COMPUTATIONAL SOCIAL SCIENCE

Department of Computational Social Science Thesis Proposals/Defenses

Thursday, July 7 - 10:30 a.m.
Research Hall (formerly, Research 1), Room 302

Securitization in the Housing Market: An Analysis of the United States Economy from 2000 to 2010

Jonathan Goldstein
CSS PhD Student
George Mason University

In almost all accounts of the crisis, securitization—the practice of packaging loans into pools and selling assets to investors backed by these loans—plays an important role. However, authors differ according to the degree to which they assign blame for the crisis on securitization and to which aspects of mortgage loan securitization are most troublesome. For my dissertation, I propose to construct an agent-based model to study the following question: how did the securitization of mortgage loans influence the existence and magnitude of the financial crisis in the United States? My dissertation will consist of five elements: (1) an empirical analysis of the crisis; (2) an abstract conceptual model; (3) a housing market model; (4) an extension to the model in (3) to add in securitization; and (5) an extension to (4) to add in a notional real economy. (1) and (3) will be completed as part of project on which I am collaborating with another graduate student and a number of professors. (4) will be the most important contribution coming from my dissertation, and I have already built an initial version of this model. I believe I can finish the dissertation in 12 months, but also provide an 18 month schedule as risk mitigation. My other risk mitigations are to cut out elements of the dissertation, and to relax standards on model validation. Finally, I will know the dissertation is complete when I have the material for one or more journal articles in respectable journals.