Regime changes in sub-prime margins under the US housing bubble
Risk-based pricing is an alignment of loan risk pricing with expected loan risk – charging a higher interest rate for higher risk (Yezer, 2002). This article shows systematic relaxation of risk pricing for sub-prime loans during the US housing bubble, a period that extended from 2001 to 2006. For ex...
- Autores:
-
Sarmiento, Camilo
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2009
- Institución:
- Escuela Colombiana de Ingeniería Julio Garavito
- Repositorio:
- Repositorio Institucional ECI
- Idioma:
- eng
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https://repositorio.escuelaing.edu.co/
- Palabra clave:
- Hipotecas - Estados Unidos
Créditos
Préstamos
Préstamos hipotecarios
Mortgages - United States
Credits
Loans
Mortgage loans
- Rights
- closedAccess
- License
- http://purl.org/coar/access_right/c_14cb
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Regime changes in sub-prime margins under the US housing bubble |
| title |
Regime changes in sub-prime margins under the US housing bubble |
| spellingShingle |
Regime changes in sub-prime margins under the US housing bubble Hipotecas - Estados Unidos Créditos Préstamos Préstamos hipotecarios Mortgages - United States Credits Loans Mortgage loans |
| title_short |
Regime changes in sub-prime margins under the US housing bubble |
| title_full |
Regime changes in sub-prime margins under the US housing bubble |
| title_fullStr |
Regime changes in sub-prime margins under the US housing bubble |
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Regime changes in sub-prime margins under the US housing bubble |
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Regime changes in sub-prime margins under the US housing bubble |
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Sarmiento, Camilo |
| dc.contributor.author.none.fl_str_mv |
Sarmiento, Camilo |
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Centro de Estudios Económicos |
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Hipotecas - Estados Unidos Créditos Préstamos Préstamos hipotecarios Mortgages - United States Credits Loans Mortgage loans |
| topic |
Hipotecas - Estados Unidos Créditos Préstamos Préstamos hipotecarios Mortgages - United States Credits Loans Mortgage loans |
| description |
Risk-based pricing is an alignment of loan risk pricing with expected loan risk – charging a higher interest rate for higher risk (Yezer, 2002). This article shows systematic relaxation of risk pricing for sub-prime loans during the US housing bubble, a period that extended from 2001 to 2006. For example, an identical loan, but having different vintages is shown to have significantly lower premiums in 2005 than in 2003. Strikingly, for a given credit risk, estimation results show a premium reduction of 60 basis points in sub-prime originations from 2003 to 2005. |
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Universidad Escuela Colombiana de Ingeniería Julio Garavito |
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eng |
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eng |
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2099 |
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Applied Financial Economics |
