Paul Gompers EMCF 2009 March 5, 2009
|
|
- Walter King
- 5 years ago
- Views:
Transcription
1 Paul Gompers EMCF 2009 March 5, 2009
2 Examine two papers that use interesting cross sectional variation to identify their tests. Find a discontinuity in the data. In how much you have to fund your pension plan. In how easy
3 Josh Rauh JF 2006
4 Sponsors of defined benefit DB pension plans need to make contributions to their pension pools that are legally specified, i.e., formulaic. DB plans pledge future payments to workers Based on retirement cohorts, promised benefits, assumed returns, and existing assets, pension plans are either under-, fully-, or overfunded. Funding status has non-linear affects on amount of corporate contributions to the pension fund. This funding amount varies from year to year for a variety of reasons.
5 Funding requirement can vary because: Fund returns Changes in the discount rate applied to future benefits. Voluntary funding decisions. Changes in the future benefit structures.
6 Does the required level of contributions to the pension fund (Mandatory contributions MC) affect the capital expenditure and R&D of public companies? Changes in the contribution may be correlated with firm prospects, its cash flow, and its investment opportunities. i But There are non-linearities in the contribution requirements for certain levels of underfunded status. Also for overfunded pensions, lose tax benefits of contributions.
7 Estimate the effect using these non- linearities. Get identification of whether external finance is costly. Instrument for internal cash.
8 Figure 1 Funding status of all public traded firms on Compustat. Big cross sectional and time series variation. Data from SEC filings. Unfortunately, SEC filings don t give enough information to run test. Get plan information from IRS form 5500 filings. Hence, sample runs from 1990 to 1998.
9 Underfunded plans must contribute amount equal to new benefits accrued plus a fraciton of the funding shortfall. Contribute the larger of: Minimum funding contribution (MFC) Deficit reduction contribution (DRC) Prior to 1994 = min{0.30, [ *(funding status- 0.35)] After1994 = min{0.30, [ *(funding status-0.60)] Figure 2. Overfunded plans are not required to contribute. Can make voluntary contributions, but big Can make voluntary contributions, but big contributions lose tax advantage.
10 Typical regression of investment on Q and cash flow. Include Z it, mandatory contribution (MC) Include firm and year FE
11 Still endogeneity concerns, but will utilize Still endogeneity concerns, but will utilize the kink in MC to identify exogenous variation in internal cash.
12 Unbalanced panel using the IRS 5500 filings for all firms that report DB pension assets. Typically older manufacturing firms. 8,030 firm-year observations for 1,522 firms. Table I Summary stats. Compare actual to required contributions. Figure 3. Use a kernel estimation of the density function. Definition of The Epanechnikov Kernel: The Epanechnikov kernel is this function: (3/4)(1-u2) ) for - 1<u<1 and zero for u outside that range. Here u=(xxi)/h, where h is the window width and xi are the values of the independent variable in the data, and x is the value of the scalar independent variable for which one seeks an estimate.
13 Graph mandatory contributions/book assets Figure 4
14 Look at relationship between funding status and capital expenditure and funding status and pension contributions, both scaled by assets. Do non-parametric univariate analysis using the Epanechnikov kernel. Figure 5. Looks as if there are similar inverted patterns in capex and pension contributions.
15 Regression with a variety of specifications. Baseline without MC. Breakout contributions into mandatory and total contributions. Look at funding status of pension fund. Cluster standard errors by firm to correct for within firm serial correlation of error terms. Alternatively, cluster by year (ala Fama-McBeth) or use an arbitrary AR(1) correction in the panel. Table II. Only mandatory contributions matter. Include funding status as an independent variable. Hence, it is the shape of the contribution curve that identifies ifi the effect, not funding status.
16 Can instrument for pension contributions by using MC as an instrument for either total pension contributions or total firm cash flow. Identifying that component of pension contribution or cash flow that is correlated with MC. Include funding status as an independent variable. Hence, it is the shape of the contribution ti curve that identifies the effect, not funding status. Table III.
17 Examine a variety of other uses of corporate cash. R&D, Acquisitions, dividends, repurchases, and changes in debt. Table IV. No affect on R&D. Perhaps R&D has big startup and stopping costs. Reduction in acquisitions. In Tobit regressions, reduction in dividends and repurchases. Increase in debt. Reduction in trade credit. Increase in working capital.
18 Divide MC into the unexpected and expected components. Need to calculate the expected pension assets and liabilities. i Utilize information on pension liabilities, expected return (based upon share of stock and bonds in portfolio). Table V. Both expected and unexpected MCs matter.
19 Prior literature has utilized a variety of measures of funding constraint proxies. These have been shown to be related to cash flow-investment sensitivities in a variety of papers. Utilize: Age Credit rating Dividend ratio Cash balances Those firms with Capex > cash flow. Table VI. In general, variables that are proxies for financing constraints t are associated with greater sensitivity of investment to cash flow.
20 Is there a cost to the firm of MC? Level of investment around large MCs (>0.1% of book value of assets). Figure 6. Do other firms take up the slack? Estimate total industry pension requirements. Table VII: Look at firms based upon cash and capex to CF. Unconstrained firms seem to increase investment.
21 Kink in MC based on funding status is a nice natural variation that allows for examination of Cash flow-investment puzzle. Financing constraints do seem to matter for these types of firms. Remember, these are DB companies which h may have very different types of investment behavior.
22 Benjamin Keys, Tanmoy Mukherjee, Amit Seru, and Vikrant Vig Working paper 2008
23 Incentive problems potentially exist when banks/lenders originate loans and then sell them in a securitized pool. Perhaps less incentive to fully gather information if you are selling the loan off. Papers have looked at this issue, but endogeneity issues plague most of them. Exploit an industry rule of thumb to identify any effects on monitoring/information gathering.
24 Prominent rule of thumb is to not lend to people with FICO scores less than 620. FICO scores FICO is the acronym for Fair Isaac Corporation, a publicly-traded corporation (under the symbol "FIC") that created the best-known and most widely used credit score model in the United States. Calculated statistically, with information from a consumer's credit files. Primarily used in credit decisions made by banks and other providers of secured and unsecured credit. Intended to show the likelihood that a borrower will default on a loan Range is 400 to 900.
25 This rule of thumb makes securitizing loans of borrowers with FICO scores less than 620 more difficult, i.e., they are less liquid. Guidelines by Freddie Mac Cautious Review Category Research design: Look at borrowers just above and just below the 620 break. Should have similar default probabilities. Look at quality of the loans, terms, etc
26 Borrowers on either side of 620 should look similar. Only small differences in characteristics. Screening is costly for lenders.
27 Look at loans where collection of soft information may be important. Low documentation loans. More likely that soft information would be important to estimate default probabilities. Full documentation loans.
28 60% of loans trade as mortgage-backed g securities. Most are agency-pass through pools. Freddie Mac (Federal Home Loan Mortgage Corporation), Fannie Mae (Federal National Mortgage Association), Ginnie Mae (Government National Mortgage Association). Agency eligibility is based upon loan size, credit score, and underwriting standards. Implicit government guarantee. Non-agency loans subprime More expensive. Price of loan depends upon credit score, debt to income, and documentation level. No guarantee of loan.
29 LoanPerformance. Detailed data on non-agency securities markets. 8,000 home equity and nonprime loan pools millionloans. $1.6 trillion outstanding. 90% of all securitized subprime loans.
30 Hard information: FICO Score Loan terms (LTV, interest rate) Soft information: Measure of future income stability of borrower, years of information provided by borrower, joint income status). When securitized, only hard information, y provided.
31 Y is number of loans of score I T = indicator if FICO>620 and 0 if FICO<620. T*f(FICO) is a flexible seventh-order polynomial. Fit smooth curve. Data recentered so that FICO = 620 is 0. At cutoff, polynomial is evaluated at 0. β is measure of discontinuity for FICO>620.
32 Table I Focus only on low documentation loans. Those where soft information will be important. Figure 2 Increase in number of loans above 620. Yearly. Table 2 β coefficient by year. Do permutation test. Look for discontinuity at other places. Allow the 0 to be at different FICO scores. Do not find any other discontinuities.
33 Look at LTV and interest rates. Figures 3 and 4.
34 Look at whether or not performance of loan differs around 620. Look at default rates. Dollar weighted. Default within months of origination. Collapse data into 1 point FICO bins. Figures 6A-F. Table III. Figure 7 Delinquencies by age of loan.
