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Private Information in the Mortgage Market: Evidence and a Theory of Crises

In: Macroeconomic and Financial Stability: challenges for Monetary Policy

Author

Listed:
  • Robert Shimer

    (University of Chicago)

Abstract

A growing body of evidence suggests that private information is important in the mortgage-backed securities market. Recent research reconsiders the theory of how investors trade in the presence of private information. This paper summarizes the evidence and uses the new theoretical approach to explain how trade in mortgage-backed securities can collapse during a crisis.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Robert Shimer, 2014. "Private Information in the Mortgage Market: Evidence and a Theory of Crises," Central Banking, Analysis, and Economic Policies Book Series, in: Sofía Bauducco & Lawrence Christiano & Claudio Raddatz (ed.),Macroeconomic and Financial Stability: challenges for Monetary Policy, edition 1, volume 19, chapter 4, pages 117-150, Central Bank of Chile.
    • Handle: RePEc:chb:bcchsb:v19c04pp117-150
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    Cited by:

    1. Salomón García, 2022. "Mortgage securitization and information frictions in general equilibrium," Working Papers 2221, Banco de España.
    2. Robert E. Hall, 2014. "Trade with Asymmetric Information," Central Banking, Analysis, and Economic Policies Book Series, in: Sofía Bauducco & Lawrence Christiano & Claudio Raddatz (ed.),Macroeconomic and Financial Stability: challenges for Monetary Policy, edition 1, volume 19, chapter 5, pages 151-160, Central Bank of Chile.
    3. Garcia-Villegas, Salomon, 2023. "The amplification effects of adverse selection in mortgage credit supply," Journal of Housing Economics, Elsevier, vol. 62(C).

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