Review of Finance Vol. 27 No. 2 2023

A Quarter Century of Mortgage Risk

Morris A. Davis¹; William D Larson²; Stephen D. Oliner³; Benjamin R Smith⁴

¹ Rutgers University , Newark, NJ, · ² Federal Housing Finance Agency , Washington, DC, · ³ American Enterprise Institute , Washington, DC, · ⁴ University of Pennsylvania , Philadelphia, PA,

Abstract

This article provides a comprehensive history of default risk for newly originated home mortgages in the USA over the past quarter century. The loan-level source data include the entire guarantee book for Fannie Mae and Freddie Mac. We track many loan characteristics and produce a summary measure of risk. Among our many results, we show that mortgage risk had already risen in the 1990s, planting seeds of the financial crisis well before the actual event. Our results also cast doubt on explanations of the crisis that focus on borrowers with low credit scores. The aggregate series are available for download at https://www.fhfa.gov/papers/wp1902.aspx.

DOI

10.1093/rof/rfac034

Volume

27

Issue

2

Pages

581-618

Language

en

Sources

bibtex:phds-export.bib openalex crossref

Cite

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