Understanding the Subprime Mortgage Crisis

@article{citeulike:2731299, abstract = {Using loan-level data, we analyze the quality of subprime mortgage loans by adjusting their performance for differences in borrower characteristics, loan characteristics, and house price appreciation since origination. We find that the quality of loans deteriorated for six consecutive years before the crisis and that securitizers were, to some extent, aware of it. We provide evidence that the rise and fall of the subprime mortgage market follows a classic lending boom-bust scenario, in which unsustainable growth leads to the collapse of the market. Problems could have been detected long before the crisis, but they were masked by high house price appreciation between 2003 and 2005.}, author = {Demyanyk, Yuliya and Hemert, Otto V. A. N. }, citeulike-article-id = {2731299}, journal = {Social Science Research Network Working Paper Series}, keywords = {economics, mortgage, subprime}, month = {February}, posted-at = {2008-04-29 00:25:16}, priority = {2}, title = {Understanding the Subprime Mortgage Crisis}, url = {http://ssrn.com/abstract=1020396}, year = {2008} }

TY - JOUR ID - citeulike:2731299 L3 - citeulike-article-id:2731299 TI - Understanding the Subprime Mortgage Crisis JF - Social Science Research Network Working Paper Series N2 - Using loan-level data, we analyze the quality of subprime mortgage loans by adjusting their performance for differences in borrower characteristics, loan characteristics, and house price appreciation since origination. We find that the quality of loans deteriorated for six consecutive years before the crisis and that securitizers were, to some extent, aware of it. We provide evidence that the rise and fall of the subprime mortgage market follows a classic lending boom-bust scenario, in which unsustainable growth leads to the collapse of the market. Problems could have been detected long before the crisis, but they were masked by high house price appreciation between 2003 and 2005. KW - economics KW - mortgage KW - subprime AU - Demyanyk, Yuliya AU - Hemert, Otto PY - 2008/February/29/ UR - http://ssrn.com/abstract=1020396 ER -