Liar's Loan? Effects of Origination Channel and Information Falsification on Mortgage Delinquency
利用一家大型抵押贷款银行的贷款数据，分析了2004-2008年间抵押贷款违约的两个原因：依赖贷款经纪人导致低质量贷款，以及低文件贷款（即“说谎者的贷款”）中的信息造假。
Abstract This paper presents an analysis of mortgage delinquency between 2004 and 2008 using a loan-level data set from a major national mortgage bank. Our analysis highlights two problems underlying the mortgage crisis: a reliance on mortgage brokers who tend to originate lower-quality loans and a prevalence of low-documentation loans—known in the industry as “liar's loans”—that result in borrower information falsification. While over three-quarters of the difference in delinquency rates between bank and broker channels can be attributed to observable loan and borrower characteristics, the delinquency difference between full- and low-documentation mortgages is due to unobservable heterogeneity, about half of it potentially due to income falsification.