35 Look at loans on either side of 620. Group for loans 615 to 619 and T=1 if FICO is between 620 and 624 and 0 for FICO between 615 and 619 between 615 and 619. Control for type of loan Adjustable or Fixed rate. Age. Logit is Panel C of Table III.
36 Look at Georgia and New Jersey. Both passed Fair Lending Laws. Strong restrictions on predatory lending. Made securitizing loans very difficult when law was in effect. Both laws later repealed. Run same regression and include interaction for when Fair Lending law was in effect and not. Table IV. Big increase in loans above 620 when law not in effect in those states. No effect when Fair Lending law in place.
37 Do borrowers manipulate their FICO score to be just above 620 Fair Isaac says that it takes time and is hard to do. Look at six months immediately after repeal of Fair Lending laws. Table IV Panel B. Change in delinquencies happens immediately Change in delinquencies happens immediately after law for loans with FICO > 620.
38 Does the effect exist in full documentation loans. Greater information about borrower s ability to repay. Fair Isaac advises lenders that below FICO of 600, very troubled borrower. Figure 11 Substantial increase in full documentation loans with FICO>600. Look at default rates above and below FICO 600 for full documentation loans. Figures 12 and 13. Table VI.
39 Seems as if loan default differential in low documentation loans is due to soft information For full documentation loans, i.e., with more hard information, no difference at loan inflection point.
40 Interesting use of kink in the behavior of lenders. Find that this leads to an effect on loan repayment. Nice set of robustness tests.
Bakke & Whited [JF 2012] Threshold Events and Identification: A Study of Cash Shortfalls Discussion by Fabian Brunner & Nicolas Boob
Bakke & Whited [JF 2012] Threshold Events and Identification: A Study of Cash Shortfalls Discussion by Background and Motivation Rauh (2006): Financial constraints and real investment Endogeneity: Investment
More informationCredit Constraints and Search Frictions in Consumer Credit Markets
in Consumer Credit Markets Bronson Argyle Taylor Nadauld Christopher Palmer BYU BYU Berkeley-Haas CFPB 2016 1 / 20 What we ask in this paper: Introduction 1. Do credit constraints exist in the auto loan
More informationOnline Appendix Information Asymmetries in Consumer Credit Markets: Evidence from Payday Lending
Online Appendix Information Asymmetries in Consumer Credit Markets: Evidence from day Lending Will Dobbie Harvard University Paige Marta Skiba Vanderbilt University March 2013 Online Appendix Table 1 Difference-in-Difference
More informationFinancial Regulation and Securitization: Evidence from Subprime Mortgage Loans
Federal Reserve Board From the SelectedWorks of Benjamin J. Keys July, 29 Financial Regulation and Securitization: Evidence from Subprime Mortgage Loans Benjamin J. Keys, Federal Reserve Board Tanmoy K.
More informationUniversity of Mannheim
Threshold Events and Identication: A Study of Cash Shortfalls Bakke and Whited, published in the Journal of Finance in June 2012 Introduction The paper combines three objectives 1 Provide general guidelines
More informationFinancial Innovation and Borrowers: Evidence from Peer-to-Peer Lending
Financial Innovation and Borrowers: Evidence from Peer-to-Peer Lending Tetyana Balyuk BdF-TSE Conference November 12, 2018 Research Question Motivation Motivation Imperfections in consumer credit market
More informationEmpirical Methods for Corporate Finance. Regression Discontinuity Design
Empirical Methods for Corporate Finance Regression Discontinuity Design Basic Idea of RDD Observations (e.g. firms, individuals, ) are treated based on cutoff rules that are known ex ante For instance,
More informationFurther Investigations into the Origin of Credit Score Cutoff Rules
Further Investigations into the Origin of Credit Score Cutoff Rules Ryan Bubb and Alex Kaufman No. 11-12 Abstract: Keys, Mukherjee, and Vig (2010a) argue that the evidence presented in Bubb and Kaufman
