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Working Paper
Financing Affordable and Sustainable Homeownership with Fixed-COFI Mortgages
Passmore, Wayne; von Hafften, Alexander H. (2018-02-05)
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

Working Paper
U.S. Housing as a Global Safe Asset: Evidence from China Shocks
Barcelona, William; Wong, Anna; Converse, Nathan L. (2021-11-12)
This paper demonstrates that the measured stock of China's holding of U.S. assets could be much higher than indicated by the U.S. net international investment position data due to unrecorded historical Chinese inflows into an increasingly popular global safe haven asset: U.S. residential real estate. We first use aggregate capital flows data to show that the increase in unrecorded capital inflows in the U.S. balance of payment accounts over the past decade is mainly linked to inflows from China into U.S. housing markets. Then, using a unique web traffic dataset that provides a direct measure ...
International Finance Discussion Papers , Paper 1332

Working Paper
The Role of Government and Private Institutions in Credit Cycles in the U.S. Mortgage Market
Schoar, Antoinette; McCartney, W. Ben; Adelino, Manuel (2020-10-07)
The distribution of combined loan-to-value ratios (CLTVs) for purchase mortgages has been remarkably stable in the U.S. over the last 25 years. But the source of high-CLTV loans changed during the housing boom of the 2000s, with private securitization replacing FHA and VA loans directly guaranteed by the government. This substitution holds within ZIP codes, properties, and borrower types. Furthermore, the two groups exhibit similar delinquency rates. These findings suggest credit expanded predominantly through the increase in asset values rather than a relaxation of CLTV constraints, which ...
Working Papers , Paper 20-40

Working Paper
Bubbling Up? What Consumer Expectations Reveal About U.S. Housing Market Exuberance
Martínez García, Enrique; Pavlidis, Efthymios (2025-05-21)
We investigate the presence of speculative bubbles in the U.S. housing market after the global financial crisis. Unlike standard approaches that rely on observed economic fundamentals, our method leverages subjective price expectations from the University of Michigan Survey of Consumers to test for exuberance without imposing a specific model of intrinsic housing values. By applying recursive least-squares and quantile-based unit root tests to cumulative expectational errors, we uncover novel evidence of speculative dynamics at the aggregate level and across broad demographic and ...
Working Papers , Paper 2521

Working Paper
Macro Aspects of Housing
Ng, Joe Cho Yiu; Leung, Charles Ka Yui (2018-05-01)
This paper aims to achieve two objectives. First, we demonstrate that with respect to business cycle frequency (Burns and Mitchell, 1946), there was a general decrease in the association between macroeconomic variables (MV) and housing market variables (HMV) following the global financial crisis (GFC). However, there are macro-finance variables that exhibited a strong association with the HMV following the GFC. For the medium-term business cycle frequency (Comin and Gertler, 2006), we find that while some correlations exhibit the same change as the business cycle counterparts, others do not. ...
Globalization Institute Working Papers , Paper 340

Working Paper
House Price Growth Interdependencies and Comovement
Cohen, Jeffrey P.; Soques, Daniel; Coughlin, Cletus C. (2020-08-17)
This paper examines house price comovement across U.S. metropolitan areas (MSAs). We develop a Markov-switching framework that includes a spatial similarity element based on distances between MSAs. Our approach allows for house price comovements that occur due to similar timing of downturns across groups or clusters of MSAs. The inclusion of the spatial element improves the model fit compared to a standard endogenous clustering model. We find seven clusters of MSAs, where each cluster experiences idiosyncratic house price downturns, plus one distinct national house price cycle. Notably, only ...
Working Papers , Paper 2019-028

Working Paper
Desperate House Sellers: Distress Among Developers
van Straelen, Eileen (2021-10-13)
Using granular data on home builder housing developments from the 2006-09 housing crisis, I show that builders spread house price shocks across geographically distinct projects via their internal capital markets. Builders who experience losses in one area subsequently sell homes in unaffected areas at a discount to raise cash quickly. Financially constrained firms are more likely to cut prices of homes in healthy areas in response to losses in unhealthy ones. Firms also smooth shocks across projects only during the crisis and not during the boom. These results together suggest firm internal ...
Finance and Economics Discussion Series , Paper 2021-065

Working Paper
Which Way to Recovery? Housing Market Outcomes and the Neighborhood Stabilization Program
Redfearn, Christian; Cortes, Alvaro; Burnett, Kimberly; Buron, Larry; Schuetz, Jenny; DiDomenico, Michael; Buell, Jennifer Lewis; Whitlow, Stephen; Spader, Jonathan; Jefferson, Anna (2015-01-03)
To help communities recover from the foreclosure crisis, Congress enacted a set of policies known as the Neighborhood Stabilization Program (NSP). NSP's objective was to mitigate the impact of foreclosures on neighboring properties, through reducing the stock of distressed properties and removing sources of visual blight. This paper presents evidence on production outcomes achieved through the second round of NSP funding (NSP2), and discusses the housing market context under which the program operated from 2010 to 2013. Two key findings emerge. First, local grantees undertook quite different ...
Finance and Economics Discussion Series , Paper 2015-4

Working Paper
Lease Expirations and CRE Property Performance
Glancy, David P.; Wang, J. Christina (2023-08-01)
This study analyzes how lease expirations affect the performance of commercial real estate (CRE) properties and how these patterns changed during the COVID-19 crisis. Even before the pandemic, lease expirations were associated with a notable increase in the downside risk to a property’s occupancy or income, particularly in weaker property markets. These risks became more pronounced during the pandemic, driven mostly by office properties. During the pandemic, the adverse effect of lease expirations on office occupancy increased more than 50 percent overall, and it doubled for offices in ...
Working Papers , Paper 23-10

Working Paper
Screen More, Sell Later: Screening and Dynamic Signaling in the Mortgage Market
Adelino, Manuel; Wei, Bin; Zhao, Feng (2025-04-16)
In dynamic models of asset markets with asymmetric information and endogenous screening, the anticipation of signaling through delayed sales incentivizes originators to exert greater effort ex ante. A central prediction in those models is a positive relationship between screening effort and the delay of sale. We test this theoretical prediction using the mortgage market as a laboratory, with processing time serving as a measure of screening effort. In line with the theory, mortgage processing time and the delay of sale after origination are strongly positively related in the data. Both ...
FRB Atlanta Working Paper , Paper 2025-3

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