We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Quarter Century of Mortgage Risk.
- Authors
Davis, Morris A; Larson, William D; Oliner, Stephen D; Smith, Benjamin R
- Abstract
This article provides a comprehensive history of default risk for newly originated home mortgages in the USA over the past quarter century. The loan-level source data include the entire guarantee book for Fannie Mae and Freddie Mac. We track many loan characteristics and produce a summary measure of risk. Among our many results, we show that mortgage risk had already risen in the 1990s, planting seeds of the financial crisis well before the actual event. Our results also cast doubt on explanations of the crisis that focus on borrowers with low credit scores. The aggregate series are available for download at https://www.fhfa.gov/papers/wp1902.aspx.
- Subjects
FREDDIE Mac (Company); FANNIE Mae; MORTGAGES; CREDIT ratings; FINANCIAL crises; COUNTERPARTY risk; MORTGAGE loan default; HOME prices
- Publication
Review of Finance, 2023, Vol 27, Issue 2, p581
- ISSN
1572-3097
- Publication type
Article
- DOI
10.1093/rof/rfac034