More informationSubprime Loan Performance
Disclosure Regulation on Mortgage Securitization and Subprime Loan Performance Lantian Liang Harold H. Zhang Feng Zhao Xiaofei Zhao October 2, 2014 Abstract Regulation AB (Reg AB) enacted in 2006 mandates
More informationEcon 234C Corporate Finance Lecture 2: Internal Investment (I)
Econ 234C Corporate Finance Lecture 2: Internal Investment (I) Ulrike Malmendier UC Berkeley January 30, 2008 1 Corporate Investment 1.1 A few basics from last class Baseline model of investment and financing
More informationCredit Market Consequences of Credit Flag Removals *
Credit Market Consequences of Credit Flag Removals * Will Dobbie Benjamin J. Keys Neale Mahoney July 7, 2017 Abstract This paper estimates the impact of a credit report with derogatory marks on financial
More informationFintech, Regulatory Arbitrage, and the Rise of Shadow Banks
Fintech, Regulatory Arbitrage, and the Rise of Shadow Banks Greg Buchak, University of Chicago Gregor Matvos, Chicago Booth and NBER Tomek Piskorski, Columbia GSB and NBER Amit Seru, Stanford University
More informationCredit Market Consequences of Credit Flag Removals *
Credit Market Consequences of Credit Flag Removals * Will Dobbie Benjamin J. Keys Neale Mahoney June 5, 2017 Abstract This paper estimates the impact of a bad credit report on financial outcomes by exploiting
More informationDid Securitization Lead to Lax Screening? Evidence From Subprime Loans
Did Securitization Lead to Lax Screening? Evidence From Subprime Loans Benjamin J. Keys Tanmoy Mukherjee Amit Seru Vikrant Vig First Version: November 2007 This Version: December 2008 Acknowledgments:
More informationLoan Originations and Defaults in the Mortgage Crisis: The Role of the Middle Class. Internet Appendix. Manuel Adelino, Duke University
Loan Originations and Defaults in the Mortgage Crisis: The Role of the Middle Class Internet Appendix Manuel Adelino, Duke University Antoinette Schoar, MIT and NBER Felipe Severino, Dartmouth College
More informationWhere s the Smoking Gun? A Study of Underwriting Standards for US Subprime Mortgages
Where s the Smoking Gun? A Study of Underwriting Standards for US Subprime Mortgages Geetesh Bhardwaj The Vanguard Group Rajdeep Sengupta Federal Reserve Bank of St. Louis ECB CFS Research Conference Einaudi
More information620 FICO, Take II: Securitization and Screening in the Subprime Mortgage Market
620, Take II: Securitization and Screening in the Subprime Mortgage Market Benjamin J. Keys Federal Reserve Board of Governors Tanmoy Mukherjee Sorin Capital Management Amit Seru Chicago Booth School of
More information1. Modification algorithm
Internet Appendix for: "The Effect of Mortgage Securitization on Foreclosure and Modification" 1. Modification algorithm The LPS data set lacks an explicit modification flag but contains enough detailed
More informationWells Fargo Bank, N.A. General Information Statement
The following information should be considered in conjunction with the Prior Securitized Pool reports: General Information Statement. The performance information for Prior Securitized Pools is based upon
More informationInternet Appendix for Did Dubious Mortgage Origination Practices Distort House Prices?
Internet Appendix for Did Dubious Mortgage Origination Practices Distort House Prices? John M. Griffin and Gonzalo Maturana This appendix is divided into three sections. The first section shows that a
More informationDid Affordable Housing Legislation Contribute to the Subprime Securities Boom?
Did Affordable Housing Legislation Contribute to the Subprime Securities Boom? Andra C. Ghent (Arizona State University) Rubén Hernández-Murillo (FRB St. Louis) and Michael T. Owyang (FRB St. Louis) Government
More informationThe Effect of Mortgage Broker Licensing On Loan Origination Standards and Defaults: Evidence from U.S. Mortgage Market
The Effect of Mortgage Broker Licensing On Loan Origination Standards and Defaults: Evidence from U.S. Mortgage Market Lan Shi lshi@urban.org Yan (Jenny) Zhang Yan.Zhang@occ.treas.gov Presentation Sept.
