The Consequences of Mortgage Credit Expansion: Evidence from the U.S. Mortgage Default Crisis
利用美国邮政编码级数据，发现2007年抵押贷款违约激增在次贷借款人集中的地区尤为严重，且这些地区在违约前经历了抵押贷款信贷的异常增长，而收入增长却相对甚至绝对下降，这种信贷与收入的脱钩与次贷证券化密切相关。
We conduct a within-county analysis using detailed ZIP code-level data to document new findings regarding the origins of the biggest financial crisis since the Great Depression. The sharp increase in mortgage defaults in 2007 is significantly amplified in subprime ZIP codes, or ZIP codes with a disproportionately large share of subprime borrowers as of 1996. Prior to the default crisis, these subprime ZIP codes experience an unprecedented relative growth in mortgage credit. The expansion in mortgage credit from 2002 to 2005 to subprime ZIP codes occurs despite sharply declining relative (and in some cases absolute) income growth in these neighborhoods. In fact, 2002 to 2005 is the only period in the past eighteen years in which income and mortgage credit growth are negatively correlated. We show that the expansion in mortgage credit to subprime ZIP codes and its dissociation from income growth is closely correlated with the increase in securitization of subprime mortgages. (c) 2009 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology..