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Title: | Do reputable issuers provide better-quality securitizations? |
Authors: | Deku, S Kara, A Marques-Ibanez, D |
Keywords: | mortgage-backed securities;issuer reputation;rating shopping |
Issue Date: | 1-Feb-2021 |
Publisher: | European Central Bank |
Citation: | Deku, S., Kara, A. and Marques-Ibanez, D. (2021) 'Do reputable issuers provide better-quality securitizations?', European Central Bank, Working Paper Series, (February 2021), pp. 1 - 36. doi: 10.2866/05138. |
Series/Report no.: | European Central Bank, Working Paper Series;No. 2236 |
Abstract: | We examine the link between issuer reputation and mortgage-backed security (MBS) performance using a sample of 4,247 European MBS issued between 1999 and 2007. We measure performance with credit rating downgrades and delinquencies and track their changes over the long term. We find that, overall, MBS sold by reputable issuers are collateralised by higher quality asset pools which have lower delinquency rates and are less likely to be downgraded. However, as credit standards declined during the boom period of 2005-2007, asset pools securitized by reputable issuers were of worse quality compared to those securitized by less reputable issuers. Therefore, reputation as a self-disciplining mechanism failed to incentivise the production of high quality securities during the credit boom. |
Description: | JEL Classification: G21; G24; G28 |
URI: | https://bura.brunel.ac.uk/handle/2438/27564 |
DOI: | https://doi.org/10.2866/05138 |
ISBN: | 978-92-899-3498-5 (PDF) |
ISSN: | 1561-0810 |
Other Identifiers: | ORCID iD: Alper Kara https://orcid.org/0000-0002-8560-0501 QB-AR-19-017-EN-N |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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FullText.pdf | Copyright © European Central Bank, 2019. All rights reserved. Any reproduction, publication and reprint in the form of a different publication, whether printed or produced electronically, in whole or in part, is permitted only with the explicit written authorisation of the ECB or the authors. This paper can be downloaded without charge from https://www.ecb.europa.eu, from the Social Science Research Network (https://ssrn.com/) electronic library or from RePEc: Research Papers in Economics (https://ideas.repec.org/s/ecb/ecbwps.html). Information on all of the papers published in the ECB Working Paper Series can be found on the ECB’s website: https://www.ecb.europa.eu/pub/research/working-papers/html/index.en.html . | 1.34 MB | Adobe PDF | View/Open |
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