Safe and Liquid Mortgage Bonds: Evidence from the Danish Housing Crash of 2008

Jens Dick-Nielsen, Jacob Gyntelberg, Jesper Lund

Publikation: KonferencebidragPaperForskningpeer review

Abstrakt

This paper shows that strict match pass-through funding of covered bonds provides safe and liquid mortgage bonds. Despite a 30% drop in house prices during the 2008 global crisis Danish mortgage bonds remained as liquid as most European government bonds. The Danish pass-through system effectively eliminates credit risk from the investor's perspective. Similar to other safe bonds, funding liquidity becomes the main driver of mortgage bond liquidity and this creates commonality in liquidity across markets and countries. These findings have implications for how to design a robust mortgage bond system and for the treatment of covered bonds in capital regulation.
OriginalsprogEngelsk
Publikationsdato2016
Antal sider60
StatusUdgivet - 2016
BegivenhedThe 43rd European Finance Association Annual Meeting (EFA 2016) - BI Norwegian Business School, Oslo, Norge
Varighed: 17 aug. 201620 aug. 2016
Konferencens nummer: 43
http://www.efa2016.org/

Konference

KonferenceThe 43rd European Finance Association Annual Meeting (EFA 2016)
Nummer43
LokationBI Norwegian Business School
LandNorge
ByOslo
Periode17/08/201620/08/2016
Internetadresse

Emneord

  • Mortgage bonds
  • Covered bonds
  • Housing crisis
  • Market design
  • Banking regulation
  • Financial intermediation

Citationsformater