Equilibrium Subprime Lending
构建了一个次级抵押贷款市场的均衡模型，为近期次级贷款的繁荣与萧条提供比较基准，解释了诱惑利率和违约聚集等现象。
ABSTRACT This paper develops an equilibrium model of a subprime mortgage market. Our goal is to offer a benchmark with which the recent subprime boom and bust can be compared. The model is tractable and delivers plausible orders of magnitude for borrowing capacities, as well as default and trading intensities. We offer simple explanations for several phenomena in the subprime market, such as the prevalence of teaser rates and the clustering of defaults. In our model, both nondiversifiable and diversifiable income risks reduce debt capacities. Thus, debt capacities need not be higher when a larger fraction of income risk is diversifiable.