A Quarter Century of Mortgage Risk*

Morris Davis, William Larson, Stephen D Oliner and Benjamin R Smith

Review of Finance, 2023, vol. 27, issue 2, 581-618

Abstract: This article provides a comprehensive history of default risk for newly originated home mortgages in the USA over the past quarter century. The loan-level source data include the entire guarantee book for Fannie Mae and Freddie Mac. We track many loan characteristics and produce a summary measure of risk. Among our many results, we show that mortgage risk had already risen in the 1990s, planting seeds of the financial crisis well before the actual event. Our results also cast doubt on explanations of the crisis that focus on borrowers with low credit scores. The aggregate series are available for download at https://www.fhfa.gov/papers/wp1902.aspx.

Keywords: Mortgage risk; Housing boom; Default; Foreclosure; House price; Leverage (search for similar items in EconPapers)
JEL-codes: G21 G28 G51 N22 R21 R31 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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