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Journal Article
The effect of mortgage refinancing on money demand and the monetary aggregates

Review , Issue Jul , Pages 49-63

Conference Paper
The role of mortgage banks in the Chicago metropolitan area

Proceedings , Paper 418

Working Paper
Consumer risk appetite, the credit cycle, and the housing bubble

We explore the role of consumer risk appetite in the initiation of credit cycles and as an early trigger of the U.S. mortgage crisis. We analyze a panel data set of mortgages originated between the years 2000 and 2009 and follow their performance up to 2014. After controlling for all the usual observable effects, we show that a strong residual vintage effect remains. This vintage effect correlates well with consumer mortgage demand, as measured by the Federal Reserve Board?s Senior Loan Officer Opinion Survey, and correlates well to changes in mortgage pricing at the time the loan was ...
Working Papers , Paper 16-5

The U.S. economic outlook

Remarks at the Washington and Lee University H. Parker Willis Lecture in Political Economics, Lexington, Virginia.
Speech , Paper 20

Journal Article
Regulators: work with delinquent mortgage borrowers

Financial Update , Volume 20 , Issue 2

Working Paper
The prepayment experience of FNMA mortgage-backed securities

Research Working Paper , Paper 90-01

Working Paper
Market run-ups, market freezes, inventories, and leverage

This paper is superseded by Working Paper No. 13-14.> We study trade between a buyer and a seller who have existing inventories of assets similar to those being traded. We analyze how these inventories affect trade, information dissemination, and prices. We show that when traders? initial leverages are moderate, inventories increase price and trade volume (a market ?run-up?), but when leverages are high, trade is impossible (a market ?freeze?). Our analysis predicts a pattern of trade in which prices and volumes first increase, and then markets break down. Moreover, the presence of competing ...
Working Papers , Paper 12-8

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



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