“Toxic waste” refers to the riskiest derivative structures arising from collateralized mortgage obligations (CMOs). We use simulations to predict how this risk would manifest itself in various interest rate environments. We also look for evidence on the total dollar value of these...

During the last few years, activity in the U.S. housing market has been brisk, and mortgage credit has reached an ever wider circle of borrowers. A recent conference at the Chicago Fed assembled researchers, regulators, and practitioners to discuss the implications of these developments, both...

Governor Kroszner presented identical remarks at the Symposium on Housing Affordability, Washington, D.C., on November 5, 2007

Governor Kroszner presented identical remarks at the Symposium on Housing Affordability, Washington, D.C., on November 5, 2007

Our paper compares mortgage securitization undertaken by government-sponsored enterprises (GSEs) with that undertaken by private markets, with an emphasis on how each type of mortgage securitization affects mortgage rates. We build a model illustrating that market structure, government...

Mortgages are one-sided contracts under which the borrower may terminate the contract at any time, while the lender must commit to honoring the terms of the contract throughout its life. There are two aspects to this feature of the contract that are modeled in this paper. The first is that the...

August 2013, Revised December 2014 Rapid house-price depreciation and rising unemployment were the main drivers of the huge increase in mortgage default during the downturn years of 2007 to 2010. However, mortgage default was also associated with an increased reliance on alternative mortgage...