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What Determine Mortgage Yield Spreads in Australia? Credit Criteria, Funding Channels and the Market Condition

  • Benjamin Liu
  • Donghui Li
  • Eduardo Roca

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File URL: https://www120.secure.griffith.edu.au/research/items/9ec75be6-77ca-9bbd-2a33-c4825393ede6/1/2009-01-what-determines-mortgage-yield-spreads-in-australia.pdf
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Paper provided by Griffith University, Department of Accounting, Finance and Economics in its series Discussion Papers in Finance with number finance:200901.

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Date of creation: Jan 2009
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Handle: RePEc:gri:fpaper:finance:200901
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Web page: http://www.griffith.edu.au/business-commerce/griffith-business-school/departments/department-accounting-finance-economics

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  1. David Besanko & Anjan V. Thakor, 2004. "Competitive Equilibrium in the Credit Market under Asymmetric Information," Finance 0411045, EconWPA.
  2. Ambrose, Brent W. & Buttimer, Richard Jr., 2005. "GSE impact on rural mortgage markets," Regional Science and Urban Economics, Elsevier, vol. 35(4), pages 417-443, July.
  3. Gary Gorton & Nicholas S. Souleles, 2005. "Special purpose vehicles and securitization," Working Papers 05-21, Federal Reserve Bank of Philadelphia.
  4. Gorton, Gary B. & Pennacchi, George G., 1995. "Banks and loan sales Marketing nonmarketable assets," Journal of Monetary Economics, Elsevier, vol. 35(3), pages 389-411, June.
  5. Black, Deborah G & Garbade, Kenneth D & Silber, William L, 1981. "The Impact of the GNMA Pass-through Program on FHA Mortgage Costs," Journal of Finance, American Finance Association, vol. 36(2), pages 457-69, May.
  6. Brent W. Ambrose & Michael LaCour-Little & Anthony B. Sanders, 2004. "The Effect of Conforming Loan Status on Mortgage Yield Spreads: A Loan Level Analysis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 32(4), pages 541-569, December.
  7. Peter M. DeMarzo, 2005. "The Pooling and Tranching of Securities: A Model of Informed Intermediation," Review of Financial Studies, Society for Financial Studies, vol. 18(1), pages 1-35.
  8. Benjamin Liu & Michael Skully, 2008. "The impact of securitisation and structural changes of the Australian mortgage markets on bank pricing behaviour," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 1(2), pages 149-167.
  9. James Kau & Luke Peters, 2005. "The Effect of Mortgage Price and Default Risk on Mortgage Spreads," The Journal of Real Estate Finance and Economics, Springer, vol. 30(3), pages 285-295, April.
  10. Claire A. Hill, 1997. "Securitization: A Low-Cost Sweetener For Lemons," Journal of Applied Corporate Finance, Morgan Stanley, vol. 10(1), pages 64-71.
  11. Liu, Benjamin & Skully, Michael, 2005. "The determinants of mortgage yield spread differentials: Securitization," Journal of Multinational Financial Management, Elsevier, vol. 15(4-5), pages 314-333, October.
  12. Dennis R. Capozza & Dick Kazarian & Thomas A. Thomson, 1997. "Mortgage Default in Local Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(4), pages 631-655.
  13. Allen N. Berger & Gregory F. Udell, 1988. "Collateral, loan quality, and bank risk," Finance and Economics Discussion Series 51, Board of Governors of the Federal Reserve System (U.S.).
  14. Kau James B. & Keenan Donald C. & Kim Taewon, 1994. "Default Probabilities for Mortgages," Journal of Urban Economics, Elsevier, vol. 35(3), pages 278-296, May.
  15. Chan, Yuk-Shee & Kanatas, George, 1985. "Asymmetric Valuations and the Role of Collateral in Loan Agreements," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 17(1), pages 84-95, February.
  16. Edward M. Iacobucci & Ralph A. Winter, 2005. "Asset Securitization and Asymmetric Information," The Journal of Legal Studies, University of Chicago Press, vol. 34(1), pages 161-206, 01.
  17. Bester, Helmut, 1985. "Screening vs. Rationing in Credit Markets with Imperfect Information," American Economic Review, American Economic Association, vol. 75(4), pages 850-55, September.
  18. Stiglitz, Joseph E & Weiss, Andrew, 1981. "Credit Rationing in Markets with Imperfect Information," American Economic Review, American Economic Association, vol. 71(3), pages 393-410, June.
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