Ten Years Gone - Post-Financial Crisis Research Projects
Posted: 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.
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.