Liquidity constraints, home equity and residential mortgage losses

Hung Xuan Do, Daniel Rosch & Harald Scheule
Residential mortgage loans are by far the most important asset class on banks’ balance sheets. US Federal Reserve Board data shows that US commercial banks held residential mortgage loans equivalent to 28.9% and 25% of their total assets as of October 2008 and April 2015 respectively. Mortgage credit risk is closely related to house prices. Moreover, it was considered to be low risk prior to the 2008 Global Financial Crisis (GFC). It has been found...
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