Securitization and house price growth

IF 2.3 3区经济学 Q2 ECONOMICS

Review of Economic Dynamics Pub Date : 2025-04-16 DOI:10.1016/j.red.2025.101287

Genevieve Nelson

引用次数: 0

Abstract

From 2000-2006 U.S. house prices and mortgage credit grew while the relative cost of mortgage credit fell – particularly for privately securitized mortgages – suggesting a credit supply expansion. This paper compares innovations in the securitization of mortgage credit (a credit supply shock) to other candidate credit supply shocks. I model a two-layered mortgage market. This generates a novel balance sheet effect: changes in aggregate mortgage credit quantity are linked to changes in mortgage spreads via the interaction of financially constrained commercial banks and mortgage securitizers. Innovation in securitization (a direct relaxation of the securitizers' financial constraint) matches mortgage market dynamics.

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证券化与房价增长

从2000年到2006年，美国房价和抵押贷款增长，而抵押贷款的相对成本下降，尤其是私人证券化抵押贷款，这表明信贷供应扩张。本文比较了抵押贷款证券化（一种信贷供给冲击）与其他候选信贷供给冲击的创新。我建立了一个两层抵押贷款市场模型。这产生了一种新的资产负债表效应：抵押贷款信贷总量的变化与抵押贷款息差的变化相关联，这是通过财务受限的商业银行和抵押贷款证券化机构之间的相互作用实现的。证券化的创新（直接放松了证券化机构的财务约束）与抵押贷款市场的动态相匹配。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Economic Dynamics ECONOMICS-

CiteScore

3.30

自引率

0.00%

发文量

期刊介绍： Review of Economic Dynamics publishes meritorious original contributions to dynamic economics. The scope of the journal is intended to be broad and to reflect the view of the Society for Economic Dynamics that the field of economics is unified by the scientific approach to economics. We will publish contributions in any area of economics provided they meet the highest standards of scientific research.