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Research
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Working Paper 22-02: Housing Supply and Liquidity in the COVID-19 Era
We document changes in national housing supply and liquidity during the COVID-19 era using a suite of monthly indices, ranging from summary statistics (mean and median time on the market, proportion of homes sold, etc.) to more advanced econometric indices that can address censoring and unobserved...
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Working Paper 22-01: Mortgage Appraisal Waivers and Prepayment Speeds
This paper examines factors affecting the use of appraisal waivers for mortgages guaranteed by Fannie Mae and Freddie Mac and the effect of appraisal waivers on prepayment speeds. We find that the alignment of Freddie Mac’s eligibility criteria with those of Fannie Mae around the start of the COVID...
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Working Paper 21-03: The Riskiness of Outstanding Mortgages in the United States, 1999 – 2019
This paper introduces summary measures of credit risk for the stock of all outstanding mortgages in the United States for each quarter between 1999 and 2019. Mortgage terminations play a fundamental role in offsetting risk introduced by the flow of new originations because of refinance activity and...
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Working Paper 21-02: Borrower Expectations and Mortgage Performance: Evidence from the COVID-19 Pandemic
We exploit plausibly exogenous fluctuations in borrower house price and job loss expectations to estimate the causal effect of expectations on loan performance. Borrowers whose house price expectations fell early in 2020 were more likely to enter forbearance, but then quickly exited as house prices...
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Working Paper 21-01: A Flexible Method of House Price Index Construction using Repeat-Sales Aggregates
The major issue which we address in this paper is the one-size-fits-all nature of the typical city-level house price index. In this vein, we make two contributions. First, we develop a new algorithm to ensure feasible estimation of geographically granular repeat-sales house price indices in cases of...
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Working Paper 20-02: Nowcasting Unemployment Insurance Claims in the Time of COVID-19
Near term forecasts, also called nowcasts, are most challenging but also most important when the economy experiences an abrupt change. In this paper, we explore the performance of models with different information sets and data structures in order to best nowcast US initial unemployment claims in...
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Working Paper 20-01: Land Valuation using Public Records and Kriging: Implications for Land versus Property Taxation in Cities
We construct land values for each parcel in Maricopa County (Phoenix), Arizona, from 2000 through 2018 using a novel administrative dataset containing the universe of land sales and parcel records in the county. We then compare residential land values constructed using two classes of source data...
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Working Paper 19-02: A Quarter Century of Mortgage Risk
This paper provides a comprehensive account of the evolution of default risk for newly originated home mortgages over the past quarter century. We bring together several data sources to produce this history, including loan-level data for the entire Enterprise (Fannie Mae and Freddie Mac) book. We...
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Working Paper 19-01: The Price of Residential Land for Counties, ZIP codes, and Census Tracts in the United States
Data from millions of appraisals in 2012-2019 are used to estimate residential land prices, the share of house value attributable to land, and related statistics down to the census-tract level for areas that include the vast majority of U.S. population and single-family housing. The results confirm...
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Working Paper 18-04: A New Home Affordability Estimate
We offer a new home affordability estimate (HAE) that focuses on the share of housing stock that is affordable to certain households in the United States. The methodology considers affordability as it relates to funds available for down payments, initial monthly housing-related payments, and future...