Persistent link: https://www.econbiz.de/10012460390

The Real Effects of Liquidity During the Financial Crisis : Evidence from Automobiles

Benmelech, Efraim - 2016

Illiquidity in short-term credit markets during the financial crisis might have severely curtailed the supply of non-bank consumer credit. Using a new data set linking every car sold in the United States to the credit supplier involved in each transaction, we find that the collapse of the...

Persistent link: https://www.econbiz.de/10012456527

Idiosyncrasy as a Leading Indicator

Morck, Randall; Yeung, Bernard; Zhang, Lu Y. - National Bureau of Economic Research - 2022

Disequilibrating macro shocks affect different firms' prospects differently, increasing idiosyncratic variation in forward-looking stock returns before affecting economic growth. Consistent with most such shocks from 1947 to 2020 enhancing productivity, increased idiosyncratic stock return...

Persistent link: https://www.econbiz.de/10013210099

Housing, Credit Markets and the Business Cycle

Feldstein, Martin S. - 2007

house prices and the related fall in home building; (2) a subprime mortgage problem that has triggered a substantial … mortgage refinancing that could cause greater declines in consumer spending. Each of these could by itself be powerful enough …

Persistent link: https://www.econbiz.de/10012465177

The Mortgage Rate Conundrum

Justiniano, Alejandro - 2017

We document the emergence of a disconnect between mortgage and Treasury interest rates in the summer of 2003. Following … the end of the Federal Reserve expansionary cycle in June 2003, mortgage rates failed to rise according to their … historical relationship with Treasury yields, leading to significantly and persistently easier mortgage credit conditions. We …

Persistent link: https://www.econbiz.de/10012453927

Information, Liquidity, and the (Ongoing) Panic of 2007

Gorton, Gary B. - 2009

.HE indices of subprime mortgage-backed securities are derivatives linked to the underlying subprime bonds. Introduced in 2006 …, the indices aggregated and revealed information about the value of the subprime mortgage-backed securities and allowed …

Persistent link: https://www.econbiz.de/10012464000