| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP12852
|
| DP12852 Mortgage-Backed Securities and the Financial Crisis of 2008: a Post Mortem |
| Harald Uhlig
|
| 发表日期 | 2018-04-09
|
| 出版年 | 2018
|
| 语种 | 英语
|
| 摘要 | We examine the payoff performance, up to the end of 2013, of non-agency residential mortgage-backed securities (RMBS), issued up to 2008. We have created a new and detailed data set on the universe of non-agency residential mortgage backed securities, per carefully assembling source data from Bloomberg and other sources. We compare these payoffs to their ex-ante ratings as well as other characteristics. We establish seven facts. First, the bulk of these securities was rated AAA. Second, AAA securities did ok: on average, their total cumulated losses up to 2013 are 2.3 percent. Third, the subprime AAA-rated segment did particularly well. Fourth, later vintages did worse than earlier vintages, except for subprime AAA securities. Fifth, the bulk of the losses were concentrated on a small share of all securities. Sixth, the misrating for AAA securities was modest. Seventh, controlling for a home price bust, a home price boom was good for the repayment on these securities. Together, these facts provide challenge the conventional narrative, that improper ratings of RMBS were a major factor in the financial crisis of 2008. |
| 主题 | Financial Economics
; International Macroeconomics and Finance
; Monetary Economics and Fluctuations
|
| 关键词 | Mortgage-backed securities
Mbs
Financial crisis of 2008
Credit ratings
|
| URL | https://cepr.org/publications/dp12852
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541663
|
推荐引用方式
GB/T 7714 |
Harald Uhlig. DP12852 Mortgage-Backed Securities and the Financial Crisis of 2008: a Post Mortem. 2018.
|
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