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The Rise and Fall of Demand for Securitizations / Sergey Chernenko, Samuel G. Hanson, Adi Sunderam.
- Format:
- Book
- Author/Creator:
- Chernenko, Sergey.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w20777.
- NBER working paper series no. w20777
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2014.
- Summary:
- Collateralized debt obligations (CDOs) and private-label mortgage-backed securities (MBS) backed by nonprime loans played a central role in the recent financial crisis. Little is known, however, about the underlying forces that drove investor demand for these securitizations. Using micro-data on insurers' and mutual funds' bond holdings, we find considerable heterogeneity in investor demand for securitizations in the pre-crisis period. We argue that both investor beliefs and incentives help to explain this variation in demand. By contrast, our data paints a more uniform picture of investor behavior in the crisis. Consistent with theories of optimal liquidation, investors largely traded in more liquid securities such as government-guaranteed MBS to meet their liquidity needs during the crisis.
- Notes:
- Print version record
- December 2014.
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