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Journal Article
Mortgage Data Help Paint Foreclosure Picture
Community Development, Federal Reserve Bank of Dallas (2008)
As foreclosure and delinquency rates escalate, community organizations, counseling agencies and policymakers need good-quality data to understand foreclosure patterns and mitigate foreclosure losses to individuals and communities. To that end, the Federal Reserve System has aggregated mortgage performance data, created dynamic maps and made them available to the public
e-Perspectives , Volume 8 , Issue 1

Discussion Paper
Flood Risk Outside Flood Zones — A Look at Mortgage Lending in Risky Areas
Blickle, Kristian S.; Perry, Evan; Santos, João A. C. (2024-09-25)
In support of the National Flood Insurance Program (NFIP), the Federal Emergency Management Agency (FEMA) creates flood maps that indicate areas with high flood risk, where mortgage applicants must buy flood insurance. The effects of flood insurance mandates were discussed in detail in a prior blog series. In 2021 alone, more than $200 billion worth of mortgages were originated in areas covered by a flood map. However, these maps are discrete, whereas the underlying flood risk may be continuous, and they are sometimes outdated. As a result, official flood maps may not fully capture the true ...
Liberty Street Economics , Paper 20240925

Working Paper
Household Credit and Local Economic Uncertainty
Ramcharan, Rodney; DiMaggio, Marco; Kermani, Amir; Yu, Edison (2017-08-03)
This paper investigates the impact of uncertainty on consumer credit outcomes. We develop a local measure of economic uncertainty capturing county-level labor market shocks. We then exploit microeconomic data on mortgages and credit-card balances together with the crosssectional variation provided by our uncertainty measure to show strong borrower-specific heterogeneity in response to changes in uncertainty. Among high risk borrowers or areas with more high risk borrowers, increased uncertainty is associated with housing market illiquidity and a reduction in leverage. For low risk borrowers, ...
Working Papers , Paper 17-21

Working Paper
ENDOGENOUS/EXOGENOUS SEGMENTATION IN THE A-IRB FRAMEWORK AND THE PRO-CYCLICALITY OF CAPITAL: AN APPLICATION TO MORTGAGE PORTFOLIOS
Canals-Cerda, Jose J. (2017-04-19)
This paper investigates the pro-cyclicality of capital in the advanced internal ratings-based (A-IRB) Basel approach for retail portfolios and identifies the fundamental assumptions required for stable A-IRB risk weights over the economic cycle. Specifically, it distinguishes between endogenous and exogenous segmentation risk drivers and, through application to a portfolio of first mortgages, shows that risk weights remain stable over the economic cycle when the segmentation scheme is derived using exogenous risk drivers, while segmentation schemes that include endogenous risk drivers are ...
Working Papers , Paper 17-9

Journal Article
House Prices Respond Promptly to Monetary Policy Surprises
Gorea, Denis; Kmetz, Augustus; Kryvtsov, Oleksiy; Kudlyak, Marianna; Ochse, Mitchell (2023-03-27)
New evidence based on listings of homes for sale from 2000 to 2019 suggests house prices adjust to monetary policy changes over weeks rather than years, faster than previously thought. Housing list prices fall within two weeks after the Federal Reserve announces an unexpected policy tightening, similar to responses of other financial assets. House prices respond more strongly to unexpected changes in long-term interest rates than to surprises in the short-term federal funds rate. Changes in mortgage rates following Fed announcements are key to explaining this rapid house price reaction.
FRBSF Economic Letter , Volume 2023 , Issue 09 , Pages 5

Working Paper
Credit Score Doctors
Huang, Xing; Hu, Luojia; Simonov, Andrei (2020-02-25)
We study how the existence of cutoffs in credit scores affects the behavior of homebuyers. Borrowers are more likely to purchase houses after their credit scores cross over a cutoff to qualify them for a higher credit score bin. However, the credit accounts of these individuals (crossover group) are more likely to become delinquent within four years following home purchases than the accounts of those who had stayed in the same bin (non-crossover group). The effect is not only concentrated in subprime bins, but in other bins as well. It is neither limited to pre-crisis period nor curtailed by ...
Working Paper Series , Paper WP 2020-07

Discussion Paper
Mortgage Rates Decline and (Prime) Households Take Advantage
Lee, Donghoon; Scally, Joelle; Haughwout, Andrew F.; Van der Klaauw, Wilbert (2021-02-17)
Today, the New York Fed’s Center for Microeconomic Data reported that household debt balances increased by $206 billion in the fourth quarter of 2020, marking a $414 billion increase since the end of 2019. But the COVID pandemic and ensuing recession have marked an end to the dynamics in household borrowing that have characterized the expansion since the Great Recession, which included robust growth in auto and student loans, while mortgage and credit card balances grew more slowly. As the pandemic took hold, these dynamics were altered. One shift in 2020 was a larger bump up in mortgage ...
Liberty Street Economics , Paper 20210217b

Working Paper
Financial Technology and the 1990s Housing Boom
Johnson, Stephanie; Tzur-Ilan, Nitzan (2025-01-17)
The 1990s rollout of mortgage automated underwriting systems allowed for complex underwriting rules, cut processing time and raised house prices substantially. We show that locations exposed to initial adopters of Freddie Mac’s Loan Prospector system experienced an early housing boom due to a switch to statistically-informed underwriting rules. Loan Prospector adoption increased lending at high loan-to-income ratios by around 18 percent. Applying our estimated response to lenders who adopted later, we find that the rollout of new lending standards with the GSEs’ systems can explain more ...
Working Papers , Paper 2506

Journal Article
Banking Trends: Skin in the Game in the CMBS Market
DiSalvo, James; Johnston, Ryan (2018-01)
Issuers of commercial mortgage-backed securities must now retain a portion on their own books. What evidence is there that the rule will reduce risky lending?
Banking Trends , Issue Q1 , Pages 11-17

Journal Article
The rising gap between primary and secondary mortgage rates
Willen, Paul S.; Madar, Laurel; Lucca, David O.; Molloy, Linsey; Fuster, Andreas; Goodman, Laurie (2013-12)
While mortgage rates reached historic lows during 2012, the spread between primary and secondary rates rose to very high levels. This trend reflected a number of factors that potentially affected mortgage originator costs and profits and restrained the pass-through from lower secondary rates to borrowers? funding costs. This article describes the mortgage origination and securitization process and the way in which originator profits are determined. The authors calculate a series of originator profits and unmeasured costs (OPUCs) for the period 1994 to 2012, and show that these OPUCs increased ...
Economic Policy Review , Issue Dec , Pages 17-39

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