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Ambrose, B. and Sanders, A. (2005) Legal restrictions in personal loan markets, The Journal of Real Estate Finance and Economics, 30, 133–51. Bostic, R. W. (2002) Trends in equal access to credit products, in The Impact of Credit Policy on Consumer Credit (Eds) T. Durkin and M. Staten, Kluwer, MA, pp. 172–202. Calem, P. S., Gillen, K. and Wachter, S. (2004) The neighborhood distribution of subprime mortgage lending, Journal of Real Estate Finance and Economics, 29, 393–410. Chinloy, P. and MacDonald, N. (2005) Subprime lenders and mortgage market competition, The Journal of Real Estate Finance and Economics, 30, 153–65. Chomsisengphet, S. and Pennington-Cross, A. (2006) The evolution of the subprime mortgage market, Federal Server Bank of St. Louis Review, 88, 31–56. Danis, A. D. and Pennington-Cross, A. (2005) The delinquency of subprime mortgages, Federal Reserve Bank of St. Louis, Working Paper, Series 2005-022A. Freeman, L. and Hamilton, D. (2002) A dream deferred of realized, AEA Proceeding 92. Harrison, G. W. (1998) Mortgage lending in Boston: a reconsideration of the evidence, Economic Inquiry, 36, 29–38. Johnson, K. (2002) Consumer loan securitization, in The Impact of Credit Policy on Consumer Credit (Eds) T. Durkin and M. Staten, Kluwer, MA, pp. 287–306 Sarmiento, C. (2006) Statistical analysis of municipal bond ratings under spatial correlation, Applied Financial Economics Letters, 2, 233–7. Stiglitz, J. E. and Weiss, A. (1981) Credit rationing in markets with imperfect information, American Economics Review, 71, 393–410. The Economist (2007) The trouble in the housing market, 24–30 March, pp. 76–81. White, A. M. (2004) Risk based mortgage pricing: present and future research, Housing Policy Debate, 15, 503–33. Williamson, S. D. (1987) Costly monitoring, loan contracts, and equilibrium credit rationing, The Quarterly Journal of Economics, 102, 135–45. Yezer, A. (2002) Discussion of trends in equal access to credit products, in The Impact of Credit Policy on Consumer Credit (Eds) T. Durkin and M. Staten, Kluwer, MA, pp. 203–5. |
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Sarmiento, Camiloa48a67bcfacaaa8d4773d8fd3f6d85acCentro de Estudios Económicos2023-12-13T13:07:21Z2023-12-13T13:07:21Z20090960–3107https://repositorio.escuelaing.edu.co/handle/001/27591466–4305Universidad Escuela Colombiana de Ingeniería Julio GaravitoRepositorio Digitalhttps://repositorio.escuelaing.edu.co/Risk-based pricing is an alignment of loan risk pricing with expected loan risk – charging a higher interest rate for higher risk (Yezer, 2002). This article shows systematic relaxation of risk pricing for sub-prime loans during the US housing bubble, a period that extended from 2001 to 2006. For example, an identical loan, but having different vintages is shown to have significantly lower premiums in 2005 than in 2003. Strikingly, for a given credit risk, estimation results show a premium reduction of 60 basis points in sub-prime originations from 2003 to 2005.La fijación de precios basada en el riesgo es una alineación de la fijación del precio del riesgo crediticio con el riesgo crediticio esperado: cobrar una tasa de interés más alta por un riesgo más alto (Yezer, 2002). Este artículo muestra una relajación sistemática de la valoración del riesgo para los préstamos de alto riesgo durante la burbuja inmobiliaria de EE. UU., un período que se extendió de 2001 a 2006. Por ejemplo, se ha demostrado que un préstamo idéntico, pero con diferentes vencimientos, tiene primas significativamente más bajas en 2005 que en 2003. Sorprendentemente, para un riesgo crediticio determinado, los resultados de las estimaciones muestran una reducción de la prima de 60 puntos básicos