{"title":"次贷繁荣时期信用风险定价不当对抵押贷款的影响","authors":"JAMES A. KAHN, BENJAMIN S. KAY","doi":"10.1111/jmcb.13103","DOIUrl":null,"url":null,"abstract":"<p>We provide new evidence that mispriced mortgage insurance shifted credit supply and contributed to the mortgage boom and bust of the early 2000s. Original data on private mortgage insurance premiums from 1999 to 2016 reveal that before 2008, premiums did not vary across loans with widely different indicators of default risk. We quantify the mispricing of premiums before 2008 and show that even allowing for more optimistic beliefs, the flat premium structure resulted in cross-subsidies and substantial adverse selection.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 5","pages":"1021-1052"},"PeriodicalIF":1.2000,"publicationDate":"2023-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The Impact of Credit Risk Mispricing on Mortgage Lending during the Subprime Boom\",\"authors\":\"JAMES A. KAHN, BENJAMIN S. KAY\",\"doi\":\"10.1111/jmcb.13103\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>We provide new evidence that mispriced mortgage insurance shifted credit supply and contributed to the mortgage boom and bust of the early 2000s. Original data on private mortgage insurance premiums from 1999 to 2016 reveal that before 2008, premiums did not vary across loans with widely different indicators of default risk. We quantify the mispricing of premiums before 2008 and show that even allowing for more optimistic beliefs, the flat premium structure resulted in cross-subsidies and substantial adverse selection.</p>\",\"PeriodicalId\":48328,\"journal\":{\"name\":\"Journal of Money Credit and Banking\",\"volume\":\"56 5\",\"pages\":\"1021-1052\"},\"PeriodicalIF\":1.2000,\"publicationDate\":\"2023-10-22\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Money Credit and Banking\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1111/jmcb.13103\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Money Credit and Banking","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/jmcb.13103","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
The Impact of Credit Risk Mispricing on Mortgage Lending during the Subprime Boom
We provide new evidence that mispriced mortgage insurance shifted credit supply and contributed to the mortgage boom and bust of the early 2000s. Original data on private mortgage insurance premiums from 1999 to 2016 reveal that before 2008, premiums did not vary across loans with widely different indicators of default risk. We quantify the mispricing of premiums before 2008 and show that even allowing for more optimistic beliefs, the flat premium structure resulted in cross-subsidies and substantial adverse selection.
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