Credit Booms and Lending Standards : Evidence From the Subprime Mortgage Market / Giovanni Dell'Ariccia, Luc Laeven, Deniz Igan.

Format:

Book

Government document

Author/Creator:

Dell'Ariccia, Giovanni.

Contributor:

Igan, Deniz.

Laeven, Luc.

Series:

IMF Working Papers; Working Paper ; No. 2008/106

IMF working paper ; WP/08/106

IMF Working Papers

Language:

English

Subjects (All):

Credit--United States.

Credit.

Credit--United States--Econometric models.

Moral hazard--United States--Econometric models.

Moral hazard.

Physical Description:

1 online resource (39 p.)

Edition:

1st ed.

Place of Publication:

Washington, D.C. : International Monetary Fund, 2008.

Language Note:

English

Summary:

This paper links the current sub-prime mortgage crisis to a decline in lending standards associated with the rapid expansion of this market. We show that lending standards declined more in areas that experienced larger credit booms and house price increases. We also find that the underlying market structure mattered, with entry of new, large lenders triggering declines in lending standards by incumbent banks. Finally, lending standards declined more in areas with higher mortgage securitization rates. The results are consistent with theoretical predictions from recent financial accelerator models based on asymmetric information, and shed light on the relationship between credit booms and financial instability.

Contents:

Contents; I. Introduction; II. Related Literature; III. Data and Descriptive Statistics; IV. Empirical Methodology; V. Empirical Findings; A. Effects of Changes in the Pool of Applicant Borrowers; B. Identification and Robustness Issues; C. Sensitivity Analysis: Time and Size Effects; D. Effects of Entry and Changes in Market Structure; E. Alternative Proxies for Lending Standards; F. Effects of Loan Sales; VI. Discussion and Conclusions; References; Tables; 1. Coverage in HMDA; 2. Definitions and Sources of Variables; 3. Summary Statistics; 4. Evolution of Denial Rates

5. Determinants of Denial Decision6. Prediction Errors; 7. Robustness; 8. Time and Size Effects; 9. Market and Boom Size; 10. Market Entry and Denial Rates of Incumbents in Prime and Subprime Markets; 11. Alternative Measures of Lending Standards; 12. Securitization, Lending Standards, and Mortgage Market Expansion; Figures; 1. House Prices and Credit Booms; 2. Subprime Mortgage Boom Across the Nation; 3. House Prices and Credit Boom; 4. Lending Standards and Subprime Credit Boom

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on online resource; title from PDF front page (ebrary, viewed February 25, 2014).

ISBN:

9786612840616

9781462305353

1462305350

9781452799537

1452799539

9781451869675

1451869673

9781282840614

1282840614

OCLC:

815741252