JOURNAL ARTICLE

Mortgage rates and credit risk: Evidence from mortgage pools.

  • Published In: European Financial Management, 2024, v. 30, n. 5. P. 2658 1 of 3

  • Database: Business Source Ultimate 2 of 3

  • Authored By: Antinolfi, Gaetano; Brunetti, Celso; Im, Jay 3 of 3

Abstract

In the 1990s, securitised subprime loans supported the growth of mortgage lending. We study the evolution of initial mortgage rates as a function of loan and borrower characteristics during 1992–2015. We compare the evolution of initial rates on securitised subprime mortgages with rates of prime privately securitised mortgages, mortgages securitised by government‐sponsored enterprises, and nonsecuritised mortgages. Starting in 2003 the risk premium on subprime loans decreases until it disappears at the onset of the Global Financial Crisis. We find that loading factors on subprime rates are cointegrated with delinquencies and house price movements, providing evidence of the important role of the subprime market. [ABSTRACT FROM AUTHOR]

Additional Information

  • Source:European Financial Management. 2024/11, Vol. 30, Issue 5, p2658
  • Document Type:Article
  • Subject Area:Politics and Government
  • Publication Date:2024
  • ISSN:1354-7798
  • DOI:10.1111/eufm.12486
  • Accession Number:180703691
  • Copyright Statement:Copyright of European Financial Management is the property of Wiley-Blackwell and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

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