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Research
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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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FHFA Mortgage Analytics Platform (Version 2.0)
This version of the white paper incorporates the following two major updates to the FHFA Mortgage Analytics Platform:
Re-estimated performing loan equations for 30-year fixed rate, 15-year fixed rate, and 5/1 adjustable-rate mortgages. The re-estimated equations incorporated new explanatory...
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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...
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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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NMDB Staff Working Paper 18-01: Mortgage Experiences of Rural Borrowers in the United States: Insights from the National Survey of Mortgage Originations
To date, research on rural mortgage markets in the United States has been limited by a lack of data on the specific mortgage experiences of borrowers living in rural areas. To fill this data gap, the National Survey of Mortgage Originations (NSMO) conducted a survey that oversampled people who took...