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This paper develops and estimates an instrumental variables strategy for identifying the causal effect of securitization on the incidence of mortgage modification and foreclosure based on the early payment default analysis performed by Piskorsi et al. (J Financ Econ 97:360–397, <CitationRef CitationID="CR12">2010</CitationRef>)....</citationref>
Persistent link: https://www.econbiz.de/10010989330
In this note we discuss the findings in Piskorski, Seru, and Vig (2010) as well as the authors' interpretation of their results. First, we find that small changes to the set of covariates used by Piskorski, Seru, and Vig significantly reduce the magnitude of the differences in foreclosure rates...
Persistent link: https://www.econbiz.de/10008489247
A leading explanation for the lack of widespread mortgage renegotiation is the existence of frictions in the mortgage securitization process. This paper finds similarly small renegotiation rates for securitized loans and loans held on banks' balance sheets that become seriously delinquent, in...
Persistent link: https://www.econbiz.de/10010868938
We document the fact that servicers have been reluctant to renegotiate mortgages since the foreclosure crisis started in 2007, having performed payment reducing modifications on only about 3 percent of seriously delinquent loans. We show that this reluctance does not result from securization:...
Persistent link: https://www.econbiz.de/10005079162
We document the fact that servicers have been reluctant to renegotiate mortgages since the foreclosure crisis started in 2007, having performed payment-reducing modifications on only about 3 percent of seriously delinquent loans. We show that this reluctance does not result from securitization:...
Persistent link: https://www.econbiz.de/10005064031
We document the fact that servicers have been reluctant to renegotiate mortgages since the foreclosure crisis started in 2007, having performed payment-reducing modifications on only about 3 percent of seriously delinquent loans. We show that this reluctance does not result from securitization:...
Persistent link: https://www.econbiz.de/10005065497
In this note we discuss the findings in Piskorski, Seru, and Vig (2010), as well as the authors' interpretation of their results. First, we find that small changes to the set of covariates used by PSV significantly reduce the magnitude of the differences in foreclosure rates between securitized...
Persistent link: https://www.econbiz.de/10008489234
This paper examines how the government-sponsored enterprises (GSEs) Fannie Mae and Freddie Mac, the largest investors in subprime private-label mortgage-backed securities (PLS), influenced the risk characteristics and prices of the deals in which they participated. To identify the causal effect...
Persistent link: https://www.econbiz.de/10010942499
This paper explores the question of whether market participants could have or should have anticipated the large increase in foreclosures that occurred in 2007 and 2008. Most of these foreclosures stem from loans originated in 2005 and 2006, leading many to suspect that lenders originated a large...
Persistent link: https://www.econbiz.de/10004967301
This paper explores the question of whether market participants could have or should have anticipated the large increase in foreclosures that occurred in 2007 and 2008. Most of these foreclosures stemmed from loans originated in 2005 and 2006, leading many to suspect that lenders originated a...
Persistent link: https://www.econbiz.de/10004967557