Purpose: The study is aimed not only at determining the current state of the bank asset securitization market but also at developing methods and ways to improve the processes of bank asset securitization in Russia. Design/methodology/approach: The article presents the results of a survey of...

We study the evolution of US mortgage credit supply during the COVID-19 pandemic. Although the mortgage market experienced a historic boom in 2020, we show there was also a large and sustained increase in intermediation markups that limited the pass-through of low rates to borrowers. Markups...

An emerging literature documents a link between central bank quantitative easing (QE) and financial institution credit risk-taking. This paper tests the complementary hypothesis that QE may also affect financial risk-taking. We study Agency MREITs – levered shadow banks that invest in...

Virtually no attention has been paid to the problem of cyclicality in debates over access to mortgage credit, despite its importance as a driver of tight credit. Housing markets are prone to booms accompanied by bubbles in mortgage credit in which lenders cut underwriting standards, leading to...

We document that, since 2011, mortgage lenders reduced credit to middle-class households by 15% and increased credit to wealthy households by 21%. Credit to low-income households was unaffected. Results hold at the individual-loan level and zip-code level, and at the intensive margin and...

A central result in the theory of adverse selection in asset markets is that informed sellers can signal quality and obtain higher prices by delaying trade. This paper provides some of the first evidence of a signaling mechanism through trade delays using the residential mortgage market as a...

This article documents patterns in residential mortgage lending through 2014 along a number of dimensions using data reported under the Home Mortgage Disclosure Act. After describing high level trends in mortgage lending by race, ethnicity and income through 2014, the article examines: (1) The...

We provide an analytic valuation framework to value second mortgages and first lien mortgages when owners can take out a second lien. We then use the framework to value mortgage-backed securities (MBS) and, in particular, quantify the greater risk associated with MBS backed by first liens that...

We study how the Federal Reserve's quantitative easing (QE) influenced the behavior of Agency mortgage REITs – a set of institutions identified by the Financial Stability Oversight Council as posing systemic risk. We document that Agency mortgage REITs: (i) equity prices reacted to QE...

Like the United States, Denmark relies heavily on capital markets for funding residential mortgages, and the Danish covered bond market bears a number of similarities to U.S. agency securitization. In this paper we describe the key features of the Danish mortgage finance system and compare and...