Article ID Journal Published Year Pages File Type
962777 Journal of Housing Economics 2011 13 Pages PDF
Abstract
► We evaluate the effects of CDO issuance on the pricing of subprime mortgage-backed securities. ► The surge of subprime-backed CDO market was associated with a significant tightening of subprime yield spreads. ► Substantial subprime MBS spread widened in the wake of implosion in the CDO market. ► Supply/demand shocks associated with financial innovations are important to the pricing of securitized subprime debt.
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Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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CDO market implosion and the pricing of subprime mortgage-backed securities
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