Using several large data sets of mortgage loans originated between 2004 and 2007, we find that in the prime mortgage market, banks generally sold low-default-risk loans into the secondary market while retaining higher-default-risk loans in their portfolios. In contrast, these lenders retained...

In assessing the riskiness of a mortgage loan, one of the primary underwriting criteria used by lenders and one of the macro-prudential measures used by policy makers is the LTV ratio at the time of origination. This ratio is critical because it determines the probability of a default and the...

The high growth rate of mortgage debt in various emerging and developed economies has captured headlines following the financial crisis. In this paper, we investigate how mortgage debt impacts household consumption behavior and various components of household consumption. Utilizing a...

We examine a recent trend in the market where investors purchase residential properties. We find that investors purchase at a discount of 9.5% compared to individuals purchasing in the same period and geographic area. More specifically, we find that small investors purchase at a discount of...

We investigate determinants of lenders' choice to securitize loans, focusing on the quality of loans they sell to investors in the secondary mortgage market relative to ones they retain on their balance-sheets. Using several large datasets of mortgage loans originated between 2004 and 2007, we...