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Discussion Paper
Foreclosure externalities: some new evidence
Willen, Paul S.; Gerardi, Kristopher S.; Yao, Vincent W.; Rosenblatt, Eric (2012)
In a recent set of influential papers, researchers have argued that residential mortgage foreclosures reduce the sale prices of nearby properties. We revisit this issue using a more robust identification strategy combined with new data that contain information on the location of properties secured by seriously delinquent mortgages and information on the condition of foreclosed properties. We find that while properties in virtually all stages of distress have statistically significant, negative effects on nearby home values, the magnitudes are economically small, peak before the distressed ...
Public Policy Discussion Paper , Paper 12-5

Journal Article
Around the Fed: What prolonged the Great Depression?
Conner, Matthew (2009-04)
Related link(s): https://www.richmondfed.org/-/media/richmondfedorg/publications/research/econ_focus/2009/spring/around_the_fed_weblinks.cfm
Econ Focus , Volume 13 , Issue Spr , Pages 13

Conference Paper
Vintage and credit rating: what matters in the ABX data during the credit crunch?
Flavin, Thomas; Dungey, Mardi; Dwyer, Gerald P. (2009-01)
The mortgage backed securities market has dramatically declined during the credit crunch of 2007-2008. To understand the factors driving its demise we utilise a latent factor model representing common effects, asset rating effects, vintage of issuance effects and liquidity effects - extending the recent representation of CDO pricing in Longstaff and Rajan (2008). Common and liquidity effects are shown to have an increasing influence on the performance of the ABX-HE indices, with the role of vintage factors changing dramatically over the sample period of January 2006 to May 2008. Consistent ...
Proceedings , Issue Jan

Journal Article
Alternative mortgages: managed risk or gamble?
Olszowy, Andrew (2006-04)
Alternative mortgages may increase flexibility for lenders and consumers, but they also add risk. The best advice for all parties is to learn as much as possible about these tools and proceed with caution.
Communities and Banking , Issue Spr , Pages 3-5

Journal Article
Risky mortgages and mortgage default premiums
Krainer, John; LeRoy, Stephen F. (2010)
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

Journal Article
Measuring interest rate risk for mortgage-related assets
Mattey, Joe P. (2000)
FRBSF Economic Letter

Journal Article
The mortgage debacle and loan modifications
Ergungor, O. Emre (2008-10)
In today's increasingly sophisticated financial markets, loan modifications are often complex processes that involve multiple players with competing legal and financial interests. To better understand loan modifications, the Federal Reserve Bank of Cleveland hosted a one-day workshop in November 2007 featuring four financial and legal experts - Tony Saunders from Arizona State University, Steven Schwarcz from Duke University, Joseph Mason from Louisiana State University, and Kathleen Engel from Cleveland State University - who shared their knowledge and recommendations for possible solutions ...
Community Reinvestment Report , Issue Fall

Working Paper
Prepayment and delinquency in the mortgage crisis period
Laderman, Elizabeth; Krainer, John (2011)
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

Journal Article
Residential Mortgage Lending for Underserved Communities: Recent Innovations
George, Taz; Keller, Jason; Engel, Emily (2016)
As the United States continues to recover from its worst financial crisis since the 1930s, housing finance leaders from both the public and private sectors have diligently worked to develop programs, products, and services to safely expand access to affordable homeownership. Despite persistently low interest rates, relatively modest growth in home prices, and a strengthening labor market, purchase mortgage volume remains low compared to the pre-crisis and pre-bubble years, and the homeownership rate continues to fall. Factors contributing to the homeownership decline include the still ...
Profitwise , Issue 1 , Pages 11-19

Speech
Supervisory perspective on current bank capital, market risk, and loan product issues: a speech at the Bank Administration Institute Treasury Management Conference, Orlando, Florida, May 4, 2006
Bies, Susan Schmidt (2006)
Speech , Paper 194

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