1703431010
1703431011
[6]Leon Kendall,“Securitization
:A New Era in American Finance,” in A Primer on Securitization,ed.Leon Kendall and Michael Fishman （Cambridge,MA
:MIT Press,2000）.
1703431012
1703431013
[7]例如，可以参见 Claire Hill,“Who Were the Villains in the Subprime Crisis,and Why It Matters,” Entrepreneurial Business Law Journal 4 （2010）
:323-50。她提到：“20世纪90年代晚期，华尔街就开始对那些无法获得‘优质’信贷的借款人所获得的住房抵押贷款证券化。发放的这类住房抵押贷款在所有发放的住房抵押贷款中占比还是很小的，但情况很快发生了变化。”
1703431014
1703431015
[8]Adam Levitin and Susan Wachter,“Explaining the Housing Bubble,” Georgetown Law Journal 100 （2012）
:1177-258.
1703431016
1703431017
[9]Joshua Coval,Jakub Jurek,and Erik Stafford,“The Economics of Structured Finance,”Journal of Economic Perspectives 23 （2009）
:3-25.
1703431018
1703431019
[10]Coval,Jurek,and Stafford,“The Economics of Structured Finance.”
1703431020
1703431021
[11]这是《经济学人》文章所给的标题，该文介绍了我们2008年2月研究的内容。参见the Economist,“Chain of Fools,” February 7,2008。
1703431022
1703431023
[12]Benjamin Keys,T.Mukherjee,Amit Seru,and Vikrant Vig,“Did Securitization Lead to Lax Screening?
:Evidence from Subprime Loans,” Quarterly Journal of Economics 125 （2010）
:307-62.
1703431024
1703431025
[13]Christopher Mayer,Karen Pence,and Shane Sherlund,“The Rise in Mortgage Defaults,” Journal of Political Economy 23 （2009）
:27-50。本文提供了进一步支持，他们“发现承销情况从几个方面开始恶化：在给借款人发放的贷款中，贷款首付非常少，收入或资产证明很少甚或完全没有。
1703431026
1703431027
[14]Tomasz Piskorski,Amit Seru,and James Witkin,“Asset Quality Misrepresentation by Financial Intermediaries
:Evidence from RMBS Market” （working paper,Columbia Business School,Columbia University,February 12,2013）.
1703431028
1703431029
[15]Adam Ashcraft ,Paul GoldsmithPinkham,and James Vickery,“MBS Ratings and the Mortgage Credit Boom,” Federal Reserve Bank of New York Staff Report #449,May 2010.
1703431030
1703431031
[16]Piskorski,Seru,and Witkin,“Asset Quality Misrepresentation.”
1703431032
1703431033
[17]Yuliya Demyanyk and Otto Van Hemert,“Understanding the Subprime Mortgage Crisis,” Review of Financial Studies 24 （2011）
:1848-80.
1703431034
1703431035
[18]这个估计数是基于ABX指数，它跟踪MBS的价值，这些住房抵押贷款是2007年发放的。
1703431036
1703431037
第8章
1703431038
1703431039
[1]Daniel Altman,“Charles P.Kindleberger,92,Global Economist,Is Dead,” New York Times,July 9,2003.
1703431040
1703431041
[2]Robert Solow,foreword to Manias,Panics,and Crashes
:A History of Financial Crises,5th ed.,by Charles Kindleberger and Robert Aliber （Hoboken,NJ
:John Wiley & Sons,2005）.
1703431042
1703431043
[3]Vernon Smith,Gerry Suchanek,and Arlington Williams,“Bubbles,Crashes and Endogenous Expectations in Experimental Spot Asset Markets,” Econometrica 56（1988）
:1119-51.
1703431044
1703431045
[4]Robert Shiller,“Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends?” American Economic Review 71 （1981）
:421-36.
1703431046
1703431047
[5]Jeffrey Pontiff ,“Excess Volatility and ClosedEnd Funds,” American Economic Review 87 （1997）
:155-69.
1703431048
1703431049
[6]David Porter and Vernon Smith,“Stock Market Bubbles in the Laboratory,”Journal of Behavioral Finance 4 （2003）
:7-20.
1703431050
1703431051
[7]参见下列研究的模型，它们描述了这一逻辑：Michael Harrison and David Kreps,“Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations,” Quarterly Journal of Economics 92 （1978）
:323-36; Jose Scheinkman and Wei Xiong,“Overconfidence and Speculative Bubbles,” Journal of Political Economy 111 （2003）
:1183-219; and Dilip Abreu and Markus Brunnermeier,“Bubbles and Crashes,” Econometrica 71 （2003）
:173-204。
1703431052
1703431053
[8]下面的讨论主要受到以下文章的启发：John Geanakoplos,“The Leverage Cycle,” in NBER Macroeconomic Annual 2009,vol.24,ed.Daron Acemoglu,Kenneth Rogoff,and Michael Woodford （Chicago
:University of Chicago Press,2010）,1-65。
1703431054
1703431055
[9]可以通过以下公式确认：100 × ＄125,000 = ＄12.5百万。
1703431056
1703431057
[10]See,for example, Edward Glaeser,Joshua Gottlieb,and Joseph Gyourko,“Can Cheap Credit Explain the Housing Boom?” （working paper no.16230,NBER,July 2010）.
1703431058
1703431059
[11]Nicola Gennaioli,Andrei Shleifer,and Robert Vishny,“Neglected Risks,Financial Innovation,and Financial Fragility,” Journal of Financial Economics 104 （2012）
:452-68.
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