en las originaciones de alto riesgo entre 2003 y 2005.9 páginasapplication/pdfengRoutledge Taylor and Francis GroupEstados Unidoshttps://www.tandfonline.com/doi/abs/10.1080/09603100701857898Regime changes in sub-prime margins under the US housing bubbleArtículo de revistainfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1Textinfo:eu-repo/semantics/articlehttp://purl.org/coar/version/c_970fb48d4fbd8a852099182317519Applied Financial EconomicsAmbrose, B. and Sanders, A. (2005) Legal restrictions in personal loan markets, The Journal of Real Estate Finance and Economics, 30, 133–51.Bostic, R. W. (2002) Trends in equal access to credit products, in The Impact of Credit Policy on Consumer Credit (Eds) T. Durkin and M. Staten, Kluwer, MA, pp. 172–202.Calem, P. S., Gillen, K. and Wachter, S. (2004) The neighborhood distribution of subprime mortgage lending, Journal of Real Estate Finance and Economics, 29, 393–410.Chinloy, P. and MacDonald, N. (2005) Subprime lenders and mortgage market competition, The Journal of Real Estate Finance and Economics, 30, 153–65.Chomsisengphet, S. and Pennington-Cross, A. (2006) The evolution of the subprime mortgage market, Federal Server Bank of St. Louis Review, 88, 31–56.Danis, A. D. and Pennington-Cross, A. (2005) The delinquency of subprime mortgages, Federal Reserve Bank of St. Louis, Working Paper, Series 2005-022A.Freeman, L. and Hamilton, D. (2002) A dream deferred of realized, AEA Proceeding 92.Harrison, G. W. (1998) Mortgage lending in Boston: a reconsideration of the evidence, Economic Inquiry, 36, 29–38.Johnson, K. (2002) Consumer loan securitization, in The Impact of Credit Policy on Consumer Credit (Eds) T. Durkin and M. Staten, Kluwer, MA, pp. 287–306Sarmiento, C. (2006) Statistical analysis of municipal bond ratings under spatial correlation, Applied Financial Economics Letters, 2, 233–7.Stiglitz, J. E. and Weiss, A. (1981) Credit rationing in markets with imperfect information, American Economics Review, 71, 393–410.The Economist (2007) The trouble in the housing market, 24–30 March, pp. 76–81.White, A. M. (2004) Risk based mortgage pricing: present and future research, Housing Policy Debate, 15, 503–33.Williamson, S. D. (1987) Costly monitoring, loan contracts, and equilibrium credit rationing, The Quarterly Journal of Economics, 102, 135–45.Yezer, A. (2002) Discussion of trends in equal access to credit products, in The Impact of Credit Policy on Consumer Credit (Eds) T. Durkin and M. Staten, Kluwer, MA, pp. 203–5.info:eu-repo/semantics/closedAccesshttp://purl.org/coar/access_right/c_14cbHipotecas - Estados UnidosCréditosPréstamosPréstamos hipotecariosMortgages - United StatesCreditsLoansMortgage loansTEXTRegime changes in sub-prime margins under the US housing bubble.pdf.txtRegime changes in sub-prime margins under the US housing bubble.pdf.txtExtracted texttext/plain25997https://repositorio.escuelaing.edu.co/bitstream/001/2759/4/Regime%20changes%20in%20sub-prime%20margins%20under%20the%20US%20housing%20bubble.pdf.txt97495c92282c000fa3130a9c7d135648MD54open accessTHUMBNAILportada Regime changes in sub-prime margins under the us housing bubble.JPGportada Regime changes in sub-prime margins under the us housing bubble.JPGimage/jpeg147425https://repositorio.escuelaing.edu.co/bitstream/001/2759/3/portada%20Regime%20changes%20in%20sub-prime%20margins%20under%20the%20us%20housing%20bubble.JPG22c00cd2252be5fce7df92e7bb42bc8cMD53open accessRegime changes in sub-prime margins under the US housing bubble.pdf.jpgRegime changes