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Working Paper 07-2: Home Improvements and Appreciation Rates Reflected in the OFHEO House Price Index
The repeat-transactions model that is used in the construction of OFHEO’s house price index (HPI) does not perfectly control for changes in the average condition of the housing stock. If the value of home improvements is not exactly offset by the effects of home depreciation, the HPI could reflect...
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Working Paper 07-1: Securitized Jumbo Mortgages, 1986 - 2005
This paper provides a historical review of the characteristics of jumbo mortgages financed through securitization. The research uses loan-level data on a large proportion of all jumbo mortgages originated from 1986 through 2005 and later securitized. That sample permits detailed analysis of...
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Working Paper 04-2: Measurement of the Bid-Ask Spread in Equity Option Markets
This paper develops a joint model of exchange entry and the bid-ask spread in equity option markets. To our knowledge, no other study of spreads in financial markets has incorporated the exchange decision about whether or not to list a security. This allows us to control for the potential...
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Working Paper 04-1: The Value of Foreclosed Property – House Prices, Foreclosure Laws, and Appraisals
This paper estimates the discount at which foreclosed properties sell relative to the market price or average price as reflected in housing indices such as the repeat sales 3 housing price indices. Repeat sales indices focus on the average growth of prices holding quality constant. In addition...
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Working Paper 03-6: Earnings Management During Distinct Periods of Capital Demand – Evidence from Japanese Banks
This paper investigates Japanese banks’ lending and earnings management behavior during three distinct periods of capital demand: (1) high-growth era (1985-1989); (2) financial distress period (1990-1994); and (3) banking crisis period (1995-1999).
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Working Paper 03-5: A Discrete Choice Approach to Measuring Competition in Equity Option Markets
This paper examines the relationship between exchange entry and competition in equity option markets. Exchanges compete in thousands of distinct markets, and the entry pattern in each market gives valuable information about profitability. By using a strategic framework, it is assumed that exchanges...
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Working Paper 03-4: Market Discipline of Fannie Mae and Freddie Mac: How To Share Prices and Debt Yield Spreads Respond to New Information?
There has been little empirical research assessing market discipline of Fannie Mae and Freddie Mac. A first step is to investigate how Enterprise share prices and debt yields respond to new information. This paper does so by examining the share prices of Fannie Mae and Freddie Mac and the spreads...
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Working Paper 03-3: Aggregation Bias and the Repeat Sales Price Index
This paper examines whether any consistent bias can be found in the creation of a repeat sales price index at the state level. This is done by comparing a transaction-based index with a housing-stock-based index. The housing-stock-based index weights each observed repeat transaction by the amount of...
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Working Paper 03-2: Drawing Inferences about Housing Supply Elasticity from House Price Responses to Income Shocks
The purpose of this paper is to provide information about the price elasticity of the housing supply by examining the relationship between the average price of single-family housing and the amount of personal income. A two-equation vector error correction system is estimated using a panel data set...
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Working Paper 03-1: Subprime and Prime Mortgages – Loss Distributions
This paper links the probabilities of default and prepayments to the distribution of losses associated with a synthetic portfolio of Fannie Mae and Freddie Mac mortgages randomly samples from 30-year fixed rate prime and subprime mortgages. The simulations exploit historical relationships found...