Is the FHA Creating Sustainable Homeownership?

We produce first estimates of the sustainability of homeownership for recent Federal Housing Administration (FHA) borrowers. Unfortunately, the FHA does not produce its own statistics on sustainability. Neither does it permit researchers access to its data on internal refinances. This imposes significant barriers to entry for researchers who wish to track FHA borrower performance over time. We carefully construct the required tracking data to overcome this barrier. We forecast that no more than 75% of the 2007–2009 vintages of FHA borrowers will be able to successfully exit the FHA system. Our work raises questions about FHA's role, its accounting and its accountability.     

Uses and Abuses of Residential Building Permits in Forecasting Private Housing Starts

This paper examines the commonly held view that the Census Bureau's monthly series for residential building permits issued is a leading indicator of the series for private housing starts. A close study of the residential building permits and housing starts series shows that on a quarterly basis the series are coincident, with cyclical peaks and troughts in the seasonally adjusted data occurring in the same period. On the monthly basis for the period 1960 through 1976, the peaks and troughs in the building permits series have usually followed those in the housing starts series. Also, evidence presented in the paper shows that monthly changes in the residential building permits series are not highly correlated with changes in the housing starts series one to five months in the future. Finally, the analysis suggests that changes in the backlog of unused residential building permits are not indicative of future changes in the rate of housing starts. The major implication of these results is that permits data offer little or no information about future month-to-month changes in the rate of housing starts. However, because the building permits series is less irregular than the housing starts series and the cyclical movements of the series are basically the same, permits data can be used to identify irregular monthly movements in the starts series.     

FHA, Racial Discrimination and Urban Mortgages

The empirical validity of two propositions regarding FHA unsubsidized single-family activity are explored at the neighborhood level in this paper. The propositions are first that FHA serves moderate-to-middle-income families, not low-income families who live in the inner city nor high-income families who live in the outer suburbs; and second that all other things being equal, black owner-occupants are more likely to have an FHA-insured mortgage than are whites
Two methods of analysis are performed: mapping and regression. First, 1974 FHA activity in the Philadelphia metropolitan area is mapped by race—black and white—and program—203(b), 221(d)(2), and 223(e)—at the census tract level. Then, the FHA activity by race and by program is regressed on 1970 neighborhood housing and population characteristics, again, using the census tract as the unit of observation. The results of the analysis provide support for both propositions. In Philadelphia in 1974, FHA is to a degree a border program differentially serving blacks.     

Mortgage Lending, Sample Selection and Default

Traditional models of mortgage default suffer from sample-selection bias because they do not control for the loan approval process. This paper estimates a sample-selection-corrected default model using the 1990 Boston Federal Reserve loan application sample and the 1992 Federal Housing Authority (FHA) foreclosure sample. A single-equation FHA default model appears to suffer from substantial selection bias, but the bias primarily arises from the omission of credit history and other variables that are only in the application sample. Therefore, default models that contain detailed information on applicants may not suffer from substantial selection bias. Finally, a test for prejudice-based discrimination is developed and conducted, but the findings are inconclusive.     

Temporal Aggregation in Real Estate Return Indices

Temporal aggregation is defined as the use of spot valuations of properties occuring over an interval of time to impute the spot value of a property or of a real estate value index as of a single point in time. Temporal aggregation may characterize not only appraisal-based indices but also indices based directly on transaction prices, such as the National Real Estate Index (NREI) and regression-based indices such as hedonic or repeat-sales indices. This paper analyzes the effect of temporal aggregation on the smoothing of the time series second moments in the resulting real estate return index. Assuming true spot returns are uncorrelated, temporal aggregation-induced smoothing will cause the empirically observed real estate index to understate the own-variance by one-third and the beta by one-half. This amount of bias in the second moments can have major implications for the real estate share in an optimal portfolio. Thus, empirical-based investment analysis could be led astray by smoothing even if the real estate return index is "transaction-based" rather than "appraisal-based."     

Credit History and the FHA–Conventional Choice

Models explaining whether households choose conventional or FHA mortgage financing typically use differential insurance premiums, loan-to-value (LTV) and payment-to-income underwriting standards, and local economic conditions to explain household behavior. Using a large and geographically diverse sample, we expand the standard choice model by including measures of borrower credit history. We find that the ability of a homebuyer to avoid credit problems is an important part of the FHA–conventional choice. In addition, credit scores of FHA borrowers are worse on average than those of conventional borrowers, but as LTV increases credit scores of conventional borrowers deteriorate.     

Avoiding Both Disinvestment and Speculation in Private Multifamily Housing

Maintaining the health of existing urban neighborhoods requires a radically different approach from that of simply intervening with recently developed housing tools such as Urban Renewal, FHA mortgages, FAIR plan insurance, HUD subsidized loans and the like. Instead, the dynamics of healthy and pathological neighborhoods must be more closely examined so the workings of the prevailing system can be identified. Housing policy has largely been formulated on the concept of housing "filtering or trickling down" while people move up, but this theory frequently fails to fit the facts.
Neighborhood change and response to interventions often seem unpredictable. A new theory based on the inherent strength of existing stable urban neighborhoods to stave off forces that lead to disinvestment on the one hand, and speculation on the other, would be more useful than one that accepts deterioration and obsolescence as inevitable. This paper seeks to contribute to such a theory. While the data presented here are drawn from research in multi-family housing, many of the inferences apply to single-family housing as well.     

