| |
(1)
|
(2)
|
(3)
|
(4)
|
|---|
|
Spread
|
0.057***
|
0.014
|
0.057***
|
0.011
|
| |
(0.014)
|
(0.016)
|
(0.014)
|
(0.017)
|
|
Credit bubble
|
4.558***
|
2.654***
| | |
| |
(0.871)
|
(0.985)
| | |
|
Credit bubble × spread
| |
0.086***
| | |
| | |
(0.026)
| | |
|
Housing bubble
| | |
− 0.113
|
− 2.475***
|
| | | |
(0.326)
|
(0.594)
|
|
Housing bubble × spread
| | | |
0.112***
|
| | | | |
(0.023)
|
|
Weighted average life
|
1.204***
|
1.095***
|
1.203***
|
1.067***
|
| |
(0.125)
|
(0.132)
|
(0.125)
|
(0.134)
|
|
Controls for
| | | | |
|
Years
|
Yes
|
Yes
|
Yes
|
Yes
|
|
Observations
|
1412
|
1412
|
1412
|
1412
|
|
Pseudo R-squared
|
0.142
|
0.151
|
0.142
|
0.146
|
- This table reports ordered logit regressions of the Downgrades Magnitude of European RMBS tranches on the log of initial yield spreads and credit ratings. The sample includes all AAA-rated floating tranches issued between 1999 and June 2007. Credit Bubble equals to 1 if the deal is issued during the boom period of 2005 and the first half of 2007. Housing Bubble equals to 1 if the deal is issued during the bubble period in the issuance country. Spread is the quoted spreads at issuance in excess of the benchmark, i.e. Euribor. Weighted Average Life of a bond is computed as the weighted average time until each monetary unit of principal remains outstanding. Credit Rating is a factor variable controlling for the fixed effect of individual credit rating indicators at the tranche level. Time is a factor variable consisting of the issuance periods annually. Standard errors in parentheses are clustered at the deal level
- ∗∗∗, ∗∗, and ∗ represent significance at the 1%, 5%, and 10% levels, respectively
