Mortgage rates and credit risk: Evidence from mortgage pools
研究了1992-2015年间抵押贷款利率随贷款和借款人特征的变化，发现2003年后次级贷款风险溢价下降直至金融危机爆发时消失，且次级利率的加载因子与违约率和房价运动存在协整关系。
Abstract In the 1990s, securitised subprime loans supported the growth of mortgage lending. We study the evolution of initial mortgage rates as a function of loan and borrower characteristics during 1992–2015. We compare the evolution of initial rates on securitised subprime mortgages with rates of prime privately securitised mortgages, mortgages securitised by government‐sponsored enterprises, and nonsecuritised mortgages. Starting in 2003 the risk premium on subprime loans decreases until it disappears at the onset of the Global Financial Crisis. We find that loading factors on subprime rates are cointegrated with delinquencies and house price movements, providing evidence of the important role of the subprime market.