Credit Ratings and the Evolution of the Mortgage-Backed Securities Market
Jie He,
Jun Qian and
Philip E. Strahan
American Economic Review, 2011, vol. 101, issue 3, 131-35
Abstract:
We compare the structure and performance of private (non-GSE) mortgage-backed securities sold by large issuers vs. those sold by small issuers over the period 2000-2006. Securities sold by large issuers have less subordination--a greater fraction of the deal receiving AAA rating--than those sold by small issuers. Prices for AAA-rated and non-AAA rated tranches sold by large issuers fell more when the market turned down than those sold by small issuers, and this difference was concentrated among tranches issued between 2004 and 2006. These results suggest that rating agencies grant favorable ratings to large issuers, especially during market booms.
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (40)
Downloads: (external link)
http://www.aeaweb.org/articles.php?doi=10.1257/aer.101.3.131 (application/pdf)
Access to full text is restricted to AEA members and institutional subscribers.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:aea:aecrev:v:101:y:2011:i:3:p:131-35
Ordering information: This journal article can be ordered from
https://www.aeaweb.org/journals/subscriptions
Access Statistics for this article
American Economic Review is currently edited by Esther Duflo
More articles in American Economic Review from American Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Michael P. Albert ().