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Credit scoring and mortgage securitization: do they lower mortgage rates?

Heuson, Andrea; Passmore, Wayne; Sparks, Roger - Federal Reserve Board (Board of Governors of the … - 2000

originators. The securitizer sets the price at which it will purchase mortgages and the credit score standard that qualifies a …

Persistent link: https://www.econbiz.de/10005721145

GSEs, mortgage rates, and the long-run effects of mortgage securitization

Passmore, Wayne; Sparks, Roger; Ingpen, Jamie - Federal Reserve Board (Board of Governors of the … - 2001

illustrating that market structure, government sponsorship, and the characteristics of the mortgages securitized are all important … enhancements needed in the private sector. Using our simulation model, we demonstrate that when mortgages eligible for purchase by … the GSEs have characteristics similar to other mortgages, then implicit government backing generates differences in …

Persistent link: https://www.econbiz.de/10005394027

Exchange rates, optimal debt composition, and hedging in small open economies

Berrospide, Jose - Federal Reserve Board (Board of Governors of the … - 2008

This paper develops a model of the firm's choice between debt denominated in local currency and that denominated in foreign currency in a small open economy characterized by exchange rate risk and hedging possibilities. The model shows that the currency composition of debt and the level of...

Persistent link: https://www.econbiz.de/10005721030

Corporate hedging, investment and value

Berrospide, Jose M.; Purnanandam, Amiyatosh; Rajan, Uday - Federal Reserve Board (Board of Governors of the … - 2008

We consider the effect of hedging with foreign currency derivatives on Brazilian firms in the period 1997 through 2004, a period that includes the Brazilian currency crisis of 1999. We find that, derivative users have valuations that are 6.7-7.8% higher than non-user firms. Hedging with currency...

Persistent link: https://www.econbiz.de/10005721044

Do nonfinancial firms use interest rate derivatives to hedge?

Covitz, Daniel; Sharpe, Steven A. - Federal Reserve Board (Board of Governors of the … - 2005

We compile and analyze detailed information on the debt structure and interest rate derivative positions of nonfinancial firms in 2000 and 2002. We find that differences in debt structure across firms and time tend to be counterbalanced by difference in derivative positions. In particular, among...

Persistent link: https://www.econbiz.de/10005393897

Which Way to Recovery? Housing Market Outcomes and the Neighborhood Stabilization Program

Schuetz, Jenny; Spader, Jonathan; Buell, Jennifer Lewis; … - Federal Reserve Board (Board of Governors of the … - 2015

To help communities recover from the foreclosure crisis, Congress enacted a set of policies known as the Neighborhood Stabilization Program (NSP). NSP's objective was to mitigate the impact of foreclosures on neighboring properties, through reducing the stock of distressed properties and...

Persistent link: https://www.econbiz.de/10011273696

Foreclosing on opportunity: state laws and mortgage credit

Pence, Karen M. - Federal Reserve Board (Board of Governors of the … - 2003

Foreclosure laws govern the rights of borrowers and lenders when borrowers default on mortgages. Many states protect … laws by demanding larger mortgages. I examine empirically the effect of the laws on equilibrium loan size. I exploit the …

Persistent link: https://www.econbiz.de/10005720984

The Community Reinvestment Act and the profitability of mortgage-oriented banks

Canner, Glenn; Passmore, Wayne - Federal Reserve Board (Board of Governors of the … - 1997

The Community Reinvestment Act (CRA) requires lenders "to help meet the credit needs of the local communities in which they are chartered, consistent with the safe and sound operation of such institutions.'' For proponents of efficient markets, the CRA is a threat to lender profitability. For...

Persistent link: https://www.econbiz.de/10005721018

The GSE implicit subsidy and the value of government ambiguity

Passmore, Wayne - Federal Reserve Board (Board of Governors of the … - 2005

The housing-related government-sponsored enterprises Fannie Mae and Freddie Mac (the "GSEs") have an ambiguous relationship with the federal government. Most purchasers of the GSEs' debt securities believe that this debt is implicitly backed by the U.S. government despite the lack of a legal...

Persistent link: https://www.econbiz.de/10005721041

Does mortgage hedging amplify movements in long-term interest rates?

Perli, Roberto; Sack, Brian - Federal Reserve Board (Board of Governors of the … - 2003

rate implied by swaptions increases when the prepayment risk of outstanding mortgages increases--most likely because …

Persistent link: https://www.econbiz.de/10005721064

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