Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/208270 
Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
ECB Working Paper No. 2236
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
We examine the link between issuer reputation and mortgage-backed security (MBS) performance using a sample of 4,247 European MBS issued between 1999 and 2007. We measure performance with credit rating downgrades and delinquencies and track their changes over the long term. We find that, overall, MBS sold by reputable issuers are collateralised by higher quality asset pools which have lower delinquency rates and are less likely to be downgraded. However, as credit standards declined during the boom period of 2005-2007, asset pools securitized by reputable issuers were of worse quality compared to those securitized by less reputable issuers. Therefore, reputation as a self-disciplining mechanism failed to incentivise the production of high quality securities during the credit boom.
Schlagwörter: 
Mortgage-backed securities
issuer reputation
rating shopping
JEL: 
G21
G24
G28
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-3498-5
Dokumentart: 
Working Paper

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