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首页 Introduction to the special issue on housing an…

Introduction to the special issue on housing and the credit crunch.pdf

Introduction to the special iss…

上传者: fengqiyaoye 2013-10-10 评分 0 0 0 0 0 0 暂无简介 简介 举报

简介:本文档为《Introduction to the special issue on housing and the credit crunchpdf》,可适用于高等教育领域,主题内容包含hoabledtheexpansionofsubprimelendingIntheirpaper,GMMresultsindicatethatthe符等。

hoabledtheexpansionofsubprimelendingIntheirpaper,GMMresultsindicatethattheemergenceandrapidcapitalizationofthesubprimebackedCDOmarketwasassociatedwithasignificanttighteningofsubprimeMBSTreasuryyieldspreadsResultsofVARandotherrobustnesstestsservetocorroboratethefindingsDynamicsimulationbasedontheImpulseResponseFunctionestiwithpreferredtestsandfindsthattheactualstresstestssteadofrealtermsforhousepricesandtherebymissingthefactthatlowerinflationmadenominaldeclinesmorelikelythanpastdata,generatedwhengeneralinflationrateswerehigh,mightsuggest,andtheincreasedimportanceofmomentuminexplaininghousepricesinthelastyearsTheymakesuggestionsforimprovedstresstests,$seefrontmatterPublishedbyElsevierLtdJournalofHousingEconomics()–ContentslistsavailableatScienceDirectsiweldoi:jjheDengetal()evaluatetheeffectsofCDOissuanceonthepricingofsubprimeresidentialmortgagebackedsecuritiesAftercontrollingformortgageoptionvaluesandotherwellestablisheddeterminantsofcreditspreads,understatedtheappropriatedeclineinpropertyvaluesbyormorerelativetowhattheremodelsuggestsTheauthorsisolateseveralfactorsasproblematicincluding:thespecificationoftheOFHEOtestinnominalinEditorialIntroductiontothespecialissueonTheburstingofthehousingbubbleandthesubsequentcrashofthemortgagemarketisanimportanttopic,notonlyforpolicymakersexaminingthefutureofhousingfinance,butalsoforpunditsandeconomistsaswell,someofwhomwerecaughtwiththeirparametersdownInthisspecialissue,weincludesixpapersexaminingawiderangeoftopicsrelatingtothecrashThepaperswerepresentedataconferenceonHousingandtheCreditCrunch,cosponsoredbyGeorgeMasonandGeorgeWashingtonUniversitiesinMayofTheintentoftheconferencewastotakesomeseriouslooksatwhatthedatasayabouttheeventsofthelastfewyearsThe–periodsawrapidincreasesinhousepricesItalsosawasubstantialincreaseincapacityutilizationfortheeconomy,particularlyafterthe–recessionByearly,capacityutilizationreacheditbeganfallinginlateTheunemploymentratemovedinparallelfashionAlongthewaytherewasalargeincreaseintheshareofnontraditionalmortgages,particularlythesocalledsubprimeandAltAloansWeallknowwhathappenedafterthatPossiblesourcesoftheboomandbustrangefromthewaynontraditionalmortgagesweresoldtolaxunderwritingstandardstopoorcapitalregulationandtoadverseselectionmoralhazardvsthecrashintheeconomyThefivepapersinthisissuetouchonalloftheseSecuritizationandstructuringCollateralizeddebtobligationsaresecuritieswithtypicallyriskyassetsascollateral,suchassubprimemortgagesecuritiesTheabilityofCDOstorebundleriskfromheterogeneousmortgageproductsintotranchedriskclassesenJournalofHoujournalhomepage:wwusingandthecreditcrunchmatesindicatessubstantialsubprimeMBSspreadwideninginthewakeoftherecentimplosionintheCDOmarketThefindingssuggesttheimportanceofsupplydemandshocksassociatedwithinnovationsinderivativesecuritiesmarketstothepricingofsecuritizedsubprimedebtUnderwritingandexcessiveleveragePiggybackloansareanotherissuethatwarrantsacloselookLaCourLittleandCalhoun()examinetheuseofsimultaneousclosejuniorlienlending(‘‘piggybacks’’)overthecourseoftherecenthousingbubbleandsubsequentmortgagemarketcollapseUsingbothstatelevelandZipcodeleveldataovertheperiod–,theyfindthatthefractionofpiggybackoriginationsisrelatedtohigherforeclosureanddefaultratesinsubsequentyears,andthisrelationisstrongestfornonowneroccupiedpropertiesThepatternislimitedtotheuseofsubprimepiggybacks,ratherthanamoregeneralphenomenonUsingatopologybasedhousingsupplyelasticitymeasureasaninstrumentforhousepricegrowth,theyconfirmthatthestrongassociationofsubprimepiggybackoriginationwithworseloanperformancewasnotdrivenbyendogeneityofhousepriceappreciationCapitalregulationGiertzandFollain()assesstheadequacyofthestresstestsusedbytheOfficeofFederalHousingEnterpriseOversight(OFHEO),nowtheFederalHousingFinanceAuthority,toevaluatethecapitaladequacyofFannieMaeandFreddieMacThepapercomparestheirstresstestsngEconomicsseviercomlocatejhecsuchascontinualupdatesandtestingandtestsbasedonbehaviorofrealhousepricesAdverseselectionCalemandHenderson()analyzesadverseselectioninthemortgagemarketviacreamskimmingThecontextissecuritizationandwhetherornotthebankswhoassembleddealskeptthebestloansforthemselvesTogettothisthebanksneededtohavebetterinformation,andthereneededtobepoorcontractingtocontroltheproblemTheirmodelisdifferentfromstandardlemonsmodelsbecauseinvestorsdonotknowhowtheyareseMeasuringpricesWesometimestakepublishedhousepricedataasthetruemeasureofwhathashappenedtoprices,eg,asthemeasureofthebubbleHowever,weonlyobservepricesoftradedhouses,andweknowfromexperiencethatnotallpropertiestradeandmoreimportantthatpropertiesareoftentakenoffthemarketbecausesellerscannotgettheirreservationpriceChengetal()modelthisEditorialJournalofHousingEconomics()–lectedagainstThepapermergesHMDAandotherdatatolookattheprobabilityaloanbeingsold,inparticularwhetherthisshareincreaseswithincreasedriskthatisknowntothebankbutnottheultimateinvestorPositiveresultsfortheroleofcreamskimmingareinferredbecauseproxiesforinformationknowntobanksworkwellinexplainingsalesAnimportantresultisthatsubsequentactualdelinquencyratespredictsharesolddespitelikelybiasfrommeasurementerrorThepapersupportstheviewthatinattentiontoormisperceptionofriskbythesecuritizationmarketwasaprimarycauseofthesubprimelendingboomandsubsequentmarketcollapseMoralhazardvsbadtimesCapozzaandVanOrder()usealargesampleoffixedratemortgagestostudytherelativerolesofunderwriting,moralhazardandeconomicconditionsintheGreatSurgeinmortgagedefaultsTheauthorscontrolforobservableunderwritingaswellaseconomicconditionsinanefforttoinfertheshareofdefaultsduetomoralhazardMoralhazardisidentifiedbydiscontinuitiesor‘‘notches’’indefaultbehaviorEconomicssuggeststhatdefaultshouldbeacontinuousfunctionofunderlyingvariableslikeloantovalueratiohowever,pricingandscreeningtendtobedoneoverdiscreteintervalsSellersengaginginmoralhazardwilltendtodelivertoplaceswheretheloansarejustabletomeetinvestorqualifications,suchasloantovaluesratiosat,inducingnotchesindefaultbehaviorEstimatessuggestthatalotofthevariationwasduetoeconomicconditionsandlittlewasduetoobservableunderwritingchangesTheyfindsomeroleformoralhazard,butitsextentishardtoidentifytotheextentitissignaledoutsideofthenotchesproblemTheypointoutthatthisisespeciallylikelytobeaprobleminadownturnbecausethatiswhensellersaremostlikelytobedisappointedandtakepropertiesoffthemarketTheypresentareservationpricemodelwithheterogeneoushousesandpresentaclosedformsolutionforextenttowhichthisproblemcausesunderestimatesofpricedeclinesandtimeonthemarketTheirsimulationssuggestthatitcouldleadtosignificantunderstatementofhousepricedeclinesinasevererecessionliketheonewehavebeeninReferencesCalem,P,Henderson,C,Cherrypickinginsubprimemortgagesecuritizations:whichsubprimemortgagesweresoldbydepositoryinstitutionspriortothecrisisofJournalofHousingEconomics(),–Capozza,D,VanOrder,R,Thegreatsurgeinmortgagedefaults–:thecomparativerolesofeconomicconditions,underwritingandmoralhazardJournalofHousingEconomics(),–Cheng,P,Lin,Z,Lin,Y,Propertydelisting,housingcycleandpricingbiasJournalofHousingEconomics(),–Deng,Y,Gabriel,S,Sanders,A,CDOmarketimplosionandthepricingofsubprimemortgagebackedsecuritiesJournalofHousingEconomics(),–Follain,J,Giertz,S,UsingMonteCarlosimulationstoestablishanewhousepricestresstestJournalofHousingEconomics(),–LaCourLittle,M,Calhoun,C,WhatroledidpiggybacklendingplayinthehousingbubbleandmortgagecollapseJournalofHousingEconomics(),–AnthonyBSandersGeorgeMasonUniversity,UnitedStatesEmailaddress:anthonybsandersasueduRobertVanOrderGeorgeWashingtonUniversity,UnitedStatesEmailaddresses:rvogwueduIntroductiontothespecialissueonhousingandthecreditcrunchssec:Securitizationandstructuringssec:Underwritingandexcessiveleveragessec:Capitalregulationssec:Adverseselectionssec:Moralhazardvsbadtimesssec:MeasuringpricesReferencesbbbbbb

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