in sub-prime margins under the US housing bubble.pdf.jpgGenerated Thumbnailimage/jpeg13748https://repositorio.escuelaing.edu.co/bitstream/001/2759/5/Regime%20changes%20in%20sub-prime%20margins%20under%20the%20US%20housing%20bubble.pdf.jpg4ec64e80b1e9752d9f6a7dfd4ac4feb6MD55metadata only accessLICENSElicense.txtlicense.txttext/plain; charset=utf-81881https://repositorio.escuelaing.edu.co/bitstream/001/2759/2/license.txt5a7ca94c2e5326ee169f979d71d0f06eMD52open accessORIGINALRegime changes in sub-prime margins under the US housing bubble.pdfRegime changes in sub-prime margins under the US housing bubble.pdfapplication/pdf112474https://repositorio.escuelaing.edu.co/bitstream/001/2759/1/Regime%20changes%20in%20sub-prime%20margins%20under%20the%20US%20housing%20bubble.pdf44beed15eac7ab66e88e356d9ac48b4eMD51metadata only access001/2759oai:repositorio.escuelaing.edu.co:001/27592024-07-28 03:00:45.676metadata only accessRepositorio Escuela Colombiana de Ingeniería Julio Garavitorepositorio.eci@escuelaing.edu.coU0kgVVNURUQgSEFDRSBQQVJURSBERUwgR1JVUE8gREUgUEFSRVMgRVZBTFVBRE9SRVMgREUgTEEgQ09MRUNDScOTTiAiUEVFUiBSRVZJRVciLCBPTUlUQSBFU1RBIExJQ0VOQ0lBLgoKQXV0b3Jpem8gYSBsYSBFc2N1ZWxhIENvbG9tYmlhbmEgZGUgSW5nZW5pZXLDrWEgSnVsaW8gR2FyYXZpdG8gcGFyYSBwdWJsaWNhciBlbCB0cmFiYWpvIGRlIGdyYWRvLCBhcnTDrWN1bG8sIHZpZGVvLCAKY29uZmVyZW5jaWEsIGxpYnJvLCBpbWFnZW4sIGZvdG9ncmFmw61hLCBhdWRpbywgcHJlc2VudGFjacOzbiB1IG90cm8gKGVuICAgIGFkZWxhbnRlIGRvY3VtZW50bykgcXVlIGVuIGxhIGZlY2hhIAplbnRyZWdvIGVuIGZvcm1hdG8gZGlnaXRhbCwgeSBsZSBwZXJtaXRvIGRlIGZvcm1hIGluZGVmaW5pZGEgcXVlIGxvIHB1YmxpcXVlIGVuIGVsIHJlcG9zaXRvcmlvIGluc3RpdHVjaW9uYWwsIAplbiBsb3MgdMOpcm1pbm9zIGVzdGFibGVjaWRvcyBlbiBsYSBMZXkgMjMgZGUgMTk4MiwgbGEgTGV5IDQ0IGRlIDE5OTMsIHkgZGVtw6FzIGxleWVzIHkganVyaXNwcnVkZW5jaWEgdmlnZW50ZQphbCByZXNwZWN0bywgcGFyYSBmaW5lcyBlZHVjYXRpdm9zIHkgbm8gbHVjcmF0aXZvcy4gRXN0YSBhdXRvcml6YWNpw7NuIGVzIHbDoWxpZGEgcGFyYSBsYXMgZmFjdWx0YWRlcyB5IGRlcmVjaG9zIGRlIAp1c28gc29icmUgbGEgb2JyYSBlbiBmb3JtYXRvIGRpZ2l0YWwsIGVsZWN0csOzbmljbywgdmlydHVhbDsgeSBwYXJhIHVzb3MgZW4gcmVkZXMsIGludGVybmV0LCBleHRyYW5ldCwgeSBjdWFscXVpZXIgCmZvcm1hdG8gbyBtZWRpbyBjb25vY2lkbyBvIHBvciBjb25vY2VyLgpFbiBtaSBjYWxpZGFkIGRlIGF1dG9yLCBleHByZXNvIHF1ZSBlbCBkb2N1bWVudG8gb2JqZXRvIGRlIGxhIHByZXNlbnRlIGF1dG9yaXphY2nDs24gZXMgb3JpZ2luYWwgeSBsbyBlbGFib3LDqSBzaW4gCnF1ZWJyYW50YXIgbmkgc3VwbGFudGFyIGxvcyBkZXJlY2hvcyBkZSBhdXRvciBkZSB0ZXJjZXJvcy4gUG9yIGxvIHRhbnRvLCBlcyBkZSBtaSBleGNsdXNpdmEgYXV0b3LDrWEgeSwgZW4gY29uc2VjdWVuY2lhLCAKdGVuZ28gbGEgdGl0dWxhcmlkYWQgc29icmUgw6lsLiBFbiBjYXNvIGRlIHF1ZWphIG8gYWNjacOzbiBwb3IgcGFydGUgZGUgdW4gdGVyY2VybyByZWZlcmVudGUgYSBsb3MgZGVyZWNob3MgZGUgYXV0b3Igc29icmUgCmVsIGRvY3VtZW50byBlbiBjdWVzdGnDs24sIGFzdW1pcsOpIGxhIHJlc3BvbnNhYmlsaWRhZCB0b3RhbCB5IHNhbGRyw6kgZW4gZGVmZW5zYSBkZSBsb3MgZGVyZWNob3MgYXF1w60gYXV0b3JpemFkb3MuIEVzdG8gCnNpZ25pZmljYSBxdWUsIHBhcmEgdG9kb3MgbG9zIGVmZWN0b3MsIGxhIEVzY3VlbGEgYWN0w7phIGNvbW8gdW4gdGVyY2VybyBkZSBidWVuYSBmZS4KVG9kYSBwZXJzb25hIHF1ZSBjb25zdWx0ZSBlbCBSZXBvc2l0b3JpbyBJbnN0aXR1Y2lvbmFsIGRlIGxhIEVzY3VlbGEsIGVsIENhdMOhbG9nbyBlbiBsw61uZWEgdSBvdHJvIG1lZGlvIGVsZWN0csOzbmljbywgCnBvZHLDoSBjb3BpYXIgYXBhcnRlcyBkZWwgdGV4dG8sIGNvbiBlbCBjb21wcm9taXNvIGRlIGNpdGFyIHNpZW1wcmUgbGEgZnVlbnRlLCBsYSBjdWFsIGluY2x1eWUgZWwgdMOtdHVsbyBkZWwgdHJhYmFqbyB5IGVsIAphdXRvci5Fc3RhIGF1dG9yaXphY2nDs24gbm8gaW1wbGljYSByZW51bmNpYSBhIGxhIGZhY3VsdGFkIHF1ZSB0ZW5nbyBkZSBwdWJsaWNhciB0b3RhbCBvIHBhcmNpYWxtZW50ZSBsYSBvYnJhIGVuIG90cm9zIAptZWRpb3MuRXN0YSBhdXRvcml6YWNpw7NuIGVzdMOhIHJlc3BhbGRhZGEgcG9yIGxhcyBmaXJtYXMgZGVsIChsb3MpIGF1dG9yKGVzKSBkZWwgZG9jdW1lbnRvLiAKU8OtIGF1dG9yaXpvIChhbWJvcykK |