The Mortgage Rate Conundrum
We document the emergence of a disconnect between mortgage and Treasury interest rates in the summer of 2003. Following the end of the Federal Reserve expansionary cycle in June 2003, [...]
Fintech, Regulatory Arbitrage, and the Rise of Shadow Banking
We study the rise of shadow banks in the largest consumer loan market in the US. The market share of shadow banks in originating residential mortgages nearly doubled from 2007-2015. [...]
Interest rate liberalization and capital adequacy in models of financial crises
We characterize the effects of interest rate liberalization on OECD banking crises, controlling for the standard macro prudential variables that prevail in the current literature. We use the Fraser Institute’s [...]
The effect of foreclosure laws on securitization: Evidence from U.S. states
A mortgage that defaults is more likely to enter foreclosure rather than renegotiation if it has been securitized in the private non-agency market, according to previous research. We study whether [...]
How to prevent mortgage default without skin in the game: Evidence from an integrated homeownership support nonprofit
We test the assumption that borrowers need sufficient “skin in the game”, or a large down payment, to perform well on their mortgages. To do so, we estimate the effects [...]
Liquidity crises in the mortgage market
Nonbanks originated about half of all mortgages in 2016, and 75% of mortgages insured by the FHA or VA. Both shares are much higher than those observed at any point [...]
Mortgage market design: Lessons from the Great Recession
Rigidity of mortgage contracts and a variety of frictions in design of the market and the intermediation sector hindered efforts to restructure or refinance household debt in the aftermath of [...]
Mortgage-Backed Securities and the Financial Crisis of 2008: a Post Mortem
We examine the payoff performance, up to the end of 2013, of non-agency residential mortgage-backed securities (RMBS), issued up to 2008. We have created a new and detailed data set [...]
Just Released: New York Fed Press Briefing Highlights Changes in Home Equity and How It’s Used
The Quarterly Report for the first quarter of 2018 shows a continued increase in debt balances, which rose $63 billion during the quarter, driven by increased mortgage balances (+$57 billion). [...]
Beyond Leveraged Losses: The Balance Sheet Effects of the Home Price Downturn
This paper quantifies the impact of declining home prices, increasing mortgage credit losses, and the associated reduction in credit supply on real GDP growth. Using a state-level panel analysis, I [...]