Originate-to-distribute model and the subprime mortgage crisis

Review of Financial Studies

Volumn 24, Issue 6, 2011, Pages 1881-1915

  Purnanandam, Amiyatosh ^a  

^a UNIVERSITY OF MICHIGAN   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 79957504779     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhq106     Document Type: Article

References (44)

1. Allen, F. 2009. The Global Financial Crisis. Paper, Wharton Finance Club.
2. Allen, F., and E. Carletti. 2006. Credit Risk Transfer and Contagion. Journal of Monetary Economics 53:89-111. (Pubitemid 43137883)
3. Allen, F., and D. Gale. 1994. Financial Innovations and Risk Sharing. Cambridge, MA: MIT Press.
4. Ashcraft, A., and J. Santos. 2007. Has the CDS Market Lowered the Cost of Corporate Debt? Working Paper, Federal Reserve Bank of New York.
5. Bertrand, M., E. Duflo, and S. Mullainathan. 2004. How Much Should We Trust Differences-in-differences Estimates? Quarterly Journal of Economics 119:249-75. (Pubitemid 38361206)
6. Brunnermeier, M. 2009. Deciphering the 2007-2008 Liquidity and Credit Crunch. Journal of Economic Perspective 23:77-100.
7. Calomoris, C., and C. Kahn. 1991. The Role of Demandable Debt in Structuring Optimal Banking Arrangements. American Economic Review 81:497-513.
8. Dell'Ariccia, G., I. Deniz, and L. A. Laeven. 2008. Credit Booms and Lending Standards: Evidence from the Subprime Mortgage Market. Working Paper, International Monetary Fund.
9. Demyanyk, Y., and O. Van Hemert. 2009. Understanding the Subprime Mortgage Crisis. Review of Financial Studies. Advance Access published May 4, 2009, 10.1093/rfs/hhp033.
10. Diamond, D., and P. Dybvig. 1983. Bank Runs, Deposit Insurance, and Liquidity. Journal of Political Economy 91:401-19.
11. Doms, M., F. Furlong, and J. Krainer. 2007, Subprime Mortgage Delinquency Rates. Working Paper, Federal Reserve Bank of San Francisco.
12. Diamond, D., and R. Rajan. 2001. Liquidity Risk, Liquidity Creation, and Financial Fragility: A Theory of Banking. Journal of Political Economy 109:287-327. (Pubitemid 32497644)
13. Drucker, S., and M. Puri. 2005. Banks and Capital Markets: A Survey. In Handbook of Empirical Corporate Finance, ed. B. Espen Eckbo. Elsevier/North-Holland.
14. -. 2009. On Loan Sales, Loan Contracting, and Lending Relationships. Review of Financial Studies 22:2835-72.
15. Flannery, M. 1994. Debt Maturity Structure and the Deadweight Cost of Leverage: Optimally Financing Banking Firms. American Economic Review 84:320-31.
16. Froot, K. A., D. S. Scharfstein, and J. C. Stein. 1993. Risk Management: Coordinating Corporate Investments and Financing Policies. Journal of Finance 5:1629-58.
17. Froot, K. A., and J. C. Stein. 1998. Risk Management, Capital Budgeting, and Capital Structure Policy for Financial Institutions: An Integrated Approach. Journal of Financial Economics 47:55-82. (Pubitemid 128177546)
18. Gande, A., and A. Saunders. 2007. Are Banks Still Special When There Is a Secondary Market for Loans? Working Paper, New York University.
19. Goetzmann,W. N., and M. Spiegel. 1997. A Spatial Model of Housing Returns and Neighborhood Substitutability. Journal of Real Estate Finance and Economics 14:11-31. (Pubitemid 127429812)
20. Gordon, B., and A. D'Silva. 2008. Hedges in the Warehouse: The Banks Get Trimmed. Chicago Fed Letter #249.
