Equilibrium Subprime Lending

This paper develops an equilibrium model of a subprime mortgage market. Our goal is to offer a benchmark with which the recent subprime boom and bust can be compared. The model is tractable and delivers plausible orders of magnitude for borrowing capacities, as well as default and trading intensitie...

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Bibliographic details
Volume: 68
Main Author: MAKAROV, IGOR
PLANTIN, GUILLAUME
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: HOBOKEN Blackwell Publishing Ltd 01.06.2013
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published in: The Journal of finance (New York) Vol. 68; no. 3; pp. 849 - 879
Data of publication: 2013-06
ISSN: 0022-1082
1540-6261
EISSN: 1540-6261
Discipline: Business
Economics
Bibliography: Makarov is with London Business School and Plantin is with Toulouse School of Economics. We thank the Editor (Cam Harvey), an anonymous referee, Andrea Buffa, Joao Cocco, Harold Cole, Bernard Dumas, Stéphane Guibaud, Atif Mian, Tomasz Piskorski, Nagpurnanand Prabhala, Oleg Rytchkov, Andrei Shleifer, Harald Uhlig, Vikrant Vig, and seminar participants at Berkeley, Columbia, The Federal Reserve Bank of Richmond, Free University of Brussels, Hautes Etudes Commerciales Lausanne, Kellogg, London Business School, Princeton, Toulouse School of Economics, The Financial Intermediation Research Society Conference 2010 (Florence), the ESSET 2009 meetings (Gerzensee), the NBER Asset Pricing 2009 Stanford meetings, the North American Econometric Society 2009 Boston meetings, the Society for Economic Dynamics 2009 Istanbul meetings, and the Western Finance Association 2009 San Diego meetings for very helpful comments.
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Database: Istex
Web of Knowledge
Social Sciences Citation Index
Web of Science
Web of Science - Social Sciences Citation Index - 2013
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