Subprime borrowers, securitization and the transmission of business cycles
Volume: 52, Issue: 4, Pages: 1600 - 1654
Published: Nov 1, 2019
Abstract
A growing literature (e.g., Jaffee et al. 2009, Acharya and Schnabl 2009) argues that securitization improves financial stability if the securitized assets are held by capital market participants, rather than financial intermediaries. I construct a quantitative macroeconomic model with a novel specification for mortgage‐backed securities (MBS) to evaluate this claim. My findings suggest that the existence of the securitization market stabilizes...
Paper Details
Title
Subprime borrowers, securitization and the transmission of business cycles
Published Date
Nov 1, 2019
Volume
52
Issue
4
Pages
1600 - 1654
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