21. Gorton, G., and G. Pennacchi. 1995. Banks and Loan Sales: Marketing Nonmarketable Assets. Journal of Monetary Economics 35:389-411.
22. Greenlaw, D., J. Hatzius, A. K. Kashyap, and H. S. Shin. 2008. Leveraged Losses: Lessons from the Mortgage Market Meltdown. U.S. Monetary Policy Forum Conference Draft.
23. Jensen, M., and W. Meckling. 1976. Theory of the Firm: Managerial Behavior, Agency Costs, and Ownership Structure. Journal of Financial Economics 3:305-60.
24. Holmstrom, B., and J. Tirole. 1997. Financial Intermediation, Loanable Funds, and the Real Sector. Quarterly Journal of Economics 112:663-91. (Pubitemid 28095148)
25. -. 1998. Private and Public Supply of Liquidity. Journal of Political Economy 106:1-40. (Pubitemid 128665911)
26. Keys, B., T. Mukherjee, A. Seru, and V. Vig. 2010. Did Securitization Lead to Lax Screening? Evidence from Subprime Loans. Quarterly Journal of Economics 125:307-62.
27. Leland, H., and D. Pyle. 1977. Information Asymmetries, Financial Structure, and Financial Intermediation. Journal of Finance 32:371-87.
28. Loutskina, E., and P. E. Strahan. 2008. Informed and Uninformed Investment in Housing: The Downside of Diversification. Working Paper, SSRN.
29. Mayer, C., and K. Pence. 2008. Subprime Mortgages: What, Where, and to Whom? Working Paper, NBER.
30. Mian, A., and A. Sufi. 2009. The Consequences of Mortgage Credit Expansion: Evidence from the 2007 Mortgage Default Crisis. Quarterly Journal of Economics 124:1449-96.
31. Mishkin, F. S. 2008. On Leveraged Losses: Lessons from the Mortgage Meltdown. U.S. Monetary Policy Forum Speech, February 29.
32. Parlour, C., and G. Plantin. 2008. Loan Sales and Relationship Banking. Journal of Finance 63:1291-314.
33. Pennacchi, G. 1988. Loan Sales and the Cost of Bank Capital. Journal of Finance 43:375-96.
34. Petersen, M., and R. Rajan. 1994. The Benefits of Lending Relationships: Evidence from Small Business Data. Journal of Finance 49:3-37.
35. Purnanandam, A. 2007. Interest Rate Derivatives at Commercial Banks: An Empirical Investigation. Journal of Monetary Economics 54:1769-808.
36. Rajan, U., A. Seru, and V. Vig. 2009. The Failure of Models That Predict Failure: Distance, Incentives, and Defaults. Working Paper, University of Chicago.
37. Smith, C. W., and R. Stulz. 1985. The Determinants of Firms' Hedging Policies. Journal of Financial and Quantitative Analysis 28:391-405.
38. Song, F., and A. Thakor. 1997. Relationship Banking, Fragility, and the Asset-liability Matching Problem. Review of Financial Studies 20:2129-77.
39. Stein, J. 1998. An Adverse-selection Model of Bank Asset and Liability Management with Implications for the Transmission of Monetary Policy. RAND Journal of Economics 29:466-86.
40. -. 2002. Information Production and Capital Allocation: Decentralized versus Hierarchical Firms. Journal of Finance 57:1891-921. (Pubitemid 36932102)
41. Stulz, R. 1984. Optimal Hedging Policies. Journal of Financial and Quantitative Analysis 19:127-40.
42. Thakor, A. 1996. Capital Requirement, Monetary Policy, and Aggregate Bank Lending: Theory and Empirical Evidence. Journal of Finance 51:279-324.
43. Titman, S., and S. Tsyplakov. 2010. Originator Performance, CMBS Structures, and the Risk of Commercial Mortgages. Review of Financial Studies, 23:3558-94.
44. Tufano, P. 2003. Financial Innovations. In Handbook of the Economics of Finance, ed. George Constantinides, Milt Harris, and Rene Stulz. Amsterdam: North Holland.