The Impact of the 2007 Liquidity Shock on Bank Jumbo Mortgage Lending

Autor:	Jason Wu, Francisco Covas, Paul S. Calem
Rok vydání:	2013
Předmět:	Economics and Econometrics Liquidity shock Accounting Financial crisis Value (economics) Economics Capital requirement Financial system Securitization Secondary market Security market Finance
Zdroj:	Journal of Money, Credit and Banking. 45:59-91
ISSN:	0022-2879
DOI:	10.1111/jmcb.12037
Popis:	This paper explores the consequences of the collapse of the private-label residential mortgage-backed securities market in 2007 on banks’ originations of jumbo mortgages. We show that jumbo lending declined by more at banks that were more dependent on this market and were less well capitalized. In contrast, banks that had little dependence on this market and were well capitalized increased jumbo originations. These findings highlight how dependence on the secondary market may cause amplification of financial shocks, and the potential value of capital requirements that are higher during periods of economic growth in mitigating the amplification effects.
Databáze:	OpenAIRE
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