Securitization and the fixed-rate mortgage
Andreas Fuster and
James Vickery (james.vickery@phil.frb.org)
No 594, Staff Reports from Federal Reserve Bank of New York
Abstract:
Fixed-rate mortgages (FRMs) dominate the U.S. mortgage market, with important consequences for monetary policy, household risk management, and financial stability. In this paper, we show that the share of FRMs is sharply lower when mortgages are difficult to securitize. Our analysis exploits plausibly exogenous variation in access to liquid securitization markets generated by a regulatory cutoff and time variation in private securitization activity. We interpret our findings as evidence that lenders are reluctant to retain the prepayment and interest rate risk embedded in FRMs. The form of securitization (private versus government-backed) has little effect on FRM supply during periods when private securitization markets are well-functioning.
Keywords: difference-in-differences; securitization; regression discontinuity design; mortgage finance (search for similar items in EconPapers)
JEL-codes: E44 G18 G21 (search for similar items in EconPapers)
Pages: 77 pages
Date: 2013
New Economics Papers: this item is included in nep-ban and nep-ure
Note: For a published version of this report, see Andreas Fuster and James Vickery, "Securitization and the Fixed-Rate Mortgage," Review of Financial Studies 28, no. 1 (January 2015): 176-211.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)
Downloads: (external link)
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr594.html Full text (text/html)
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr594.pdf (application/pdf)
Related works:
Journal Article: Securitization and the Fixed-Rate Mortgage (2015) 
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:fip:fednsr:594
Ordering information: This working paper can be ordered from
pipubs@ny.frb.org
Access Statistics for this paper
More papers in Staff Reports from Federal Reserve Bank of New York Contact information at EDIRC.
Bibliographic data for series maintained by Gabriella Bucciarelli (gabriella.bucciarelli@ny.frb.org).