Search Results

Showing results 1 to 10 of approximately 71.

(refine search)
SORT BY: PREVIOUS / NEXT
Author:Krainer, John 

Working Paper
Asset price declines and real estate market illiquidity: evidence from Japanese land values

We develop an overlapping generations model of the real estate market in which search frictions and a debt overhang combine to generate price persistence and illiquidity. Illiquidity stems from heterogeneity in agent real estate valuations. The variance of agent valuations determines how quickly prices adjust following a shock to fundamentals. We examine the predictions of the model by studying price depreciation in Japanese land values subsequent to the 1990 stock market crash. Commercial land values fell much more quickly than residential land values. As we would posit that the variance of ...
Working Paper Series , Paper 2004-16

Journal Article
Risky mortgages and mortgage default premiums

Mortgage lenders impose a default premium on the loans they originate to compensate for the possibility that borrowers won?t make payments. The housing boom of the 2000s was characterized by increasing riskiness of the borrowers approved for mortgages and the structures of the loans themselves. Despite these changes in risk, a pricing model can justify the spreads contained in mortgages made during this period based on what at the time seemed to be reasonable expectations for house price appreciation. Contrary to those expectations, prices fell dramatically.
FRBSF Economic Letter

Working Paper
Prepayment and delinquency in the mortgage crisis period

We study the interaction of borrower mortgage prepayment and mortgage delinquency during the period between 2001 and 2010. We show that when house prices flattened and began their subsequent decline, borrowers had increasingly slow prepayments and that this decline in prepayment rates roughly coincided with the sharp increase in their delinquency rates. Low credit score borrowers, in particular, display a pronounced negative correlation between default rates and prepayment rates. Shortfalls of actual prepayment rates from predicted rates based on an estimated prepayment model suggest that, in ...
Working Paper Series , Paper 2011-25

Working Paper
Innovations in mortgage markets and increased spending on housing

Over the past several decades, innovations in the mortgage market have benefited consumers through a variety of channels. Innovations include the lowering of down payment requirements, increased flexibility in repayment schedules, and the reduction of costs associated with extracting equity from homes. To ascertain the ways in which these innovations would alter spending on housing, we develop a model of the home buying and mortgage choice decision that produces a number of testable implications. For instance, the lowering of down payment requirements should result in homeownership rates ...
Working Paper Series , Paper 2007-05

Journal Article
Cap rates and commercial property prices

Commercial real estate capitalization rates have been found to be good indicators of expected returns in commercial properties. Recent declines in these cap rates appear to be signaling a commercial real estate rebound, indicating improved investor expectations of price growth in the market. Movements in national cap rates are the predominant drivers of changes in cap rates in local markets. Therefore, the anticipated commercial real estate rebound is likely to be widespread across many metropolitan areas.
FRBSF Economic Letter

Journal Article
Mortgage refinancing

FRBSF Economic Letter

Journal Article
Using equity market information to monitor banking institutions

FRBSF Economic Letter

Journal Article
Commercial real estate and low interest rates

Commercial real estate construction faltered during the 2007 recession and has improved only slowly during the recovery. However, low interest rates have led to higher property valuations and are clearly benefiting the sector. The recovery of commercial property prices has been notable. Some measures suggest that, in some segments of the market, prices are close to their pre-recession highs. Valuation measures do not suggest that current prices are excessive.
FRBSF Economic Letter

Journal Article
Housing market headwinds

The housing sector has been one of the weakest links in the economic recovery, and the latest data continue to show only modest improvement. One obstacle to a pickup in housing demand has been tight mortgage credit standards. Indeed, loan standards for borrowers with lower credit scores have shown few signs of easing. Still, as the share of new mortgages financed in the private market has started to rise, access to credit may improve.
FRBSF Economic Letter

Journal Article
Underwater mortgages

House prices have fallen approximately 30% from their peak in 2006, accompanied by a level of defaults and foreclosures without precedent in the post-World War II era. Many homeowners have mortgages with principal amounts higher than the market value of their properties. In general, though, the rational default point is below the "underwater" point where house price equals the remaining loan balance, and depends on prospects for future house price appreciation and borrower default costs.
FRBSF Economic Letter

FILTER BY year

FILTER BY Content Type

FILTER BY Jel Classification

G21 5 items

G23 2 items

G32 2 items

C18 1 items

C52 1 items

E32 1 items

show more (11)

FILTER BY Keywords

Mortgage loans 12 items

Housing - Prices 10 items

Bank supervision 9 items

Mortgages 7 items

Real property 6 items

Housing - Finance 5 items

show more (70)

PREVIOUS / NEXT