The Review of Economics and Statistics

نویسندگان

  • Wei Jiang
  • Ashlyn Aiko Nelson
  • Edward Vytlacil
چکیده

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 lowerquality 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 fulland low-documentation mortgages is due to unobservable heterogeneity, about half of it potentially due to income falsification.

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تاریخ انتشار 2014