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Prime or not so prime? An exploration of US housing finance in the new century

Author

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  • Allen Frankel

Abstract

Significant US house price appreciation in the last few years has greatly helped to enlarge the size and scope of secondary markets for securities backed by non-prime mortgage loans. But while many households now have access to loans which otherwise might not have been available, were housing market conditions to worsen, investors would face new issues in the valuation of mortgage-backed securities and possibly unanticipated risks.

Suggested Citation

  • Allen Frankel, 2006. "Prime or not so prime? An exploration of US housing finance in the new century," BIS Quarterly Review, Bank for International Settlements, March.
  • Handle: RePEc:bis:bisqtr:0603f
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    References listed on IDEAS

    as
    1. Nikola Tarashev, 2005. "Structural models of default: lessons from firm-level data," BIS Quarterly Review, Bank for International Settlements, September.
    2. Diana Hancock & Andreas Lehnert & Wayne Passmore & Shane M. Sherlund, 2005. "An analysis of the potential competitive impacts of Basel II capital standards on U.S. mortgage rates and mortgage securitization," Basel II White Paper 3, Board of Governors of the Federal Reserve System (U.S.).
    3. Robert B. Avery & Raphael W. Bostic & Paul S. Calem & Glenn B. Canner, 1996. "Credit risk, credit scoring, and the performance of home mortgages," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), pages 621-648.
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    Citations

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    Cited by:

    1. Vladimir Klyuev & Paul Mills, 2007. "Is Housing Wealth an “ATM”? The Relationship Between Household Wealth, Home Equity Withdrawal, and Saving Rates," IMF Staff Papers, Palgrave Macmillan, vol. 54(3), pages 539-561, July.
    2. Claudio Borio & Mathias Drehmann & Kostas Tsatsaronis, 2012. "Stress-testing macro stress testing: does it live up to expectations?," BIS Working Papers 369, Bank for International Settlements.
    3. Gary B. Gorton, 2008. "The Panic of 2007," NBER Working Papers 14358, National Bureau of Economic Research, Inc.
    4. Timothy Bisping & Hilde Patron, 2008. "Residential Investment and Business Cycles in an Open Economy: A Generalized Impulse Response Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 37(1), pages 33-49, July.
    5. Cúrdia, Vasco & Woodford, Michael, 2016. "Credit Frictions and Optimal Monetary Policy," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 30-65.
    6. Andreas Horsch, 2012. "Managerial Action And Financial Crisis," Polish Journal of Management Studies, Czestochowa Technical University, Department of Management, vol. 5(1), pages 7-33, June.
    7. Claudio Borio, 2010. "Ten propositions about liquidity crises," CESifo Economic Studies, CESifo, pages 70-95.
    8. Ben Cohen & Eli Remolona, 2008. "The Unfolding Turmoil of 2007–2008: Lessons and Responses," RBA Annual Conference Volume,in: Paul Bloxham & Christopher Kent (ed.), Lessons from the Financial Turmoil of 2007 and 2008 Reserve Bank of Australia.
    9. Borio, Claudio & Drehmann, Mathias & Tsatsaronis, Kostas, 2014. "Stress-testing macro stress testing: Does it live up to expectations?," Journal of Financial Stability, Elsevier, pages 3-15.
    10. Ingo Fender & Martin Scheicher, 2009. "The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices," Applied Financial Economics, Taylor & Francis Journals, pages 1925-1945.

    More about this item

    JEL classification:

    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • L89 - Industrial Organization - - Industry Studies: Services - - - Other

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