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Working Paper 12-1: Home Price Indexes for Homes in Different Price Tiers – Biases and Corrections
Under the repeat-transactions framework for constructing house price indexes, the paper analyzes the technical challenges associated with producing unbiased price indexes for homes in distinct price tiers. The basic problem is that the “tier” to which a given home truly belongs is unobservable and...
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Working Paper 11-2: Characteristics of “High Conforming Jumbo Mortgages” and Implications for the Impact of Reductions in the Conforming Loan Limits for Fannie Mae and Freddie Mac
The maximum loan amounts for mortgages eligible for purchase by Fannie Mae and Freddie Mac (“the Enterprises”), after being temporarily increased in 2008, are scheduled to be reduced in 204 locations in 27 states and the District of Columbia as of October 1, 2011. This paper describes the...
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Working Paper 11-1: The HAMP NPV Model – Development and Early Performance
The foreclosure crisis that began in 2008 triggered the need for new approaches to treat distressed mortgages. A key component of the Obama Administration’s Home Affordable Modification Program (HAMP) was the development of a standardized Net Present Value (NPV) model to identify troubled loans...
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Working Paper 10-2: Automatic Recapitalization Alternatives
Regulators are seeking ways to reduce the procyclical effect of the current capital regulatory regime and the spillovers associated with financial firm distress. This paper examines one set of proposed solutions: ex post mechanisms that would automatically recapitalize systemically important...
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Working Paper 10-1: Estimating Median House Prices
Nondisclosure laws and other factors have hindered the production and release of median home price in many areas across the country. This paper attempts to fill the gaps and develops a simple approach to estimating median prices for a geographically complete set of areas.
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Working Paper 08-2: Enterprise Credit Default Swaps and Market Discipline – Preliminary Analysis
The current paper explores the potential role of the rapidly expanding Credit Default Swaps (CDS) market as a potential source of information and discipline to enhance Enterprise safety and soundness.
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Working Paper 08-1: Real Estate Futures Prices as Predictors of Price Trends
Regulators are seeking ways to reduce the procyclical effect of the current capital regulatory regime and the spillovers associated with financial firm distress. This paper examines one set of proposed solutions: ex post mechanisms that would automatically recapitalize systemically important...
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Working Paper 07-5: Zero Down Payment Mortgage Default
Previous research has focused on equity as a prime determinant of mortgage default propensities. This paper extends the analysis of mortgage default to include mortgages that require no down payment from the purchaser.
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Working Paper 07-4: Signals from the Markets for Fannie Mae and Freddie Mac Subordinated Debt
While considerable research exists with respect to the subordinated debt of large banks, little research has been undertaken with respect to Fannie Mae and Freddie Mac. Due to their special status, terms of sub debt and other differences, market signals related to Enterprise sub debt may not be as...
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Working Paper 07-3: Subordinated Debt Issuance by Fannie Mae and Freddie Mac
This paper examines the contribution of the current sub debt programs of Fannie Mae and Freddie Mac to market discipline of the Enterprises. The paper also examines the potential for alternative forms of sub debt to enhance market discipline of the Enterprises. Previous research on market discipline...