An Indirect Test for Differential Treatment of Borrowers in Mortgage Markets

The indirect test implemented in this paper is based on the economics of discrimination which hypothesizes that differential treatment of borrowers, on the basis of age, race, sex, or property location, at any stage of the mortgage transaction, including prescreening, results in segregation of those getting less favorable treatment. Borrowers who perceive that they are receiving less favorable treatment based on age, race, sex, or property location would be segregated into the FHA-in-sured sector. Estimates of an FHA participation equation show no evidence of such segregation by sex, race, or center city property location. Younger borrowers do appear to be differentially concentrated in the FHA programs.     

Efficiencies,market power and horizontal merger

In June 1982 the Justice Department issued itsMerger Guidelines which specify in terms of the Herfindahl index (H) what combinations of merger size and post-merger H are likely to lead to a merger challenge. This paper assesses theseGuidelines using Williamson's (1968) well-known model in which an optimal merger policy is viewed as one that considers both the price and cost consequences of merger. The Williamson model is recast in terms of H and changes in H and linked to theGuidelines. This allows an assessment of the welfare congequences of an industry merger for any given level of concentration and merger-produce changes in concentration. Among the conclusions are that, consistent with theGuidelines, higher values of H make socially successful mergers less likely, and a more appropriate, if perhaps not more feasible, focus for theGuidelines are coordination adjusted measures of concentration and merger size.     

基于节能减排的制造企业竞争力研究

对我国制造企业发展节能减排的必要性和制约因素进行了分析,以山东省淄博市纺织制造企业为例,设计了基于节能减排的制造企业竞争力评价指标体系,收集了该地区规模以上纺织企业近13年的发展状况和节能减排情况的整体数据,并采用因子分析法进行了实证研究,研究结果表明节能减排对纺织企业竞争力的提高具有促进作用。最后在分析上述研究的基础上得出节能减排与企业竞争力增强的双赢发展是可能的,并提出了具有可行性的对策和措施。     

The Shifting of FHA Discount Points: Actual Vs. Expectations

This study extends the earlier studies by Zerbst and Brueggeman (Z&B) and Colwell, Guntermann and Sirmans (CGS) with regard to the shifting of FHA discount points by the seller to the buyer in the form of a higher selling price. The study extends the earlier studies by reducing the estimation problems of the CGS model and further developing the Z&B model to incorporate expected discount points built into the asking price. The results presented indicate that 100% of the points are not being shifted. Reasons for the less-than-full shifting are given.     

成品油销售综合经营指标三级预警机制探索--中国石油陕西销售公司的经营实践

2018年以来,中国石油陕西销售公司采用"红橙黄"经营指标三级预警机制,把复杂的量价关系、促销经营和费用成本管控,通过指标量化。一是以经营活动分析为基础,围绕业务指标、财务指标及支撑体系,建立了综合经营指标长效预警机制。二是通过大数据平台,形成业务运行数据每日监控,实现对月度指标的跟踪预警。中国石油陕西销售公司以"红橙黄"经营指标三级预警为抓手,将综合指标评价理念贯穿到经营全过程中,为生产经营活动提供了直观的决策依据,实现了提质增效的目标。     

The Home Purchase Mortgage Preferences of Low- and Moderate-Income Households

Housing policy in the United States has long supported homeownership, yet variation persists across income groups. This article employs recent mortgage origination data to focus on the revealed preferences of low- and moderate-income (LMI) households in home purchase mortgage choice. I identify the factors associated with conventional conforming, FHA, nonprime and specially targeted programs. Empirical results show that individual credit characteristics and financial factors, including pricing, generally drive product choice, with some variation evident when loans are originated through brokers. Results also indicate that targeted conventional programs effectively compete with government-insured products in the LMI segment.     

本土市场规模与中国制造业全要素生产率

本文使用2001—2010年中国制造业分行业数据,实证分析了本土市场规模与全要素生产率之间的关系。估计结果显示,以"市场促创新"的假说整体上是成立的。本土市场规模每增加1%,将会促进生产率指数增长0.021%、效率改进指数增长0.023%、技术进步指数增长0.018%。分行业研究显示,本土市场规模对全要素生产率的影响在不同行业存在一定的差异。本土市场规模作用的发挥更依赖于行业的技术密集程度和资本密集程度,而对行业的劳动密集程度则并不敏感。从作用机制来看,本土市场规模对生产率增长和技术进步的正向作用主要通过资本密度、研发密度与人力资本等途径传递;对效率改进的正向影响主要通过资本密度、研发密度、人力资本以及对外开放度等途径传递。在所有的作用途径中,人力资本的影响最大。这些作用机制可以进一步归纳为"集聚效应"和"竞争效应"。     

