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1、JournalofHousingEconomics20(2011)68–80ContentslistsavailableatScienceDirectJournalofHousingEconomicsjournalhomepage:www.elsevier.com/locate/jhecCDOmarketimplosionandthepricingofsubprimeqmortgage-backedsecuritiesa,⇑bcYonghengDeng,StuartA.Gabriel,AnthonyB.SandersaInstituteof
2、RealEstateStudies,NationalUniversityofSingapore,21HengMuiKengTerrace,#04-02,Singapore119613,SingaporebUCLA,AndersonSchoolofManagement,110WestwoodPlaza,EntrepreneursHallSuite412,LosAngeles,CA90095-1481,USAcSchoolofManagement,GeorgeMasonUniversity,4400UniversityDrive,Fairfax
3、,VA22030,USAarticleinfoabstractArticlehistory:WeevaluatetheeffectsofCDOissuanceonthepricingofsubprimeresidentialmortgage-Availableonline9November2010backedsecurities.Uponcontrollingformortgageoptionvaluesandotherwell-establisheddeterminantsofcreditspreads,GMMresultsindicat
4、ethattheemergenceandrapidcapi-JELclassifications:talizationofthesubprime-backedCDOmarketwasassociatedwithasignificanttighteningR31ofsubprimeMBS–Treasuryyieldspreads.ResultsofVARandotherrobustnesstestsserveG10tocorroboratethefindings.Dynamicsimulationbasedontheimpulseresponsef
5、unctionG12estimatesindicatessubstantialsubprimeMBSspreadwideninginthewakeoftherecentG01implosionintheCDOmarket.Researchfindingssuggesttheimportanceofsupply/demandKeywords:shocksassociatedwithinnovationsinderivativesecuritiesmarketstothepricingofsecu-Collateralizeddebtobliga
6、tionsritizedsubprimedebt.SubprimecrisisÓ2010ElsevierInc.Allrightsreserved.Yieldspreadsonmortgage-backedsecurities1.IntroductionTheloanstosubprimeborrowersandthe‘‘Alt-A’’loansweretypicallysoldtosecondarymarketparticipantsratherThesubprimecrisisandthehousingbubbleanditsthanb
7、eingkeptonbankbalancesheets.Inordertounder-bursthavehadprofoundrepercussionsontheworldecon-standthefinancialcrisis,itisimportanttounderstandtheomy.Inparticular,thedownsideofthehousingbubblehascollateralizeddebtobligation(CDO)marketwhichallowedproduced(coupledwithrisingunemp
8、loyment)increasedthesubprimeandAlt-Amortgagemarketsgrowdramati-foreclosuresandfurtherdown
