Understanding the Subprime Mortgage Crisis

Yuliya Demyanyk and Otto Van Hemert

The Review of Financial Studies, 2011, vol. 24, issue 6, 1848-1880

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. The Author 2011. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please email: journals.permissions@oxfordjournals.org., Oxford University Press.

Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (363)

Downloads: (external link)
http://hdl.handle.net/10.1093/rfs/hhp033 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
Journal Article: Understanding the subprime mortgage crisis (2009)
Working Paper: Understanding the subprime mortgage crisis (2008)
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:oup:rfinst:v:24:y:2011:i:6:p:1848-1880

Ordering information: This journal article can be ordered from
https://academic.oup.com/journals

Access Statistics for this article

The Review of Financial Studies is currently edited by Itay Goldstein

More articles in The Review of Financial Studies from Society for Financial Studies Oxford University Press, Journals Department, 2001 Evans Road, Cary, NC 27513 USA.. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().