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Working Paper
Mortgage Choice in the Housing Boom: Impacts of House Price Appreciation and Borrower Type
Furlong, Frederick T.; Takhtamanova, Yelena; Lang, David (2014-01)
The U.S. housing boom during the first part of the past decade was marked by rapid house price appreciation and greater access to mortgage credit for lower credit-rated borrowers. The subsequent collapse of the housing market and the high default rates on residential mortgages raise the issue of whether the pace of house price appreciation and the mix of borrowers may have affected the influence of fundamentals in housing and mortgage markets. This paper examines that issue in connection with one aspect of mortgage financing, the choice among fixed-rate and adjustable-rate mortgages. This ...
Working Paper Series , Paper 2014-5

Discussion Paper
Discounting the Long-Run
Diamond, Peter A.; Yu, Rui; Adrian, Tobias; Crump, Richard K. (2015-08-31)
Expectations about the path of interest rates matter for many economic decisions. Three sources for obtaining information about such expectations are available. The first is extrapolation from historical data. The second consists of surveys of expectations. The third are expectations drawn from financial market prices, often referred to as market expectations. The last are usually considered to be model-based expectations, because, generally, a model is needed to reliably extract expectations from current prices. In this post, we explain the need for and usage of term structure models for ...
Liberty Street Economics , Paper 20150831

Discussion Paper
Just Released: Hints of Increased Hardship in America’s Oil-Producing Counties
Lee, Donghoon; Haughwout, Andrew F.; Scally, Joelle; Van der Klaauw, Wilbert (2016-05-24)
Today, the New York Fed released the Quarterly Report on Household Debt and Credit for the first quarter of 2016. Overall debt saw one of its larger increases since deleveraging ended, while delinquency rates for the United States continued to improve and remain at very low levels. Although the overall picture of Americans? liabilities has continued to improve since the financial crisis, we wondered what the variation looks like at local levels. One advantage of our Consumer Credit Panel (CCP), which is based on Equifax credit data, is that we can examine geographic variation in debt and ...
Liberty Street Economics , Paper 20160524

Discussion Paper
Foreclosures Loom Large in the Region
Deitz, Richard; Abel, Jaison R. (2013-04-10)
Households in the New York-northern New Jersey region were spared the worst of the housing bust and have generally experienced less financial stress than average over the past several years. However, as the housing market has begun to recover both regionally and nationally, the region is faring far worse than the nation in one important respect—a growing backlog of foreclosures is resulting in a foreclosure rate that is now well above the national average. In this blog post, we describe this outsized increase in the region’s foreclosure rate and explain why it has occurred. We then ...
Liberty Street Economics , Paper 20130410

Discussion Paper
Who Is Driving the Recent Decline in Consumers Inflation Expectations?
Armantier, Olivier; Zafar, Basit; Topa, Giorgio; Van der Klaauw, Wilbert (2016-01-05)
The expectations of U.S. consumers about inflation have declined to record lows over the past several months. That is the finding of two leading surveys, the Federal Reserve Bank of New York’s Survey of Consumer Expectations (SCE) and the University of Michigan’s Survey of Consumers (SoC). In this post, we examine whether this decline is broad-based or whether it is driven by specific demographic groups.
Liberty Street Economics , Paper 20160105

Discussion Paper
The Effect of Fed Funds Rate Hikes on Consumer Borrowing Costs
Boyarchenko, Nina; Plosser, Matthew; Kim, Sooji (2015-12-21)
The target federal funds rate has hovered around zero for nearly a decade, and observers are questioning what effect an increase could have on both the financial markets and the real economy. In this post, we examine the historical reaction of loan rates to target rate increases. Specifically, we examine the interest rates that banks offer on residential mortgages and home equity lines of credit (HELOCs).
Liberty Street Economics , Paper 20151221

Discussion Paper
Forecasting Interest Rates over the Long Run
Diamond, Peter A.; Yu, Rui; Adrian, Tobias; Crump, Richard K. (2016-07-18)
In a previous post, we showed how market rates on U.S. Treasuries violate the expectations hypothesis because of time-varying risk premia. In this post, we provide evidence that term structure models have outperformed direct market-based measures in forecasting interest rates. This suggests that term structure models can play a role in long-run planning for public policy objectives such as assessing the viability of Social Security.
Liberty Street Economics , Paper 20160718

Discussion Paper
Just Released: Subprime Auto Debt Grows Despite Rising Delinquencies
Lee, Donghoon; Haughwout, Andrew F.; Scally, Joelle; Van der Klaauw, Wilbert (2016-11-30)
The latest Quarterly Report on Household Debt and Credit from the New York Fed's Center for Microeconomic Data showed a small increase in overall debt in the third quarter of 2016, bolstered by gains in non-housing debt. Mortgage balances continue to grow at a sluggish pace since the recession while auto loan balances are growing steadily. The rise in auto loans has been fueled by high levels of originations across the spectrum of creditworthiness, including subprime loans, which are disproportionately originated by auto finance companies. Disaggregating delinquency rates by credit score ...
Liberty Street Economics , Paper 20161130

Discussion Paper
Diplomas to Doorsteps: Education, Student Debt, and Homeownership
Chakrabarti, Rajashri; Gorton, Nicole; Van der Klaauw, Wilbert (2017-04-03)
Evidence overwhelmingly shows that the average earnings premium to having a college education is high and has risen over the past several decades, in part because of a decline in real average earnings for those without a college degree. In addition to high private returns, there are substantial social returns to having a well-educated citizenry and workforce. A new development that may have important longer-term implications for education investment and for the broader economy is a significant change in the financing of higher education. State funding has declined markedly over the past two ...
Liberty Street Economics , Paper 20170403

Working Paper
Mortgage Borrowing and the Boom-Bust Cycle in Consumption and Residential Investment
Zhou, Xiaoqing (2021-03-24)
This paper studies the transmission of the major shocks in the U.S. housing market in the 2000s to consumption and residential investment. Using geographically disaggregated data, I show that residential investment is more responsive to these shocks than consumption, as measured by elasticities and the implied contributions to GDP growth. I develop a structural life-cycle model featuring multiple types of housing investment to understand the large responses of residential investment. Consistent with the microdata, the model generates lumpy debt accumulation, lumpy housing investment and a ...
Working Papers , Paper 2103

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