We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption … countries that do not allow for mortgage securitization. Our results are based on quarterly data from a panel of 16 …

done to stop it. We use an economic model to focus on two key decisions: the borrower's choice to default on the mortgage … illustrate that "unaffordableʺ loans, defined as those with high mortgage payments relative to income at origination, are … for the low number of modifications than contract frictions related to securitization agreements between servicers and …

the subsequent monitoring phase. Using a record of monthly credit rating migration data on all U.S. residential mortgage …

. -- mortgage finance ; securitization ; regression discontinuity design ; difference-in-differences …Fixed-rate mortgages (FRMs) dominate the U.S. mortgage market, with important consequences for household risk … management, monetary policy, and systemic risk. In this paper, we show that securitization is a key driver of FRM supply. Our …

loss and foreclosure rates are significantly higher for mortgage-backed securities (MBS) in which originators are not …-rated securities issued against the mortgage pool is decreasing in the distance. Finally, deals with greater distance are significantly …

This study presents an intriguing contrast of the ex ante and ex post relations between mortgage securitization and … loan performance using a comprehensive dataset from a major national mortgage bank. While the paper supports that the bank …

We study the optimal loan securitization policy of a commercial bank which is mainly engaged in lending activities. For … this we propose a stylized dynamic model which contains the main features affecting the securitization decision. In line … securitization. The fixed transaction costs lead to a formulation of the optimization problem in an impulse control framework. We …

This study presents an intriguing contrast of the ex ante and ex post relations between mortgage securitization and … loan performance using a comprehensive dataset from a major national mortgage lender. While the paper supports that the …

This paper examines the relationship between mortgage originator loss exposure (i.e., risk retention) and the ex post … performance and initial structure and pricing of mortgage-backed securities (MBS). We argue that originator risk retention varies … of AAA-rated securities issued against the mortgage pool is higher for affiliated deals …

This paper investigates the relationship between securitization activity and the extension of subprime credit. The … the years 2003-2005. Second, the securitization of subprime loans increased substantially over the same time period … securitization activity of investment banks was driven by forces exogenous to factors impacting lending decisions in the primary …