asset price rises due to sub-prime mortgage credit securitisations (the originate-and-distribute model) as well as … risk premia and reduced access to credit. -- sub-prime ; turmoil ; turbulence ; mortgage credit …

This paper analyzes price discovery among residential mortgage-backed securities (MBS), their credit default swaps … “overshooting” that was previously thought to have helped cause the recent mortgage market bubble and bust …

puzzling, since it implies that creating a derivative tranche in the securitization whose payoffs are identical to the CDS will …We show how the timing of financial innovation might have contributed to the mortgage bubble and then to the crash of … raise the underlying asset price while the CDS outside the securitization lowers it. The resolution of the puzzle is that …

securities further down the securitization chain become dispersed in such a way that the market for them may shut down under …

, since it implies that creating a derivative tranche in the securitization whose payoffs are identical to the CDS will raise …We show how the timing of financial innovation might have contributed to the mortgage boom and then to the bust of 2007 …-2009. We study the effect of leverage, tranching, securitization and CDS on asset prices in a general equilibrium model with …