Arbeitspapier
The mortgage rate conundrum
We document the emergence of a disconnect between mortgage and Treasury interest rates in the summer of 2003. Following the end of the Federal Reserve expansionary cycle in June 2003, mortgage rates failed to rise according to their historical relationship with Treasury yields, leading to significantly and persistently easier mortgage credit conditions. We uncover this phenomenon by analyzing a large dataset with millions of loan-level observations, which allows us to control for the impact of varying loan, borrower and geographic characteristics. These detailed data also reveal that delinquency rates started to rise for loans originated after mid 2003, exactly when mortgage rates disconnected from Treasury yields and credit became relatively cheaper.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2017-23
- Klassifikation
-
Wirtschaft
- Thema
-
Credit boom
housing boom
securitization
private label
subprime
Hypothekenzins
Zins
Öffentliche Anleihe
Hypothek
Kreditmarkt
Wohnungsmarkt
Konjunktur
Verbriefung
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Justiniano, Alejandro
Primiceri, Giorgio E.
Tambalotti, Andrea
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of Chicago
- (wo)
-
Chicago, IL
- (wann)
-
2017
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Justiniano, Alejandro
- Primiceri, Giorgio E.
- Tambalotti, Andrea
- Federal Reserve Bank of Chicago
Entstanden
- 2017
Ähnliche Objekte (12)
The mortgage rate conundrum
Securitization and the fixed-rate mortgage
Mortgage interest rate dispersion in the euro area
The causal effect of house prices on mortgage demand and mortgage supply
The impact of the mortgage interest and capital deduction scheme on the Belgian mortgage market
Contagious mortgage default
Detecting mortgage delinquencies
Mortgage-backed securities
Understanding Mortgage Spreads
The role of refinancing in the interest rate pass-through to fixed-rate mortgage contracts
Stress testing the German mortgage market
Fracking and mortgage default
The mortgage rate conundrum
Securitization and the fixed-rate mortgage
Mortgage interest rate dispersion in the euro area
The causal effect of house prices on mortgage demand and mortgage supply
The impact of the mortgage interest and capital deduction scheme on the Belgian mortgage market
Contagious mortgage default
Detecting mortgage delinquencies
Mortgage-backed securities
Understanding Mortgage Spreads
The role of refinancing in the interest rate pass-through to fixed-rate mortgage contracts
Stress testing the German mortgage market
Fracking and mortgage default
The mortgage rate conundrum
Securitization and the fixed-rate mortgage
Mortgage interest rate dispersion in the euro area
The causal effect of house prices on mortgage demand and mortgage supply
The impact of the mortgage interest and capital deduction scheme on the Belgian mortgage market
Contagious mortgage default
Detecting mortgage delinquencies
Mortgage-backed securities
Understanding Mortgage Spreads
The role of refinancing in the interest rate pass-through to fixed-rate mortgage contracts
Stress testing the German mortgage market