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Mortgage Risk Since 1990

Morris Davis, William Larson, Stephen Oliner () and Benjamin Smith ()
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Benjamin Smith: American Enterprise Institute for Public Policy Research

No 19-02, FHFA Staff Working Papers from Federal Housing Finance Agency

Abstract: This paper provides a comprehensive account of the evolution of default risk for newly originated home purchase loans since 1990. We bring together several data sources to produce this history, including loan-level data for the entire Enterprise (Fannie Mae and Freddie Mac) book. We use these data to track a large number of loan characteristics and a summary measure of risk, the stressed default rate. Among the many results in the paper, we show that mortgage risk had already risen in the 1990s, planting the seeds of the financial crisis well before the actual event. Our results also cast doubt on explanations of the crisis that focus on low-credit-score borrowers.

Keywords: mortgage risk; housing boom; default; foreclosure; house price; leverage (search for similar items in EconPapers)
JEL-codes: E32 G21 G28 H22 R31 (search for similar items in EconPapers)
Pages: 85 pages
Date: 2019-02
New Economics Papers: this item is included in nep-mac, nep-rmg and nep-ure
References: View references in EconPapers View complete reference list from CitEc
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Persistent link: https://EconPapers.repec.org/RePEc:hfa:wpaper:19-02

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