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Journal Article
Underwriting on subprime mortgages: what really happened?
Sengupta, Rajdeep; Noeth, Bryan J. (2010-01)
How did poor underwriting bring about the collapse of the subprime mortgage market? More importantly, how would subprime mortgages perform if underwriting standards did not deteriorate?
Central Banker , Issue Win

Working Paper
Liquidity problems and early payment default among subprime mortgages
Anderson, Nathan B.; Dokko, Jane K. (2011)
The lack of property tax escrow accounts among subprime mortgages causes borrowers to make large lump-sum tax payments that reduce liquidity. Different property tax collection dates across states and counties create exogenous variation in the time between loan origination and the first property tax due date, affording the opportunity to estimate the causal effect of loan-level exposure to liquidity reductions on mortgage default. We find that a nine-month delay in owing property taxes reduces the probability of first-year default by about 4 percent, or about one-third of the effect of a ...
Finance and Economics Discussion Series , Paper 2011-09

Working Paper
Subprime mortgages, foreclosures, and urban neighborhoods
Willen, Paul S.; Gerardi, Kristopher (2009)
This paper analyzes the impact of the subprime mortgage crisis on urban neighborhoods in Massachusetts. We explore the topic using a data set that matches race and income information from Home Mortgage Disclosure Act data with property-level, transaction data from Massachusetts Registry of Deeds offices. With these data, we show that much of the subprime lending in the state was concentrated in urban neighborhoods and that minority homeownerships created with subprime mortgages have proved exceptionally unstable in the face of rapid price declines. The evidence in Massachusetts suggests that ...
FRB Atlanta Working Paper , Paper 2009-01

Working Paper
The effect of neighborhood contagion on mortgage selection
Sengupta, Rajdeep; Hernandez-Murillo, Ruben (2011)
In this paper we conduct an empirical investigation of how neighborhood mortgage adoption contagion affects mortgage product choice, with an emphasis on Hispanic borrowers. We use loan-level mortgage data for metropolitan areas in California and Florida during 2004 and 2005, the peak years of the subprime mortgage boom. We identify an important and statistically significant effect of contagion on consumer choice of hybrid mortgage products that were popular during this period, especially for Hispanic borrowers.
Working Papers , Paper 2011-036

Conference Paper
An outlook for subprime mortgages
Sherlund, Shane M. (2008)
Proceedings , Paper 1075

Journal Article
Residential Foreclosures in Texas Depart from National Trends
Di, Wenhua (2008)
Since 2005, mortgage delinquencies and foreclosures across the U.S. have escalated from historically low levels. In Texas, the number of foreclosures has been among the highest in the nation. However, Texas has the second-largest population among the 50 states and a large number of home mortgages. Its foreclosure rate as a percentage of total mortgages has not ranked high.
e-Perspectives , Volume 8 , Issue 2

Discussion Paper
Subprime facts: what (we think) we know about the subprime crisis and what we don’t
Willen, Paul S.; Goette, Lorenz; Gerardi, Kristopher S.; Foote, Christopher L. (2008)
Using a variety of datasets, we document some basic facts about the current subprime crisis. Many of these facts are applicable to the crisis at a national level, while some illustrate problems relevant only to Massachusetts and New England. We conclude by discussing some outstanding questions about which the data, we believe, are not yet conclusive.
Public Policy Discussion Paper , Paper 08-2

Speech
Fostering sustainable homeownership: a speech at the National Community Reinvestment Coalition Annual Meeting, Washington, D.C., March 14, 2008
Bernanke, Ben S. (2008)
Speech , Paper 384

Working Paper
Mortgage contract choice in subprime mortgage markets
Hwang, Min; Elliehausen, Gregory E. (2010)
The boom in the subprime mortgage market yielded many loans with high LTV ratios. From a large proprietary database on subprime mortgages, we find that choice of mortgage rate type is not linear in loan sizes. A fixed rate mortgage contract is a popular choice when loan size, measured by LTV ratio, is small. As LTV ratio increases, borrowers become more likely to choose adjustable rate mortgage contracts. However, when LTV reaches a certain level, borrowers start to switch back to fixed rate contracts. For these high LTV loans, fixed rate mortgages dominate borrowers' choices. We present a ...
Finance and Economics Discussion Series , Paper 2010-53

Report
Understanding the securitization of subprime mortgage credit
Ashcraft, Adam B.; Schuermann, Til (2008)
In this paper, we provide an overview of the subprime mortgage securitization process and the seven key informational frictions that arise. We discuss the ways that market participants work to minimize these frictions and speculate on how this process broke down. We continue with a complete picture of the subprime borrower and the subprime loan, discussing both predatory borrowing and predatory lending. We present the key structural features of a typical subprime securitization, document how rating agencies assign credit ratings to mortgage-backed securities, and outline how these agencies ...
Staff Reports , Paper 318

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