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Author:Passmore, Wayne 

Working Paper
An efficiency model of deposit pricing and rate rigidity

Finance and Economics Discussion Series , Paper 93-38

Conference Paper
A summary of \"Federal Home Loan Bank advances and commercial bank portfolio composition\"

Proceedings , Paper 1057

Journal Article
Credit risk and the provision of mortgages to lower-income and minority homebuyers

Federal Reserve Bulletin , Issue Nov , Pages 989-1016

Working Paper
FHA, Fannie Mae, Freddie Mac, and the Great Recession

Did government mortgage programs mitigate the adverse economic effects of the financial crisis? We find that counties with greater participation in traditional government mortgage programs experienced less severe economic downturns during the Great Recession. In particular, counties with higher levels of participation in FHA, Fannie Mae, and Freddie Mac lending had relatively smaller increases in mortgage delinquency rates; smaller declines in purchase originations, home sales, home prices, and new automobile purchases; and smaller increases in unemployment rates. These results hold both in ...
Finance and Economics Discussion Series , Paper 2016-031

Journal Article
Distribution of Credit Risk Among Providers of Mortgages to Lower-Income and Minority Homebuyers

Which institutions bear the credit risk for mortgage lending to lower-income and minority borrowers and in lower-income and predominantly minority neighborhoods? In seeking to answer those questions, the authors went beyond looking at mortgage credit risk in terms of numbers or amounts of loans and developed measures based on factors that affect the riskiness of loans, including loan-to-value ratios and associated default and loss severity rates. In 1995, a nonprofit government mortgage insurer, the Federal Housing Administration, was the major bearer of credit risk for mortgage lending to ...
Federal Reserve Bulletin , Volume 82 , Issue 12 , Pages pp. 1077-1102

Journal Article
Is mortgage lending by savings associations special?

In this paper, we investigate whether elimination of the savings association charter might reduce lending to "nontraditional" (e.g., low-income) mortgage borrowers. We present a theoretical model of lender portfolio choice, in which nontraditional lenders have some market power and traditional lenders are price-takers in the mortgage market. The comparative statics indicate differences between nontraditional and traditional lenders in terms of their asset allocation responses to changes in borrower income and house prices. Empirical tests indicate the absence of such differences between ...
Economic Review

Working Paper
Financing Affordable and Sustainable Homeownership with Fixed-COFI Mortgages

The 30-year fixed-rate fully amortizing mortgage (or ?traditional fixed-rate mortgage?) was a substantial innovation when first developed during the Great Depression. However, it has three major flaws. First, because homeowner equity accumulates slowly during the first decade, homeowners are essentially renting their homes from lenders. With this sluggish equity accumulation, many lenders require large down payments. Second, in each monthly mortgage payment, homeowners substantially compensate capital markets investors for the ability to prepay. The homeowners might have better uses for this ...
Finance and Economics Discussion Series , Paper 2018-009

Conference Paper
The subsidy provided by the federal safety net: theory and measurement

Views about the value to depository institutions of the federal safety net differ widely. Resolution of the issue is important because defining the appropriate relationship between the federal safety net and financial institutions is central to the design of efficient financial modernization strategies. A model is presented of how the safety net subsidy affects the size of the banking system and the behavior of banks. The model suggests that banks should have lower capital ratios than similar nonbank financial firms. Evidence is presented that supports this prediction, and that banks have ...
Proceedings , Issue Sep

Working Paper
Bank core deposits and the mitigation of monetary policy

We consider the business strategy of some banks that provide relationship loans (where they have loan origination and monitoring advantages relative to capital markets) with core deposit funding (where they can pass along the benefit of a sticky price on deposits). These "traditional banks" tend to lend out less than the deposits they take in, so they have a "buffer stock" of core deposits. This buffer stock of core deposits can be used to mitigate the full effect of tighter monetary policy on their bank-dependent borrowers. In this manner, the business strategy of "traditional banks" ...
Finance and Economics Discussion Series , Paper 2007-65

Working Paper
Did the Federal Reserve's MBS purchase program lower mortgage rates?

We employ empirical pricing models for mortgage-backed security (MBS) yields and for mortgage rates to measure deviations from normal market functioning in order to assess how the Federal Reserve MBS purchase program--a 16 month program announced on November 25, 2008 and completed on March 31, 2010--affected risk premiums that were embedded in mortgage and swap markets. Our pricing models suggest that the announcement of the program, which signaled strong and credible government backing for mortgage markets in particular and for the financial system more generally, reduced mortgage rates by ...
Finance and Economics Discussion Series , Paper 2011-01


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