House‐Price Expectations,Alternative Mortgage Products,and Default

The goal of this paper is to better understand the forces that spurred use of alternative mortgages during the housing boom. A theoretical model shows that, when future house‐price expectations become more favorable, reducing default concerns, mortgage choices shift toward alternative products, which are characterized by backloading of payments. The empirical work confirms this prediction by showing that an increase in past house‐price appreciation, which captures more favorable expectations for the future, raises the market share of alternative mortgages. In addition, the paper tests the fundamental presumption that backloaded mortgages are more likely to default, finding support for this view.     

Borrower Risk under Alternative Mortgage Instruments

This paper analyzes differences in borrower risk under alternative mortgage instruments and various borrower characteristics. The traditional approach of measuring borrower risk in terms of actual delinquency and foreclosure data is rejected in favor of a model based on potential delinquency-that is, changes in the mortgage payment to income ratio. The combinations of mortgage terms and borrower characteristics that are most likely to produce a potential delinquency are isolated based on the calculation of hypothetical payment to income ratios over an eight year period.     

产成品抵押贷款的案例剖析

产成品抵押贷款作为动产抵押的一种形式,打破了库存积压产品不适宜办理抵押贷款的传统观念,发挥了中小企业的净值价值,改善了中小企业有效抵押不足的现状,对破解中小企业融资难题,特别是由经济波动而引发的企业暂时性资金困难具有积极意义.     

Reduced Form Mortgage Pricing as an Alternative to Option-Pricing Models

This paper extends the traditional hazard technique of estimating prepayment and default by allowing their baselines to be stochastic processes, rather than known paths of time, as is typically assumed. By working in the reduced form, this method offers an alternative to the empirical valuation of mortgages more easily implemented than the standard structural form approach of options pricing.     

发展二级住房抵押贷款证券市场的保证投资者的最大收益——前美国联邦住宅企业监督管理办公室主任阿曼多·法尔肯先生访谈

前美国联邦住宅企业监督管理办公室主任（OFHEO）阿曼多，法尔肯（Armando Falcon）先生于2006年1月18日应邀来交行作了题为“住房抵押贷款证券市场：经验、教训和商业银行”的演讲并接受了本刊记的专访。法尔肯先生曾负责美国两大住房抵押贷款机构Fannie Mae和Freddie Mac的监管，他还担任过国会众议院银行与金融委员会总律师职务，在起草有关维护银行业金融稳定和保护存款保险基金的相关法律方面发挥对重要作用．[编按]     

Mortgage Brokers and the Refinancing Transaction: Evidence from CRA Borrowers

This study adds to an emerging literature on the lending practices of mortgage brokers during the run-up in home prices prior to 2006. Following a sample of low— and moderate-income borrowers through the first years following home purchase, the analysis identifies differences in the refinancing transaction associated with the use of mortgage brokers vs. retail lenders. Specifically, the analysis includes measures of the refinancing process, including whether the lender initiated contact with the borrower, whether the terms of the mortgage changed at closing, and the level of borrower satisfaction in hindsight. Care must be taken in extrapolating from this sample to the broader mortgage market, as all borrowers refinanced out of 30-year fixed-rate purchase mortgages in the Community Advantage Program (CAP). Nevertheless, analysis of this sample offers unique insight into borrowers’ interactions with mortgage brokers during the refinancing transaction. Origination with a mortgage broker, compared with origination through a retail lender, is associated with both a less satisfactory refinancing process and a higher likelihood of refinancing into an adjustable-rate mortgage (ARM).     

The Relationships Between Mortgage Rates and Capital-Market Rates Under Alternative Market Conditions

Mortgage interest rates have become more integrated with other capital-market interest rates over recent decades, apparently as a result of the deregulation of financial markets. The link is both imperfect and time-varying. Mortgage rates during some time periods appear to be sticky with respect to their adjustment to changes in capital-market rates. We examine the relationship between weekly conventional mortgage rates and the interest rates on treasury and corporate securities under differing market conditions. We draw three conclusions based on the analysis. First, deregulation changed the link between mortgage rates and riskless interest rates, which confirms the findings of Goebel and Ma (1993). Second, mortgage rates were cointegrated with risky interest rates even before deregulation. Third, the link between mortgage rates and the risky bond rate can be associated with the behavior of the risk premium in the bond rate. The observed relationship is consistent with the stickiness observed by Haney (1988) and causes a more pronounced stickiness when rates are falling than when they are rising.     

