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Research
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FHFA Mortgage Analytics Platform (Version 3.0)
This white paper incorporates the following major enhancements and updates reflected in the third version of the Single-family FHFA Mortgage Analytics Platform (FMAP v3.0) since version 2.0 of FMAP was released in May 2020.
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Working Paper 22-04: Effects of Mortgage Interest Rates on House Price Appreciation: The Role of Payment Constraints
Abstract: This research examines the effects of mortgage interest rates on house prices in the 100 largest U.S. cities, with appreciation driven by both short-run dynamics and convergence towards long-run economic fundamentals. The nature of the long-run equilibrium depends on the elasticity of...
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Working Paper 22-03: Applying Seasonal Adjustments to Housing Markets
House price seasonality has been increasing over the last decade, but adjustments have remained largely unchanged in commonly used public data. This paper shows how seasonal adjustments work—both theoretically and applied to observed transactions—when constructing house price indices (HPIs). In...
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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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The Size of the Affordable Mortgage Market: 2022-2024 Enterprise Single-Family Housing Goals - December 2021
In establishing benchmarks for the single-family home purchase and refinance goals for Fannie Mae and Freddie Mac (the Enterprises), the Federal Housing Finance Agency (FHFA) is required to measure the size of the affordable mortgage market. This FHFA technical report documents the statistical...
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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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The Size of the Affordable Mortgage Market: 2022-2024 Enterprise Single Family Housing Goals
Author: Ken Lam, Omena Ubogu, Jay Schultz, and Padmasini Raman In establishing benchmarks for the single-family home purchase housing goals for Fannie Mae and Freddie Mac (the Enterprises), the Federal Housing Finance Agency (FHFA) is required to measure the size of the mortgage market. This FHFA...
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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...