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Securitization and mortgage default
Elul, Ronel - In: Journal of financial services research : JFSR 49 (2016) 2/3, pp. 281-309
Persistent link: https://www.econbiz.de/10011592097
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Securitization and moral hazard : evidence from a lender cutoff rule
Bubb, Ryan; Kaufman, Alex - 2009
. Recent research has used variation induced by these rules to investigate the connection between securitization and lender … moral hazard problem posed by securitization. …
Persistent link: https://www.econbiz.de/10003941871
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Securitization and moral hazard : evidence from credit score cutoff rules
Bubb, Ryan; Kaufman, Alex - 2011 - This version: August 30, 2011
research has hypothesized that these cutoff rules result from a securitization rule of thumb. Under this theory, an observed … jump in defaults at the cutoff would imply that securitization led to lax screening. We argue instead that originators … that securitization caused lax screening. We examine loan-level data and find that the evidence is inconsistent with the …
Persistent link: https://www.econbiz.de/10009298472
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Mortgage default in an estimated model of the U.S. housing market
Lambertini, Luisa; Victoria, Nuguer; Uysal, Pinar - 2017
This paper models the housing sector, mortgages and endogenous default in a DSGE setting with nominal and real rigidities. We use data for the period 1981-2006 to estimate our model using Bayesian techniques. We analyze how an increase in risk in the mortgage market raises the default rate and...
Persistent link: https://www.econbiz.de/10011660977
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Demand heterogeneity in insurance markets : implications for equity and efficiency
Geruso, Michael - In: Quantitative economics : QE ; journal of the … 8 (2017) 3, pp. 929-975
In many markets insurers are barred from price discrimination based on con- sumer characteristics like age, gender, and medical history. In this paper, I build on a recent literature to show why such policies are inefficient if consumers differ in their willingness-to-pay for insurance...
Persistent link: https://www.econbiz.de/10011801777
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The mortgage rate conundrum
Justiniano, Alejandro; Primiceri, Giorgio E.; … - 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's expansionary cycle in June 2003, mortgage rates failed to rise according to their historical relationship with Treasury yields, leading to...
Persistent link: https://www.econbiz.de/10011754373
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Peas in a pod? : comparing the U.S. and Danish mortgage finance systems
Berg, Jesper; Bækmand Nielsen, Morten; Vickery, James - 2018
covered bond market bears a number of similarities to U.S. agency securitization. In this paper we describe the key features …
Persistent link: https://www.econbiz.de/10011857417
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Securitization without adverse selection : the case of CLOs
Benmelech, Efraim; Dlugosz, Jennifer; Ivashina, Victoria - 2011
"For nearly a decade prior to the collapse of structured finance markets in late 2007, securitization by collateralized … whether securitization was associated with risky lending in the corporate loan market by examining the performance of … underperform the rest of the loan portfolio. Overall, we argue that the securitization of corporate loans is fundamentally …
Persistent link: https://www.econbiz.de/10008856001
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Financial expertise as an arms race
Glode, Vincent; Green, Richard C.; Lowery, Richard - 2010 - Rev.
We show that firms intermediating trade have incentives to overinvest in financial expertise, and that these investments can be destabilizing. Financial expertise in our model improves firms' ability to accurately estimate value when trading a security. It creates adverse selection, which under...
Persistent link: https://www.econbiz.de/10003955258
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The Incidence of Adverse Selection : Theory and Evidence from Health Insurance Choices
Geruso, Michael; Layton, Timothy; Leive, Adam - National Bureau of Economic Research - 2023
Existing research on selection in insurance markets focuses on how adverse selection distorts prices and misallocates products across people. This ignores the distributional consequences of who pays the higher prices. In this paper, we show that the distributional incidence depends on the...
Persistent link: https://www.econbiz.de/10014322822