Search Results
Journal Article
Do Net Interest Margins for Small and Large Banks Vary Differently with Interest Rates?
Rajdeep Sengupta and Fei Xue examine the relative contributions of activities that compose bank NIMs as well as their sensitivities to interest rates. They find that the recent decline in bank NIMs was largely driven by changes in interest rates rather than changes in the composition of NIM components in bank portfolios. After controlling for financial and economic conditions that also affect bank NIMs, they find that NIM contributions from loans and deposits are highly sensitive to interest rates. However, these sensitivities are not always symmetric between large and small banks and between ...
Journal Article
Underwriting on subprime mortgages: what really happened?
How did poor underwriting bring about the collapse of the subprime mortgage market? More importantly, how would subprime mortgages perform if underwriting standards did not deteriorate?
Working Paper
Credit scoring and loan default
A metric of credit score performance is developed to study the usage and performance of credit scoring in the loan origination process. We examine the performance of origination FICO scores as measures of ex ante borrower creditworthiness using loan-level data on ex post performance of subprime mortgages. Parametric and nonparametric estimates of credit score performance reveal different trends, especially on originations with low credit scores. The data suggest a trend of increased emphasis on higher credit scores accompanying a trend of increased riskiness in other origination attributes. ...
Working Paper
The effect of neighborhood contagion on mortgage selection
In this paper we conduct an empirical investigation of how neighborhood mortgage adoption contagion affects mortgage product choice, with an emphasis on Hispanic borrowers. We use loan-level mortgage data for metropolitan areas in California and Florida during 2004 and 2005, the peak years of the subprime mortgage boom. We identify an important and statistically significant effect of contagion on consumer choice of hybrid mortgage products that were popular during this period, especially for Hispanic borrowers.
Journal Article
Home prices: a case for cautious optimism
Many analysts are cautiously optimistic that the house price decline has ended, citing that house prices increased in June and July. There are several reasons for being cautious.
Journal Article
The LIBOR-OIS spread as a summary indicator
Journal Article
Home equity and household income
During 1995-2007, home equity increased more than gross income for high-, low- and middle-income groups.
Journal Article
Household financial stress and home prices
Journal Article
Mortgage originations: 2000-2006
Journal Article
Assessing Market Conditions ahead of Quantitative Tightening
Quantitative tightening (QT)—the reduction in the Federal Reserve’s balance sheet—will transfer a significant amount of Treasury and agency mortgage-backed securities to investors. This transfer will be larger than the first endeavor with QT in 2017 and will occur at a time when financial markets are strained, suggesting this round of QT has the potential to be more disruptive compared with the benign start to the 2017 runoff.