The Consequences of Mortgage Credit Expansion: Evidence from the U.S. Mortgage Default Crisis
The Consequences of Mortgage Credit Expansion: Evidence from the U.S. Mortgage Default Crisis
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DOI：
10.2139/ssrn.1072304
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发表时间：
2008-12
期刊：
影响因子：
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通讯作者：
Atif R. Mian;Amir Sufi
中科院分区：
文献类型：
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作者：
Atif R. Mian;Amir Sufi
我们证明，由非中介化驱动的抵押贷款供应的快速扩张解释了最近美国房价上涨和随后的抵押贷款违约的很大一部分。我们通过利用20世纪90年代中期潜在的抵押贷款需求不同的邮政编码，确定了抵押贷款信贷供应变化的影响。从2001年到2005年，高潜在需求的邮政编码经历了拒绝率的大幅相对下降，抵押贷款的增加以及房价升值的增加，尽管这些邮政编码在这段时间内经历了显着的相对收入和就业增长。高潜在需求的邮政编码的这些模式是由发起人在发起后不久出售的贷款比例的急剧相对增加驱动的，这一过程我们称之为“非中介化”。“从2001年到2005年，非中介化驱动的抵押贷款供应增加到高潜在需求的邮政编码，导致随后从2005年到2007年抵押贷款违约大幅增加。我们的研究结果表明，代表发起人出售抵押贷款的道德风险是美国抵押贷款违约危机的罪魁祸首。
We demonstrate that a rapid expansion in the supply of mortgages driven by disintermediation explains a large fraction of recent U.S. house price appreciation and subsequent mortgage defaults. We identify the effect of shifts in the supply of mortgage credit by exploiting within-county variation across zip codes that differed in latent demand for mortgages in the mid 1990s. From 2001 to 2005, high latent demand zip codes experienced large relative decreases in denial rates, increases in mortgages originated, and increases in house price appreciation, despite the fact that these zip codes experienced significantly negative relative income and employment growth over this time period. These patterns for high latent demand zip codes were driven by a sharp relative increase in the fraction of loans sold by originators shortly after origination, a process which we refer to as "disintermediation." The increase in disintermediation-driven mortgage supply to high latent demand zip codes from 2001 to 2005 led to subsequent large increases in mortgage defaults from 2005 to 2007. Our results suggest that moral hazard on behalf of originators selling mortgages is a main culprit for the U.S. mortgage default crisis.