Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/59249 
Full metadata record
DC FieldValueLanguage
dc.contributor.authorBubb, Ryanen
dc.contributor.authorKaufman, Alexen
dc.date.accessioned2011-09-15-
dc.date.accessioned2012-06-20T16:10:08Z-
dc.date.available2012-06-20T16:10:08Z-
dc.date.issued2011-
dc.identifier.urihttp://hdl.handle.net/10419/59249-
dc.description.abstractMortgage originators use credit score cutoff rules to determine how carefully to screen loan applicants. Recent research has hypothesized that these cutoff rules result from a securitization rule of thumb. Under this theory, an observed jump in defaults at the cutoff would imply that securitization led to lax screening. We argue instead that originators adopted credit score cutoff rules in response to underwriting guidelines from Fannie Mae and Freddie Mac and offer a simple model that rationalizes such an origination rule of thumb. Under this alternative theory, jumps in default are not evidence that securitization caused lax screening. We examine loan-level data and find that the evidence is inconsistent with the securitization rule-of-thumb theory but consistent with the origination rule-of-thumb theory. There are jumps in the number of loans and in their default rate at credit score cutoffs in the absence of corresponding jumps in the securitization rate. We conclude that credit score cutoff rules provide evidence that large securitizers were to some extent able to regulate originators' screening behavior.en
dc.language.isoengen
dc.publisher|aFederal Reserve Bank of Boston |cBoston, MAen
dc.relation.ispartofseries|aPublic Policy Discussion Papers |x11-6en
dc.subject.jelD82en
dc.subject.jelG01en
dc.subject.jelG18en
dc.subject.jelG21en
dc.subject.jelG24en
dc.subject.jelG28en
dc.subject.ddc330en
dc.subject.keywordfinancial crisisen
dc.subject.keywordmoral hazarden
dc.subject.keywordmortgagesen
dc.subject.keywordsecuritizationen
dc.subject.keywordcredit scoresen
dc.subject.stwSecuritizationen
dc.subject.stwMoral Hazarden
dc.subject.stwAsymmetrische Informationen
dc.subject.stwSubprime-Hypotheken
dc.subject.stwKreditwürdigkeiten
dc.subject.stwFinanzmarktkriseen
dc.subject.stwTheorieen
dc.subject.stwUSAen
dc.titleSecuritization and moral hazard: Evidence from credit score cutoff rules-
dc.typeWorking Paperen
dc.identifier.ppn668371129en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

Files in This Item:
File
Size
632.19 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.