Understanding the Subprime Mortgage Crisis

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ID: 302906
2009
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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 macroeconomic conditions. 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.
Reference Key
openalex_W4241957989 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Yuliya Demyanyk, Otto Van Hemert
Journal review of financial studies
Year 2009
DOI
10.1093/rfs/hhp033
URL
https://doi.org/10.1093/rfs/hhp033
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