| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w24509
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| 来源ID | Working Paper 24509
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| Mortgage-Backed Securities and the Financial Crisis of 2008: a Post Mortem |
| Juan Ospina; Harald Uhlig
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| 发表日期 | 2018-04-16
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| 出版年 | 2018
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| 语种 | 英语
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| 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
; Financial Institutions
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| URL | https://www.nber.org/papers/w24509
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/582183
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推荐引用方式
GB/T 7714 |
Juan Ospina,Harald Uhlig. Mortgage-Backed Securities and the Financial Crisis of 2008: a Post Mortem. 2018.
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文件名：
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w24509.pdf
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格式：
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Adobe PDF
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