Mortgage Terminations and Pool Characteristics: Some Additional Evidence

The amount and timing of unscheduled principal amortization determines the ex-post yield to holders of mortgage-backed securities. In this paper, the relationship between pool characteristics and the early return of principal is addressed. Empirical results are based on actual terminations from June 1985 to June 1986 on a sample of all GNMA pools. The relative termination experience of pools with loan rates close to the refinancing rate faced by the underlying borrower is examined in detail. The impact of pool age and size is also considered. Unscheduled termination depends on the refinancing rate, as well as the specific characteristics of a pool.     

Benefits to Homeowners from Mortgage Portfolios Retained by Fannie Mae and Freddie Mac

Mortgage investing is the domain of financial intermediaries, such as Fannie Mae and Freddie Mac, who possess specialized knowledge and experienced analytic teams. Capital is channeled to homeowner/borrowers at lower cost through such entities. As the demand for mortgage borrowing outstrips aggregate domestic saving (which is currently negative) foreign sources of capital should become even more significant. Foreign capital can be channeled efficiently into the U.S. mortgage market by Fannie and Freddie. Their debt has the highest credit standing and their risk management ability has been demonstrated by their enormous retained portfolios of mortgages.     

Evidence on the Usefulness of Capital Expenditures as an Alternative Measure of Depreciation

Investment professionals often suggest that accounting earnings is a more useful indicator of share value if adjusted by substituting current capital expenditures for reported depreciation. We investigate the usefulness of this alternative depreciation measure by comparing the ability of reported earnings and adjusted earnings to explain the cross-sectional distribution of stock prices for a large sample of manufacturing firms. We find that adjusted earnings explains a much smaller fraction of the variation in share prices than earnings based on reported depreciation, and provide evidence on the reasons for this difference.     

Appraisal Quality and Residential Mortgage Default: Evidence from Alaska

We empirically examine the effect of appraisal quality on subsequent mortgage loan performance using data from the high volatility housing market of Alaska in the 1980s. We develop measures of appraisal quality by computing the residual between a hedonic estimate of house value using available information from other appraisals compared to actual ex ante appraised value. We then estimate proportional hazard models of mortgage default and find that several measures of appraisal quality, particularly appraised value in excess of hedonic estimates, are significantly related to default risk. Using valuations subsequent to loan default, we are also able to evaluate how well house price indices perform in terms of estimating current loan-to-value and offer some additional evidence on the controversy over the role of net equity versus trigger events as determinants of mortgage default. We also show that defaults are related to ex ante measures of housing market conditions, with additional implications for underwriting policies and the current industry trend away from traditional appraisal and toward automated valuation.     

Securitization and the Declining Impact of Bank Finance on Loan Supply: Evidence from Mortgage Originations

Low-cost deposits and increased balance sheet liquidity raise banks' supply of illiquid loans more than loans easily sold or securitized. We exploit the inability of Fannie Mae and Freddie Mac to purchase jumbo mortgages to identify an exogenous change in liquidity. The volume of jumbo mortgage originations relative to nonjumbo originations increases with bank holdings of liquid assets and decreases with bank deposit costs. This result suggests that the increasing depth of the mortgage secondary market fostered by securitization has reduced the effect of lender's financial condition on credit supply.     

Economic Consequences of Transparency Regulation: Evidence from Bank Mortgage Lending

We examine the economic consequences of a rule designed to improve consumers' understanding of mortgage information. The 2015 TILA-RESPA Integrated Disclosures rule (TRID) simplifies the mortgage disclosures provided to consumers. As a consequence, TRID-affected mortgages become a less attractive investment opportunity to banks. Our main results document that mortgage applications affected by TRID are less likely to be approved following the rule's effective date. We find evidence consistent with both a decrease in consumers' information processing costs and an increase in banks' secondary market frictions, providing insight into the potential channels through which this reduction in mortgage credit operates. We also find that banks partially compensate for reduced mortgage lending by increasing small business lending, and that fintechs absorb mortgage demand in areas with reduced mortgage lending by banks. Our study documents real actions that firms take in response to disclosure transparency regulation and contributes to the literature on the economic consequences of such regulation.     

