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Research
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Working Paper 15-3: Additional Market Risk Shocks: Prepayment Uncertainty and Option-Adjusted Spreads
Assessments of market risk for economic or regulatory capital typically involve calculating a portfolio’s sensitivity to key risk factor movements. Historically, practitioners have focused on two classical sources of risk, adverse changes in interest rates and volatility. As stress testing has...
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Working Paper 15-2: The Marginal Effect of First-Time Homebuyer Status on Mortgage Default and Prepayment
This paper examines the loan performance of Fannie Mae and Freddie Mac first-time homebuyer mortgages originated from 1996 to 2012. First-time homebuyer mortgages generally perform worse than repeat homebuyer mortgages. But first-time homebuyers are younger and have lower credit scores, home equity...
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Working Paper 15-1: How Low Can House Prices Go? Estimating a Conservative Lower Bound
We develop a theoretically-based statistical technique to identify a conservative lower bound for house prices. Leveraging a model based upon consumer and investor incentives, we are able to explain the depth of housing market downturns at both the national and state level over a variety of market...
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Working Paper 14-3: The Relationship between Second Liens, First Mortgage Outcomes, and Borrower Credit: 1996-2010
To help inform the ongoing policy debate concerning the risks associated with second mortgages, the paper rigorously evaluates the effect of second liens on the performance of first mortgages. Using a dataset that combines credit bureau information with mortgage performance data, the statistical...
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FHFA Brief 14-2: First-Time Homebuyer Share and House Price Growth
Author: Saty Patrabansh, Andrew Leventis, and Nayantara Hensel Abstract: This Brief provides historical, state-by-state statistics on the share of purchase-money mortgages for primary homes obtained by first-time homebuyers from 1996 to 2013. It also examines the relationship between first-time...
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FHFA Mortgage Analytics Platform (Version 1.0)
Author: Robert M. Dunsky*, Xiaoming Zhou, Michael Kane, Ming Chow, Charles Hu, Andrew Varrieur * Lead Author Background & Introduction The Federal Housing Finance Agency (FHFA) maintains a proprietary Mortgage Analytics Platform to support the Agency’s strategic plan. The objective of this white...
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Working Paper 14-2: The Effects of Monetary Policy on Mortgage Rates
Economic events over the past decade have changed central bank policies in the United States and around the world. The housing and financial markets experienced significant changes as the markets first surpassed historical highs and then underwent a recession grave enough to draw comparison with the...
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Working Paper 14-1: Countercyclical Capital Regime Revisited: Test of Robustness
This paper tests the robustness of key elements of the Smith and Weiher (2012) countercyclical capital regime. Such tests are now possible given that the recent house price cycle is nearing its end. The recent house price cycle allows for rigorous out-of-sample testing because it encompassed state...
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FHFA Brief 14-1: Employment, Income, and House Prices
Author: Andrew Leventis, Principal Economist The Brief assesses recent data on home price movements and labor market conditions. Measured over the most recent four quarters, statewide home price appreciation is shown to be only weakly related to growth in employment and personal income. Statistics...
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Housing and Mortgage Markets in 2012
The paper was prepared by staff of the Office of Policy Analysis and Research—William Doerner, Ken Lam, Andrew Leventis, Saty Patrabansh, Valerie Smith, and Jesse Weiher—under the supervision of Robert S. Seiler, Jr. Peter Alex, Colin Shelby, and Colleen Yeskovich provided research assistance. This...