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Research
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Working Paper 18-03: Appraisal Accuracy and Automated Valuation Models in Rural Areas
Accurate and unbiased property value estimates are essential to credit risk management. Along with loan amount, they determine a mortgage’s loan-to-value ratio, which captures the degree of homeowner equity and is a key determinant of borrower credit risk. For home purchases, lenders generally...
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Working Paper 18-02: House Price Markups and Mortgage Defaults
The transaction price of identical housing units can vary widely due to heterogeneity in buyer and seller preferences, matching, and search costs, generating what we term "markups" above or below the average market price. We measure markups for 3.4 million purchase-money mortgages and show they can...
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Working Paper 18-01: Are Appraisal Management Companies Value-Adding? – Stylized Facts from AMC and Non-AMC Appraisals
In this paper, we study whether there are any systematic quality differences between appraisals associated and unassociated with appraisal management companies (AMCs). We find that compared to non-AMC appraisals, AMC appraisals on average share a similar degree of overvaluation despite being more...
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Working Paper 17-03: Under What Circumstances do First-time Homebuyers Overpay? – An Empirical Analysis Using Mortgage and Appraisal Data
In this paper, we study whether first-time homebuyers overpay for their homes and whether the magnitude of overpayment varies with the diligence of appraisers involved. We investigate whether sales price renegotiation mitigates the overpayment problem and assess the connection between renegotiation...
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Working Paper 17-02: Property Renovations and Their Impact on House Price Index Construction
This paper provides the first wide-scale analysis of property renovation bias in repeat-sales house price indices across a multitude of U.S. geographies. Property improvements frequently lead to positive quality drift. In local markets, omitting information on property improvements can bias index...
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Working Paper 17-01: The Daily Microstructure of the Housing Market
The microstructure of the housing market includes periodic buyer liquidity constraints, high transaction costs, and bilateral negotiations on price and timing. These separately introduce daily price volatility and negative serial correlation that is suppressed at a monthly frequency. In a daily U.S...
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Working Paper 16-04: Missing the Mark: House Price Index Accuracy and Mortgage Credit Modeling
We make two contributions to the study of house price index and mortgage credit modeling accuracy. First, we assess the predictive power of house price indices calculated at different levels of geographic aggregation. Lower levels of aggregation offer superior fit when appreciation rates vary...
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Working Paper 16-03: Oil Prices and Urban Housing Demand
We develop a model of a monocentric, oil-exporting city. The model predicts a "twist" (rotation combined with a level shift) of the house price gradient with an oil price change due to the combined producer price and transportation cost effects. Using ZIP code level house price indices between 1975...
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Working Paper 16-02: Local House Price Growth Accelerations
We document real house price growth accelerations in U.S. ZIP codes between 1975 and 2015. Acceleration episodes, which are defined to include relatively extreme periods of price growth, tend to exhibit temporal clustering and occur with greater frequency in large versus small cities. We exploit...
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Working Paper 16-01: Local House Price Dynamics: New Indices and Stylized Facts
We construct the first large-scale panel of annual house price indices for cities, counties, 3-digit ZIP codes, and 5-digit ZIP codes in the United States from 1975 through 2015 using source data with nearly 100 million transactions. Appreciation rates decrease with distance from the central...