区域房地产信贷运行与房地产市场稳定性相互影响的实证分析——以大连市为例

房地产行业作为二、三线城市经济的重要产业,对二、三线城市经济发展起着举足轻重的作用。但近两年来二、三线城市房地产市场出现震荡下行趋势。对此,辖内金融机构纷纷采取积极措施支持房地产市场的稳健发展。本文以大连市为例,运用GARCH模型提取房地产市场价格波动序列,并通过Granger因果检验和向量误差修正模型的脉冲响应函数,对区域内房地产信贷投放规模和质量两个因素与辖区房地产市场稳定性之间相互影响的渠道和冲击响应进行了实证探讨。最后,结合实证结果和二、三线城市当前房地产市场的实际情况,提出相关政策建议。     

房贷政策、融资结构与财务绩效--基于129家房地产上市公司的证据

目前我国房地产上市公司资产负债率的均值介于[64%~67%]之间,如此高的资产负债率对公司财务绩效有很大的影响。从债务融资结构角度出发,结合当前我国房地产上市公司的实际,实证分析的结果为：我国房地产上市公司最优的短期借款率介于[17.8%~24.9%]之间,长期借款率与财务绩效并不存在显著的线性、二次、三次方关系,最优的房屋预售款率应介于[30.7%~41.9%]之间,商业信用率应控制在[0~42.8%]之间,同时,财务绩效与企业债券率呈正相关。因此,优化房地产上市公司债务融资结构应该合理协调债务融资结构中各个指标的比率,充分利用房贷政策及时调整融资手段、积极发行中期票据,适当运用税务筹划手段,建立适应政府宏观调控和市场变化的内部融资机制。     

Forced Asset Sales and the Concentration of Outstanding Debt: Evidence from the Mortgage Market

We provide evidence that lenders differ in their ex post incentives to internalize price‐default externalities associated with the liquidation of collateralized debt. Using the mortgage market as a laboratory, we conjecture that lenders with a large share of outstanding mortgages on their balance sheets internalize the negative spillovers associated with the liquidation of defaulting mortgages and thus are less inclined to foreclose. We provide evidence consistent with our conjecture. Arguably as a consequence, zip codes with a higher concentration of outstanding mortgages experience smaller house prices declines. These results are not driven by unobservable zip code or lender characteristics.     

农村宅基地使用权抵押贷款对农户收入影响:实证与解释

以2015—2017年河南省农村宅基地使用权抵押贷款试点县调研数据为依据,运用双重差分倾向得分匹配法(PSM-DID),实证检验了农村宅基地使用权抵押贷款收入效应。结果表明,农村宅基地使用权抵押贷款能够显著提升农业生产要素投入,从而提高农业产出。进而对农户收入具有显著且持续的推动作用,而且贷款周期越久,推动作用越大。为此,未来农村宅基地使用权抵押贷款政策完善的重点在于正视农户异质性,积极提供差异化产品,进一步优化农村金融生态环境,降低融资费用。     

Regulation of Subprime Mortgage Products: An Analysis of North Carolina's Predatory Lending Law

This paper estimates the effect of North Carolina's high-cost mortgage law on the subprime mortgage market in that state. The results indicate that creditors sharply restricted lending to higher risk consumers in North Carolina following passage of the law. Creditors did not restrict lending in neighboring states or to lower risk consumers in North Carolina. These results suggest that the restriction in North Carolina was due to rationing in response to higher costs imposed by the law. The findings of this study are of importance beyond North Carolina. Other states and municipalities have proposed or passed similar or more restrictive laws. These laws risk taking back some of the gains in credit availability that lower income and higher risk consumers gained in the 1990s.     

The Effect of Mortgage Price and Default Risk on Mortgage Spreads

Variations over time in mortgage yield spreads should reflect changes in the underlying prepayment option value; moreover, the relationship between mortgage yield spreads and interest rate dynamics should weaken as the value of the borrowers prepayment option declines. We verify this hypothesis through an empirical analysis of residential mortgage yield spread behavior, and we also present evidence that the strength of the relationship between mortgage spreads and interest rate dynamics weakens (strengthens) as the level of default risk increases (decreases). This result is consistent with the competing risks effect between a borrowers option to prepay or default. Our results demonstrate the importance of accounting for mortgage price discount to par as well as default risk when developing time series of mortgage yields.