Differential Access to and Pricing of Home Mortgages: 2004 through 2009

This article documents trends and drivers of the residential mortgage market during the years 2004 through 2009, specifically focusing on the access to and pricing of mortgages originated by African‐American and Hispanic borrowers, and by borrowers living in low‐income and minority communities. Our analysis relies on a rich set of proprietary data that allow more expanded insights than can be obtained from the Home Mortgage Disclosure Act (HMDA) alone. We show that access to mortgage credit increased between 2004 and 2006 for the borrowers we focus on in our study and declined dramatically thereafter. Trends in access to credit were driven primarily by the changing credit mix of mortgage applicants and secondarily by the replacement of the Federal Housing Administration (FHA) for subprime as the dominant mode of nonprime originations and tighter underwriting standards. Throughout our entire period of study, these borrowers also consistently paid higher prices for their mortgages; however, the extent of this differential varied considerably over time and across groups. These pricing trends were driven primarily by changes in the FHA and subprime shares as well as by the market's increasingly aggressive pricing of credit risk.     

OECD unbundled local loop pricing

This study examines OECD fully unbundled and line sharing monthly wholesale prices for 2002–2008. The results are informative with economic analysis appearing to inform regulator decision making. However, with the cost proxy (viz., copper-wage relative price, population density, urbanisation and business line penetration), regulator costing methods (long run incremental and fully allocated cost), and time trend arguments only explaining approximately 40% of the price variation there remains ample unexplained variation, and political and institutional variables may help reduce this. Finally, both price series are subject to increasingly rapid value declines, although the patterns are somewhat distinct. This suggests that initial prices are truly transitory.     

基于SARIMA-SVR组合模型的 空气质量指数预测

空气质量指数(AQI)在波动中既具有整体的时间序列线性特征和明显的季节性波动周期,又具有多种因素影响的不确定性,为了提高AQI的预测精度,基于Ri386 3.3.3和Matlab R2014a两种编程软件,提出了一种同时具有线性和非线性的复合特征的时间序列预测模型——SARIMA-SVR组合模型。以太原市2014年1月—2019年7月的AQI月均值数据为基础,利用SARIMA时间序列模型进行线性预测,利用SVR模型对残差进行非线性预测,加和得到组合预测模型的预测结果,分析比较SARIMA,SVR和SARIMA-SVR这3种模型的预测结果和平均绝对百分比误差。结果表明,组合预测模型发挥了2种模型各自的优势,相较于单一预测模型的预测结果而言,其预测精度更高,稳定性更好。通过此模型得到的空气质量预测结果不仅可为人们的日常生活提供指导,而且可为大气污染的防治工作提供科学依据和借鉴意义。     

Equity and Nonequity Determinants of FHA Single-Family Mortgage Foreclosures in the 1980s

We examine foreclosures on FHA single-family mortgages insured during the 1975–87 period. The importance of the market value of borrower equity and national house price dispersion support much earlier work emphasizing the key role of negative equity in triggering default. The lower is "mean" market-value equity, and the greater is dispersion, the greater is the fraction of borrowers likely to have negative equity. The unemployment rate and the book value of borrower equity are also shown to be significant determinants of default. Unemployment is one of those events that can force borrowers to move. The moving decision increases the likelihood of default because moving costs no longer deter default, and the costs of selling the house reduce the effective equity in the house. The book value of equity is relevant to this decision because it is what the sellers receive if they move without defaulting. Not only are both of these variables significant determinants of default, but the smaller is book equity, the greater is employment impact (with large book equity, unemployment should not matter because selling the house is preferred to default).     

The Inventory–Sales Relationship in the Market for New Single-Family Homes

Time series methods are applied to study monthly inventory and sales dynamics in the U.S. market for new single-family homes. The inventory measure used is the inventory of unsold, new single-family homes, regardless of the stage of construction. Stylized facts regarding inventory, sales, the inventory–sales ratio and the implied series of speculative housing starts are produced. Implications for structural models of housing supply and the relationship of inventory investment in this market to economy-wide inventory investment are considered. Finally, innovation accounting methods are applied to a structural VAR to study the responses of inventories and sales to permanent and transitory shocks.     

A Three-phase Approach to an Enhanced Index-tracking Problem with Real-life Constraints

Abstract

Enhanced index tracking is an emerging strategy for investing money in the stock market and is aimed at achieving outperformance over a given benchmark index while achieving a low tracking error. We consider the problem of rebalancing a portfolio for an enhanced index tracking strategy subject to various real-life constraints, including a lower bound and an upper bound on the expected tracking error. To solve this problem, we propose a three-phase approach consisting of preprocessing, optimization, and learning. In a computational experiment, we applied this approach to rebalance a given portfolio on a monthly basis over a time horizon of 10 years; the data for the S&P 500 benchmark index were provided by the investment company Principal Global Investors. Our approach generated portfolios that were provably close to optimality for all monthly rebalancing decisions. Over the entire horizon of 10 years, the portfolios devised by our approach yielded cumulative returns higher than the S&P 500 index after transaction costs with a moderate tracking error.