The Mortgage Rate Conundrum

Alejandro Justiniano, Giorgio Primiceri and Andrea Tambalotti

Journal of Political Economy, 2022, vol. 130, issue 1, 121 - 156

Abstract: We study the interest rates of privately securitized residential mortgages during the credit boom of the early 2000s. They reveal a sharp and persistent drop in the spread between mortgage and Treasury rates starting in the summer of 2003. The emergence of this mortgage rate conundrum immediately followed the collapse of an unprecedented refinancing wave, and it was more pronounced in the regions where that wave had grown faster. These same areas also experienced more originations of the nonconforming mortgages that boosted private label securitization after 2003. Mortgages originated after this shift are the first to show signs of deteriorating quality.

Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://dx.doi.org/10.1086/717043 (application/pdf)
http://dx.doi.org/10.1086/717043 (text/html)
Access to the online full text or PDF requires a subscription.

Related works:
Working Paper: The Mortgage Rate Conundrum (2017)
Working Paper: The Mortgage Rate Conundrum (2017)
Working Paper: The mortgage rate conundrum (2017)
Working Paper: The Mortgage Rate Conundrum (2017)
Working Paper: The Mortgage Rate Conundrum (2017)
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:ucp:jpolec:doi:10.1086/717043

Access Statistics for this article

More articles in Journal of Political Economy from University of Chicago Press
Bibliographic data for series maintained by Journals Division ().