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Author Dell'Ariccia, Giovanni, author

Title Credit Booms and Lending Standards : Evidence from the Subprime Mortgage Market / prepared by Giovanni Dell'Ariccia, Deniz Igan, and Luc Laeven
Published Washington, D.C. : International Monetary Fund, 2008
Online access available from:
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Description 1 online resource (37 pages)
Series IMF working paper ; WP/08/106
IMF working paper ; WP/08/106
Contents I. Introduction; II. Related Literature; III. Data and Descriptive Statistics; IV. Empirical Methodology; V. Empirical Findings; A. Effects of Changes in the Pool of Applicant Borrowers; B. Identification and Robustness Issues; C. Sensitivity Analysis: Time and Size Effects; D. Effects of Entry and Changes in Market Structure; E. Alternative Proxies for Lending Standards; F. Effects of Loan Sales; VI. Discussion and Conclusions; References; Tables; 1. Coverage in HMDA; 2. Definitions and Sources of Variables; 3. Summary Statistics; 4. Evolution of Denial Rates
5. Determinants of Denial Decision6. Prediction Errors; 7. Robustness; 8. Time and Size Effects; 9. Market and Boom Size; 10. Market Entry and Denial Rates of Incumbents in Prime and Subprime Markets; 11. Alternative Measures of Lending Standards; 12. Securitization, Lending Standards, and Mortgage Market Expansion; Figures; 1. House Prices and Credit Booms; 2. Subprime Mortgage Boom Across the Nation; 3. House Prices and Credit Boom; 4. Lending Standards and Subprime Credit Boom
Summary This paper links the current sub-prime mortgage crisis to a decline in lending standards associated with the rapid expansion of this market. We show that lending standards declined more in areas that experienced larger credit booms and house price increases. We also find that the underlying market structure mattered, with entry of new, large lenders triggering declines in lending standards by incumbent banks. Finally, lending standards declined more in areas with higher mortgage securitization rates. The results are consistent with theoretical predictions from recent financial accelerator models based on asymmetric information, and shed light on the relationship between credit booms and financial instability
Notes Available in PDF, ePUB, and Mobi formats on the Internet
Bibliography Includes bibliographical references
Subject Credit -- United States -- Econometric models.
Credit -- United States.
Moral hazard -- United States -- Econometric models.
Form Electronic book
Author Igan, Deniz, author
Laeven, Luc, author
International Monetary Fund.
ISBN 1451914210