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Working Paper
How the Federal Reserve's Large-Scale Asset Purchases (LSAPs) Influence Mortgage-Backed Securities (MBS) Yields and U.S. Mortgage Rates
Passmore, Wayne; Hancock, Diana (2014-02-06)
We conduct an empirical analysis of the Federal Reserve's large-scale asset purchases (LSAPs) on MBS yields and mortgage rates. The Federal Reserve's accumulation of MBS and Treasury securities lowered MBS yields and mortgage rates by more than what would have been suggested by changes in market expectations alone, suggesting that portfolio rebalancing effects of LSAPs are an important consideration for monetary policy transmission. Our estimates also suggest that the Federal Reserve must hold a substantial market share of agency MBS or of Treasury securities to significantly lower MBS yields ...
Finance and Economics Discussion Series , Paper 2014-12

Conference Paper
Basel II competitive implications
Passmore, Wayne; Hancock, Diana (2005)
Proceedings , Paper 974

Journal Article
Distribution of Credit Risk Among Providers of Mortgages to Lower-Income and Minority Homebuyers
Surette, Brian J.; Passmore, Wayne; Canner, Glenn B. (1996-12)
Which institutions bear the credit risk for mortgage lending to lower-income and minority borrowers and in lower-income and predominantly minority neighborhoods? In seeking to answer those questions, the authors went beyond looking at mortgage credit risk in terms of numbers or amounts of loans and developed measures based on factors that affect the riskiness of loans, including loan-to-value ratios and associated default and loss severity rates. In 1995, a nonprofit government mortgage insurer, the Federal Housing Administration, was the major bearer of credit risk for mortgage lending to ...
Federal Reserve Bulletin , Volume 82 , Issue 12 , Pages pp. 1077-1102

Working Paper
An analysis of the potential competitive impacts of Basel II capital standards on U.S. mortgage rates and mortgage securitization
Hancock, Diana; Sherlund, Shane M.; Passmore, Wayne; Lehnert, Andreas (2005)
Basel II White Paper , Paper 3

Working Paper
Federal Home Loan Bank advances and commercial bank portfolio composition
Hancock, Diana; Passmore, Wayne; Frame, W. Scott (2007)
This paper considers the role of Federal Home Loan Bank (FHLB) advances in stabilizing their commercial bank members' residential mortgage lending activities. Our theoretical model shows that using mortgage-related membership criteria or requiring mortgage-related collateral does not ensure that FHLB advances will be put to use for stabilizing members' financing of housing. Using panel vector autoregression (VAR) techniques, we estimate recent dynamic responses of U.S. bank portfolios to FHLB advance shocks, bank lending shocks, and macroeconomic shocks. Our empirical findings suggest that ...
FRB Atlanta Working Paper , Paper 2007-17

Journal Article
Distribution of credit risk among providers of mortgages to lower- income and minority homebuyers
Surette, Brian J.; Passmore, Wayne; Canner, Glenn B. (1996-12)
Federal Reserve Bulletin , Issue Dec , Pages 1077-1102

Working Paper
Improving the 30-Year Fixed-Rate Mortgage
von Hafften, Alexander H.; Passmore, Wayne (2017-08-25)
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 essentially renting their homes from lenders. With so little equity accumulation, many lenders require large down payments. Second, in each monthly mortgage payment, homeowners substantially compensate capital markets investors for the ability to prepay. The homeowner might have better uses for this ...
Finance and Economics Discussion Series , Paper 2017-090

Conference Paper
Loan loss reserves and stock market valuations of financial institutions
Passmore, Wayne (1988)
Proceedings , Paper 212

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