CDO market implosion and the pricing of subprime mortgage-backed securities

被引：11

作者：

Deng, Yongheng ^{[1
]}

Gabriel, Stuart A. ^{[2
]}

Sanders, Anthony B. ^{[3
]}

机构：

[1] Natl Univ Singapore, Inst Real Estate Studies, Singapore 119613, Singapore

[2] Univ Calif Los Angeles, Anderson Sch Management, Los Angeles, CA 90095 USA

[3] George Mason Univ, Sch Management, Fairfax, VA 22030 USA

来源：

JOURNAL OF HOUSING ECONOMICS | 2011年 / 20卷 / 02期

关键词：

Collateralized debt obligations; Subprime crisis; Yield spreads on mortgage-backed securities; CORPORATE YIELD SPREADS; CREDIT SPREADS; LIQUIDITY; DEFAULT; RISK; DETERMINANTS; STOCKS; MODEL;

D O I：

10.1016/j.jhe.2010.10.001

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We evaluate the effects of CDO issuance on the pricing of subprime residential mortgage-backed securities. Upon controlling for mortgage option values and other well-established determinants of credit spreads, GMM results indicate that the emergence and rapid capitalization of the subprime-backed CDO market was associated with a significant tightening of subprime MBS-Treasury yield spreads. Results of VAR and other robustness tests serve to corroborate the findings. Dynamic simulation based on the impulse response function estimates indicates substantial subprime MBS spread widening in the wake of the recent implosion in the CDO market. Research findings suggest the importance of supply/demand shocks associated with innovations in derivative securities markets to the pricing of securitized subprime debt. (C) 2010 Elsevier Inc. All rights reserved.

引用

页码：68 / 80

页数：13

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