Beruflich Dokumente
Kultur Dokumente
Mortgage Credit
B. Rosen
R. Tsai
Table of Contents
Summary of empirical research by
Yuliya Demyank (St. Louis Fed) and
Otto Van Hemert (NYU Stern) Dec
2008
Analysis of Bloomberg Data
Empirical Research by
Demyank and Van Hemert
Understanding the Subprime
Mortgage Crisis
via Social Science Research
Network
Background on proportional
odds (ordered logit)
Five findings
Quantified determinants of 2006 and 2007
loans
Showed declining loan quality (loan
performance adjusted for borrower, macro
variables)
Was possible to detect loan deterioration
ahead of time with simple statistical tests
Securitizers knew of deterioration, changing
determinants of mortgage rates
Higher likelihood of delinquencies in lowmiddle- income areas (negative byproduct
of Community Reinvestment Act, GSEs)
Subprime loan
characteristics
Determinants
Determinants
Determinants
Collateral Composition
Collateral Composition
Collateral Composition
Collateral Composition
Loss Coverage
Delinquency