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trackstar
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Ten Years Gone - Post-Financial Crisis Research Projects

February 12th, 2019, 1:45 am

So, if we more or less agree that the GFC spanned the 2007-2009 period, then this year marks the 10th anniversary of the "end" of the crisis.

Of course, that is not really true - "in my beginning is my end" as T. S. Eliot said (and vice versa), but for argument's sake....

This thread is for Fi crisis research, starting with mortgages, extending to various structured products, risk, regulation, and anything else that strikes your fancy.

Here are some useful datasets from the U.S.:

Freddie Mac - Single Family Loan Level Dataset

Fannie Mae Single Family Loan Performance Dataset

S&P CoreLogic Case-Shiller Home Price Indices

S&P CoreLogic Case-Shiller 20-City Composite Home Price NSA Index

Select considerations:

Regions and subregions - zip codes matter!

First-time home buyer data - experience matters!

ARMs (adjustable rate mortgages) - Time matters! Watch those ratchets!

Jumbo mortgages - size matters! 

The bigger the mortgage, the better rate you may get...to a point. 
But is the corollary - the higher you fly, the harder you fall?

You can pick the data and methodologies apart, and there are, of course, papers on SSRN on this topic. 

If we gather datasets from other countries, we could do some interesting post-crisis comparative work.
Last edited by trackstar on February 12th, 2019, 1:54 am, edited 1 time in total.
 
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Re: Ten Years Gone - Post-Financial Crisis Research Projects

February 12th, 2019, 1:49 am

Since this is the OT, the project will also have a theme song.

This is beautiful and fitting.
"Then as it was, then again it will be
And though the Fed may change sometimes
Rivers always reach the sea
Blind stars of fortune, each have several rays
On the wings of maybe, banking birds of prey
Kind of makes me feel sometimes, i-rates have to grow
And as the refis leave the nest, they've got so far to go..."
 
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Alan
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Re: Ten Years Gone - Post-Financial Crisis Research Projects

February 12th, 2019, 4:16 pm

I nominate a runner-up band (playing one of the best sets from Woodstock the movie):
 
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Re: Ten Years Gone - Post-Financial Crisis Research Projects

February 12th, 2019, 4:22 pm

Great song

And a half life of that
Five year UK gilts anyone?
 
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Cuchulainn
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Re: Ten Years Gone - Post-Financial Crisis Research Projects

February 12th, 2019, 4:52 pm

Alan,
you just pipped me to the post on 10 Years After
 
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Cuchulainn
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Re: Ten Years Gone - Post-Financial Crisis Research Projects

February 12th, 2019, 5:01 pm

 
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Alan
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Re: Ten Years Gone - Post-Financial Crisis Research Projects

February 13th, 2019, 3:37 am

Alan,
you just pipped me to the post on 10 Years After
Ha!  -- well, now I learned a new idiom.
 
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Cuchulainn
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Re: Ten Years Gone - Post-Financial Crisis Research Projects

February 13th, 2019, 10:53 am

The horsey crowd at the races use the term. We won 15 punt on that race.
 
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Cuchulainn
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Re: Ten Years Gone - Post-Financial Crisis Research Projects

February 13th, 2019, 11:06 am

Alan,
you just pipped me to the post on 10 Years After
Ha!  -- well, now I learned a new idiom.
Here is the best example thereof .. AFAIR ppauper once ran against JT.
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