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Understanding the securitization of subprime mortgage credit

Ashcraft, Adam B.; Schuermann, Til - Federal Reserve Bank of New York - 2008

In this paper, we provide an overview of the subprime mortgage securitization process and the seven key informational frictions that arise. We discuss the ways that market participants work to minimize these frictions and speculate on how this process broke down. We continue with a complete...

Persistent link: https://www.econbiz.de/10005420548

Real estate investors, the leverage cycle, and the housing market crisis

Haughwout, Andrew; Lee, Donghoon; Tracy, Joseph; … - Federal Reserve Bank of New York - 2011

We explore a mostly undocumented but important dimension of the housing market crisis: the role played by real estate investors. Using unique credit-report data, we document large increases in the share of purchases, and subsequently delinquencies, by real estate investors. In states that...

Persistent link: https://www.econbiz.de/10009320710

Housing busts and household mobility: an update

Ferreira, Fernando; Gyourko, Joseph; Tracy, Joseph - Federal Reserve Bank of New York - 2011

This paper provides updated estimates of the impact of three financial frictions—negative equity, mortgage lock-in, and property tax lock-in—on household mobility. We add the 2009 wave of the American Housing Survey (AHS) to our sample and also create an improved measure of permanent moves...

Persistent link: https://www.econbiz.de/10009366986

Payment changes and default risk: theimpact of refinancing on expected credit losses

Tracy, Joseph; Wright, Joshua - Federal Reserve Bank of New York - 2012

' monthly mortgage payments for a large sample of prime adjustable-rate mortgages. Applying a 26 percent average monthly payment … conforming adjustable-rate mortgages with loan-to-value ratios above 80 percent declines by 3.8 percentage points. If we assume … per dollar of balance for mortgages that refinance under HARP. …

Persistent link: https://www.econbiz.de/10010552107

Securitization and the fixed-rate mortgage

Fuster, Andreas; Vickery, James - Federal Reserve Bank of New York - 2013

Fixed-rate mortgages (FRMs) dominate the U.S. mortgage market, with important consequences for household risk … freezes, the share of FRMs is sharply higher among mortgages eligible to be securitized through the still-liquid agency MBS …

Persistent link: https://www.econbiz.de/10010604287

The homeownership gap

Haughwout, Andrew; Peach, Richard; Tracy, Joseph - Federal Reserve Bank of New York - 2009

After rising for a decade, the U.S. homeownership rate peaked at 69 percent in the third quarter of 2006. Over the next two and a half years, as home prices fell in many parts of the country and the unemployment rate rose sharply, the homeownership rate declined by 1.7 percentage points. An...

Persistent link: https://www.econbiz.de/10008636198

MBS ratings and the mortgage credit boom

Ashcraft, Adam; Goldsmith-Pinkham, Paul; Vickery, James - Federal Reserve Bank of New York - 2010

underperformance (high mortgage defaults and losses and large rating downgrades) among deals with observably higher risk mortgages …

Persistent link: https://www.econbiz.de/10008493882

Structural change in the mortgage market and the propensity to refinance

Bennett, Paul; Peach, Richard; Peristiani, Stavros - Federal Reserve Bank of New York - 1998

We hypothesize that the intrinsic benefit required to trigger a refinancing has become smaller due to a combination of technological, regulatory, and structural changes that have made mortgage origination more competitive and more efficient. To test this hypothesis, we estimate an empirical...

Persistent link: https://www.econbiz.de/10005526276

Implied mortgage refinancing thresholds

Bennett, Paul; Peach, Richard; Peristiani, Stavros - Federal Reserve Bank of New York - 1998

The optimal prepayment model asserts that rational homeowners would refinance if they can reduce the current value of their liabilities by an amount greater than the refinancing threshold, defined as the cost of carrying the transaction plus the time value of the embedded call option. To compute...

Persistent link: https://www.econbiz.de/10005420539

Housing busts and household mobility

Ferreira, Fernando; Gyourko, Joseph; Tracy, Joseph - Federal Reserve Bank of New York - 2008

Using two decades of American Housing Survey data from 1985 to 2005, we estimate the influence of negative home equity and rising mortgage interest rates on household mobility. We find that both factors lead to lower, not higher, mobility rates over time. The effects are economically large --...

Persistent link: https://www.econbiz.de/10005420603