Understanding the subprime mortgage crisis

Review of Financial Studies

Volumn 24, Issue 6, 2011, Pages 1848-1880

  Demyanyk, Yuliya ^a   Van Hemert, Otto ^b  

^a FEDERAL RESERVE BANK OF CLEVELAND   (United States)

^b NEW YORK UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 79953208232     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhp033     Document Type: Article

References (41)

1. Allison, P. 2007. Survival Analysis Using SAS: A Practical Guide, 10th printing. Cary, NC: SAS Institute.
2. Ambrose, B., and C. Capone. 2000. The Hazard Rates of First and Second Defaults. Journal of Real Estate Finance and Economics 20:275-93.
3. Ambrose, B., M. LaCour-Little, and Z. Huszar. 2005. A Note on Hybrid Mortgages. Real Estate Economics 33:765-82. (Pubitemid 43062141)
4. Angell, C., and C. D. Rowley. 2006. Breaking New Ground in U.S. Mortgage Lending. FDIC: Outlook Summer 2006. Federal Deposit Insurance Corporation.
5. Berger, A., and G. Udell. 2004. The Institutional Memory Hypothesis and the Procyclicality of Bank Lending Behavior. Journal of Financial Intermediation 12:458-95. (Pubitemid 39453388)
6. Bernanke, B. 2007. Housing, Housing Finance, and Monetary Policy. Speech delivered at the Federal Reserve Bank of Kansas City's Economic Symposium.
7. Brunnermeier, M., and C. Julliard. 2008. Money Illusion and Housing Frenzies. Review of Financial Studies 21:135-80.
8. Calhoun, C. 1996. OFHEO House Price Indexes: HPI Technical Description, official OFHEO document.
9. Calhoun, C., and Y. Deng. 2002. A Dynamic Analysis of Fixed- and Adjustable-Rate Mortgage Terminations. Journal of Real Estate Finance and Economics 24:9-33. (Pubitemid 37131080)
10. Campbell, J. Y., and J. F. Cocco. 2003. Household Risk Management and Optimal Mortgage Choice. Quarterly Journal of Economics 118:1449-94. (Pubitemid 37445869)
11. Clapp, J., Y. Deng, and X. An. 2006. Unobserved Heterogeneity in Models of Competing Mortgage Termination Risks. Real Estate Economics 34:243-73. (Pubitemid 43937598)
12. Cox, D. 1972. Regression Models and Life Tables. Journal of the Royal Statistical Society 34:187-220.
13. Cutts, A. C., and R. A. Van Order. 2005. On the Economics of Subprime Lending. Journal of Real Estate Finance and Economics 30:167-96. (Pubitemid 40553840)
14. De Jong, F., J. Driessen, and O. Van Hemert. 2008. Hedging House Price Risk: Portfolio Choice with Housing Futures. Working Paper, New York University.
15. Dell'Ariccia, G., D. Igan, and L. Laeven. 2008. Credit Booms and Lending Standards: Evidence from the Subprime Mortgage Market. Working Paper WP/08/106, International Monetary Fund.
16. Dell'Ariccia, G., and R. Marquez. 2006. Lending Booms and Lending Standards. Journal of Finance 61:2511-46. (Pubitemid 44414105)
17. Demirgüç-Kunt, A., and E. Detragiache. 2002. Does Deposit Insurance Increase Banking System Stability? An Empirical Investigation. Journal of Monetary Economics 49:1373-406.
18. Deng, Y. 1997. Mortgage Termination: An Empirical Hazard Model with Stochastic Term Structure. Journal of Real Estate Finance and Economics 14:309-31. (Pubitemid 127429827)
19. Deng, Y., A. Pavlov, and L. Yang. 2005. Spatial Heterogeneity in Mortgage Terminations by Refinance, Sale and Default. Real Estate Economics 33:739-64. (Pubitemid 43062140)
20. Deng, Y., J. M. Quigley, and R. A. Van Order. 2000. Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options. Econometrica 68:275-308.
21. Feldstein, M. S. 2007. Housing, Credit Markets and the Business Cycle. Working Paper 13471, NBER.
22. Genesove, D., and C. Mayer. 1997. Equity and Time to Sale in the Real Estate Market. American Economic Review 87:255-69.
23. Genesove, D., and C. Mayer. 2001. Loss Aversion and Seller Behavior: Evidence from the Housing Market. Quarterly Journal of Economics 116:1233-60.
24. Gerardi, K., A. Shapiro, and P. Willen. 2008. Subprime Outcomes: Risky Mortgages, Homeownership Experiences, and Foreclosures. Working Paper, Federal Reserve Bank of Boston.
25. Glaeser, E., and J. Gyourko. 2005. Urban Decline and Durable Housing. Journal of Political Economy 113:345-75. (Pubitemid 41057127)
26. Gourinchas, P.-O., R. Valdes, and O. Landerretche. 2001. Lending Booms: Latin America and the World. Economia 1:47-99.
27. Gyourko, Joseph, M. C., and T. Sinai. 2006. Superstar Cities. Working Paper 12355, NBER.
28. Kamisky, G. L., and C. M. Reinhart. 1999. The Twin Crises: The Causes of Banking and Balance-of-Payment Problems. American Economic Review 89:473-500.
29. Keys, B. J., T. Mukherjee, A. Seru, and V. Vig. 2008. Did Securitization Lead to Lax Screening? Evidence from Subprime Loans. Working Paper, University of Chicago.
30. Kiff, J., and P. Mills. 2007. Money for Nothing and Checks for Free: Recent Developments in U.S. Subprime Mortgage Markets. Working Paper 07/188, International Monetary Fund.
31. Koijen, R., O. Van Hemert, and S. Van Nieuwerburgh. Forthcoming. Mortgage Timing. Journal of Financial Economics.
32. LaCour-Little, M. 2007. The Home Purchase Mortgage Preferences of Low-and-Moderate Income Households. Real Estate Economics 35:265-90.
33. Laderman, L. 2004. Has the CRA Increased Lending for Low-Income Home Purchases? Economic Letter 2004-16, Federal Reserve of San Francisco.
34. Mian, A., and A. Sufi. 2008. The Consequences of Mortgage Credit Expansion: Evidence from the U.S. Mortgage Default Crisis. Working Paper, University of Chicago.
35. Pennington-Cross, A. 2003. Credit History and the Performance of Prime and Nonprime Mortgages. Journal of Real Estate Finance and Economics 27:279-301. (Pubitemid 38117898)
36. Pennington-Cross, A., and S. Chomsisengphet. 2007. Subprime Refinancing: Equity Extraction and Mortgage Termination. Real Estate Economics 35:233-63.
37. Ruckes, M. 2004. Bank Competition and Credit Standards. Review of Financial Studies 17:1073-802.
38. Shiller, R. J. 2007. Understanding Recent Trends in House Prices and Home Ownership. Working Paper 13553, NBER.
39. Van Hemert, O. 2007. Household Interest Rate Risk Management. Working Paper, New York University.
40. Vickery, J. 2007. Interest Rates and Consumer Choice in the Residential Mortgage Market. Working Paper, Federal Reserve Bank of New York.
41. Von Furstenberg, G. M., and R. J. Green. 1974. Home Mortgage Delinquencies: A Cohort Analysis. Journal of Finance 29:1545-48.