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Author:Fuster, Andreas 

Report
Does CFPB Oversight Crimp Credit?

We study how regulatory oversight by the Consumer Financial Protection Bureau (CFPB) affects mortgage credit supply and other aspects of bank behavior. We use a difference-in-differences approach exploiting changes in regulatory intensity and a size cutoff below which banks are exempt from CFPB scrutiny. CFPB oversight leads to a reduction in lending in the Federal Housing Administration (FHA) market, which primarily serves riskier borrowers. However, it is also associated with a lower transition probability from moderate to serious delinquency, suggesting that tighter regulatory oversight ...
Staff Reports , Paper 857

Report
The sensitivity of housing demand to financing conditions: evidence from a survey

The sensitivity of housing demand to mortgage rates and available leverage is key to understanding the effect of monetary and macroprudential policies on the housing market. However, since there is generally no exogenous variation in these variables that is independent of confounding factors (such as economic conditions or household characteristics), it is difficult to cleanly estimate these sensitivities empirically. We circumvent these issues by designing a strategic survey in which respondents are asked for their willingness to pay (WTP) for a home comparable to their current one, under ...
Staff Reports , Paper 702

Report
The time-varying price of financial intermediation in the mortgage market

The U.S. mortgage market links homeowners with savers all over the world. In this paper, we ask how much of the flow of money from savers to borrowers goes to the intermediaries that facilitate these transactions. Based on a new methodology and a new administrative data set, we find that the price of intermediation, measured as a fraction of the loan amount at origination, is large?142 basis points on average over the 2008-14 period. At daily frequencies, intermediaries pass on price changes in the secondary market to borrowers in the primary market almost completely. At monthly frequencies, ...
Staff Reports , Paper 805

Discussion Paper
What Happens When Regulatory Capital Is Marked to Market?

Minimum equity capital requirements are a key part of bank regulation. But there is little agreement about the right way to measure regulatory capital. One of the key debates is the extent to which capital ratios should be based on current market values rather than historical ?accrual? values of assets and liabilities. In a new research paper, we investigate the effects of a recent regulatory change that ties regulatory capital directly to the market value of the securities portfolio for some banks.
Liberty Street Economics , Paper 20181011

Report
What would you do with $500? Spending responses to gains, losses, news, and loans

We use survey questions about spending to investigate features of propensities to consume that are useful for distinguishing between consumption theories. Asking households about their intended spending under various scenarios, we find that 1) responses to unanticipated gains are vastly heterogeneous (either zero or substantially positive), 2) responses to losses are much larger and more widespread than responses to gains, and 3) even those with large responses to gains do not respond to news about future gains. These three findings suggest that limited access to disposable resources is an ...
Staff Reports , Paper 843

Discussion Paper
Landing a Jumbo Is Getting Easier

The United States relies heavily on securitization for funding residential mortgages. But for institutional reasons, large mortgages, or ?jumbos,? are more difficult to securitize, and are instead usually held as whole loans by banks. How does this structure affect the pricing and availability of jumbo mortgages? In this post we show that the supply of jumbo mortgages has improved in recent years as banks have become more willing to take on mortgage credit risk on their own balance sheets.
Liberty Street Economics , Paper 20180214

Working Paper
How Resilient Is Mortgage Credit Supply? Evidence from the COVID-19 Pandemic

We study the evolution of US mortgage credit supply during the COVID-19 pandemic. Although the mortgage market experienced a historic boom in 2020, we show there was also a large and sustained increase in intermediation markups that limited the pass-through of low rates to borrowers. Markups typically rise during periods of peak demand, but this historical relationship explains only part of the large increase during the pandemic. We present evidence that pandemic-related labor market frictions and operational bottlenecks contributed to unusually inelastic credit supply, and that ...
Working Papers , Paper 21-4

Discussion Paper
Evaluating the Rescue of Fannie Mae and Freddie Mac

In September 2008, the U.S. government engineered a dramatic rescue of Fannie Mae and Freddie Mac, placing the two firms into conservatorship and committing billions of taxpayer dollars to stabilize their financial position. While these actions were characterized at the time as a temporary ?time out,? seven years later the firms remain in conservatorship and their ultimate fate is uncertain. In this post, we evaluate the success of the 2008 rescue on several key dimensions, drawing from our recent research article in the Journal of Economic Perspectives.
Liberty Street Economics , Paper 20151015

Report
Regulation and risk shuffling in bank securities portfolios

Bank capital requirements are based on a mix of market values and book values. We investigate the effects of a policy change that ties regulatory capital to the market value of the ?available-for-sale" investment securities portfolio for some banking organizations. Our analysis is based on security-level data on individual bank portfolios matched to bond characteristics. We find little clear evidence that banks respond by reducing the riskiness of their securities portfolios, although there is some evidence of a greater use of derivatives to hedge securities exposures. Instead, banks respond ...
Staff Reports , Paper 851

Report
Home price expectations and behavior: evidence from a randomized information experiment

Home price expectations are believed to play an important role in housing dynamics, yet we have limited understanding of how they are formed and how they affect behavior. Using a unique ?information experiment? embedded in an online survey, this paper investigates how consumers? home price expectations respond to past home price growth and how they impact investment decisions. After eliciting respondents? initial beliefs about past and future local home price changes, we present a random subset of the respondents with factual information about past (one- or five-year) changes and then ...
Staff Reports , Paper 798

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