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Securitization and moral hazard: Evidence from credit score cutoff rules
Bubb, Ryan; Kaufman, Alex - 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/10010286944
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Agency conflicts in residential mortgage securitization : what does the empirical literature tell us?
Frame, W. Scott - 2016
The agency conflicts inherent in securitization are viewed by many as having been a key contributor to the recent … research for the U.S. home mortgage market suggests that securitization itself may not have been a problem, but rather the … origination and distribution of observably riskier loans. Low-documentation mortgages, for which asymmetric information problems …
Persistent link: https://www.econbiz.de/10011623267
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Unconventional monetary policy and risk-taking : evidence from agency mortgage REITs
Frame, W. Scott; Steiner, Eva - 2018
We study how the Federal Reserve's quantitative easing (QE) influenced the behavior of Agency mortgage real estate investment trusts (REITs) - a set of institutions identified by the Financial Stability Oversight Council as posing systemic risk. We document that Agency mortgage REITs: [i] equity...
Persistent link: https://www.econbiz.de/10011895590
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Unconventional monetary policy and risk-taking: Evidence from agency mortgage REITs
Frame, W. Scott; Steiner, Eva - 2018
We study how the Federal Reserve's quantitative easing (QE) influenced the behavior of Agency mortgage real estate investment trusts (REITs) - a set of institutions identified by the Financial Stability Oversight Council as posing systemic risk. We document that Agency mortgage REITs: [i] equity...
Persistent link: https://www.econbiz.de/10012030274
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Agency conflicts in residential mortgage securitization: What does the empirical literature tell us?
Frame, W. Scott - 2017
The agency conflicts inherent in securitization are viewed by many as having been a key contributor to the recent … research for the U.S. home mortgage market suggests that securitization itself may not have been a problem, but rather the … origination and distribution of observably riskier loans. Low-documentation mortgages, for which asymmetric information problems …
Persistent link: https://www.econbiz.de/10011776827
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Toxic asset subsidies and the early redemption of talf loans
Wilson, Linus - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-20
This paper develops a formula to numerically estimate the unsubsidized, fair-market value of the toxic assets purchased with Federal Reserve loans. It finds that subsidy rates on these loans were on average 33.9 percent at origination. In contrast, by the 3rd quarter of the 2010, there was on...
Persistent link: https://www.econbiz.de/10013252762
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The devil's in the tail: Residential mortgage finance and the U.S. Treasury
Frame, W. Scott; Wall, Larry D.; White, Lawrence J. - 2012
This paper seeks to contribute to the U.S. housing finance reform conversation by providing a critical assessment of the various types of policy proposals that have been offered. There appears to be a broad consensus to maintain explicit government guarantees for certain narrowly defined...
Persistent link: https://www.econbiz.de/10010292239
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The failure of supervisory stress testing: Fannie Mae, Freddie Mac, and OFHEO
Frame, W. Scott; Gerardi, Kristopher; Willen, Paul S. - 2015
Stress testing has recently become a critical risk management and capital planning tool for large financial institutions and their supervisors around the world. However, the one prior U.S. experience tying stress test results to capital requirements was a spectacular failure: the Office of...
Persistent link: https://www.econbiz.de/10011310201
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The failure of supervisory stress testing: Fannie Mae, Freddie Mac, and OFHEO
Frame, W. Scott; Gerardi, Kristopher; Willen, Paul S. - 2015
's stress test, the models used to predict default and prepayment of 30-year fixed-rate mortgages. …
Persistent link: https://www.econbiz.de/10011460694
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The Federal Home Loan Bank System and U.S. housing finance
Frame, W. Scott - 2016
This paper examines the role of the Federal Home Loan Bank (FHLB) System in the U.S. housing finance system. This cooperatively owned government-sponsored enterprise has changed markedly over the past 25 years as a result of membership liberalization and the demise of thrift institutions. Today,...
Persistent link: https://www.econbiz.de/10011776812