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The dynamics of adjustable-rate subprime mortgage default : a structural estimation

Fang, Hanming; Kim, You Suk; Li, Wenli - 2015

We present a dynamic structural model of subprime adjustable-rate mortgage (ARM) borrowers making payment decisions taking into account possible consequences of different degrees of delinquency from their lenders. We empirically implement the model using unique data sets that contain information...

Persistent link: https://www.econbiz.de/10011499436

The effects of mortgage credit availability : evidence from minimum credit score lending rules

Laufer, Steven; Paciorek, Andrew - 2016

Since the housing bust and financial crisis, mortgage lenders have introduced progressively higher minimum thresholds for acceptable credit scores. Using loan-level data, we document the introduction of these thresholds, as well as their effects on the distribution of newly originated mortgages....

Persistent link: https://www.econbiz.de/10011579119

The impact of the current expected credit loss standard (CECL) on the timing and comparability of reserves

Chae, Sarah; Sarama, Robert F.; Vojtech, Cindy M.; … - 2018

The new forward-looking credit loss provisioning standard, CECL, is intended to promote proactive provisioning as loan loss reserves can be conditioned on expectations of the economic cycle. We study the degree to which one modeling decisionâ€“expectations about the path of future house...

Persistent link: https://www.econbiz.de/10011927112

The marginal effect of government mortgage guarantees on homeownership

Grundl, Serafin; Kim, You Suk - 2019

The U.S. government guarantees a majority of residential mortgages, which is often justified as a means to promote homeownership. In this paper we use property-level data to estimate the effect of government mortgage guarantees on homeownership, by exploiting variation of the conforming loan...

Persistent link: https://www.econbiz.de/10012179046

The impact of credit risk mispricing on mortgage lending during the subprime boom

Kahn, James A.; Kay, Benjamin S. - 2019

, premiums did not vary across loans with widely different observable characteristics that we show were predictors of default … risk. Then, using a set of post-crisis insurance premiums to fit a model of default behavior, and allowing for time …-varying expectations about house price appreciation, we quantify the mispricing of default risk in premiums prior to 2008. We show that the …

Persistent link: https://www.econbiz.de/10012181334

Policy uncertainty and bank mortgage credit

Kara, Gazi I.; Yook, Youngsuk - 2019

We document that banks reduce supply of jumbo mortgage loans when policy uncertainty increases as measured by the timing of US gubernatorial elections in banks' headquarter states. The reduction is larger for more uncertain elections. We utilize high-frequency, geographically granular loan data...

Persistent link: https://www.econbiz.de/10012182102

Consumer mistakes and advertising : the case of mortgage refinancing

Grundl, Serafin; Kim, You Suk - 2017

Does advertising help consumers to find the products they need or push them to buy products they don't need? In this paper, we study the effects of advertising on consumer mistakes and quantify the resulting effect on consumer welfare in the market for mortgage refinancing. Mortgage borrowers...

Persistent link: https://www.econbiz.de/10011710049

Improving the 30-year fixed-rate mortgage

Passmore, Stuart Wayne; Haften, Alexander H. von - 2017 - Current draft 8/18/2017

The 30-year fixed-rate fully amortizing mortgage (or "traditional fixed-rate mortgage") was a substantial innovation when first developed during the Great Depression. However, it has three major flaws. First, because homeowner equity accumulates slowly during the first decade, homeowners are...

Persistent link: https://www.econbiz.de/10011802976

Measuring mortgage credit availability : a frontier estimation approach

Anenberg, Elliot; Hizmo, Aurel; Kung, Edward; Molloy, … - 2017

We construct a new measure of mortgage credit availability that describes the maximum amount obtainable by a borrower of given characteristics. We estimate this "loan frontier" using mortgage originations data from 2001 to 2014 and show that it reflects a binding borrowing constraint. Our...

Persistent link: https://www.econbiz.de/10011803181

Bank failures, capital buffers, and exposure to the housing market bubble

Kara, Gazi I.; Vojtech, Cindy M. - 2017

We empirically document that banks with greater exposure to high home price-to-income ratio regions in 2005 and 2006 have higher mortgage delinquency and charge-off rates and significantly higher probabilities of failure during the last financial crisis even after controlling for capital,...

Persistent link: https://www.econbiz.de/10011803674