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Working Paper
BORROWER CREDIT ACCESS AND CREDIT PERFORMANCE AFTER LOAN MODIFICATIONS
While the preventive effect of loan modifications on mortgage default has been well-documented, evidence on the broad consequences of modifications has been fairly limited. Based on two unique loan-level data sets with borrower credit profiles, this study reports novel empirical evidence on how homeowners manage their credit before and after receiving modifications. The paper has several main findings. First, loan modifications improve borrowers? overall credit standing and access to credit. Modifications that provide principal reduction, rate reduction, or greater payment relief, as well as ...
Working Paper
The Dynamics of Adjustable-Rate Subprime Mortgage Default: A Structural Estimation
We present a dynamic structural model of subprime adjustable-rate mortgage (ARM) borrowers making payment decisions taking into account possible consequences of different degrees of delinquency from their lenders. We empirically implement the model using unique data sets that contain information on borrowers' mortgage payment history, their broad balance sheets, and lender responses. Our investigation of the factors that drive borrowers' decisions reveals that subprime ARMs are not all alike. For loans originated in 2004 and 2005, the interest rate resets associated with ARMs, as well as the ...
Speech
Panel Remarks: Supervisory and Regulatory Action to Support the Economy and Protect Consumers
Panel Remarks at The Fed and Main Street during the Coronavirus Pandemic, WebEx event, April 23, 2020.
Working Paper
The dynamics of subprime adjustable-rate mortgage default: a structural estimation
We present a dynamic structural model of subprime adjustable-rate mortgage (ARM) borrowers making payment decisions, taking into account possible consequences of different degrees of delinquency from their lenders. We empirically implement the model using unique data sets that contain information on borrowers' mortgage payment history, their broad balance sheets, and lender responses. Our investigation of the factors that drive borrowers' decisions reveals that subprime ARMs are not all alike. For loans originated in 2004 and 2005, the interest rate resets associated with ARMs as well as the ...