摘要：One of the roots of the recent global financial crisis has been seen in the design of subprimemortgage contract leading to high sensitivity of such type of loans to house pricechanges. The market of subprime loans, especially in the last years preceding the crisis,has been highly financed by securitization. The paper investigates how borrowers withsubprime characteristics influence the transmission mechanism of business cycles in theeconomy and whether the securitization of subprime loans has a positive effect on theeconomy. The formal setup is a DSGE model with different types of borrowers and banksacting as financial intermediaries, in which households and entrepreneurs borrow againsthousing collateral. The economy is subject to four shocks: monetary, inflationary, preferenceand technology. It is shown that the existence of subprime borrowers makes theeconomy more responsive to different shocks and that under certain circumstances thesecuritization of subprime loans (in form of residential mortgage backed securities) maylead to amplification of the business cycles.
关键词：Subprime Borrowers; Securitization; Financial Intermediation; Great Recession