More informationWells Fargo Bank, N.A. General Information Statement
The following information should be considered in conjunction with the Prior Securitized Pool reports: General Information Statement. The performance information for Prior Securitized Pools is based upon
More informationAPPENDIX A: GLOSSARY
APPENDIX A: GLOSSARY Italicized terms within definitions are defined separately. ABCP see asset-backed commercial paper. ABS see asset-backed security. ABX.HE A series of derivatives indices constructed
More informationFannie Mae 2010 First Quarter Credit Supplement. May 10, 2010
Fannie Mae 2010 First Quarter Credit Supplement May 10, 2010 1 These materials present tables and other information about Fannie Mae, including information contained in Fannie Mae s Quarterly Report on
More informationMortgage Rates, Household Balance Sheets, and Real Economy
Mortgage Rates, Household Balance Sheets, and Real Economy May 2015 Ben Keys University of Chicago Harris Tomasz Piskorski Columbia Business School and NBER Amit Seru Chicago Booth and NBER Vincent Yao
More informationRisk Management and Rating Segmentation in Credit Markets
Risk Management and Rating Segmentation in Credit Markets G. Rodano 1 N. Serrano-Velarde 2 E. Tarantino 3 1 Bank of Italy 2 Bocconi University 3 University of Bologna June 24, 2014 Risk Management Defintion
More informationSECURITIZATION AND MORAL HAZARD: EVIDENCE FROM A LENDER CUTOFF RULE
SECURITIZATION AND MORAL HAZARD: EVIDENCE FROM A LENDER CUTOFF RULE RYAN BUBB AND ALEX KAUFMAN ABSTRACT. Credit score cutoff rules are a salient feature of mortgage markets and can be used to investigate
More informationAlternate Specifications
A Alternate Specifications As described in the text, roughly twenty percent of the sample was dropped because of a discrepancy between eligibility as determined by the AHRQ, and eligibility according to
More informationAfter-tax APRPlus The APRPlus taking into account the effect of income taxes.
MORTGAGE GLOSSARY Adjustable Rate Mortgage Known as an ARM, is a Mortgage that has a fixed rate of interest for only a set period of time, typically one, three or five years. During the initial period
More informationDefining Issues. Regulators Finalize Risk- Retention Rule for ABS. November 2014, No Key Facts. Key Impacts
Defining Issues November 2014, No. 14-50 Regulators Finalize Risk- Retention Rule for ABS Contents Summary of Final Rule... 2 Qualified Residential Mortgage Exemption... 4 Other Exemptions... 4 Risk Retention...
More informationFannie Mae 2009 Second Quarter Credit Supplement. August 6, 2009
Fannie Mae 2009 Second Quarter Credit Supplement August 6, 2009 1 These materials present tables and other information about Fannie Mae, including information contained in Fannie Mae s Quarterly Report
More informationAre Lemon s Sold First? Dynamic Signaling in the Mortgage Market. Online Appendix
Are Lemon s Sold First? Dynamic Signaling in the Mortgage Market Online Appendix Manuel Adelino, Kristopher Gerardi and Barney Hartman-Glaser This appendix supplements the empirical analysis and provides
More informationMortgage Terms Glossary
Mortgage Terms Glossary Adjustable-Rate Mortgage (ARM) A mortgage where the interest rate is not fixed, but changes during the life of the loan in line with movements in an index rate. You may also see
More informationCredit-Induced Boom and Bust
Credit-Induced Boom and Bust Marco Di Maggio (Columbia) and Amir Kermani (UC Berkeley) 10th CSEF-IGIER Symposium on Economics and Institutions June 25, 2014 Prof. Marco Di Maggio 1 Motivation The Great
More informationWhat is the micro-elasticity of mortgage demand to interest rates?
What is the micro-elasticity of mortgage demand to interest rates? Stephanie Lo 1 December 2, 2016 1 Part of this work has been performed at the Federal Reserve Bank of Boston. The views expressed in this
More informationOnline Appendix for Unemployment Insurance as a Housing Market Stabilizer
Online Appendix for Unemployment Insurance as a Housing Market Stabilizer By JOANNE W. HSU, DAVID A. MATSA, AND BRIAN T. MELZER * Appendix A. Using LPS to calculate extended benefits effect on the probability
More informationOnline Appendix to: Regional Redistribution
Online Appendix to: Regional Redistribution Erik Hurst University of Chicago Booth School of Business and NBER Benjamin J. Keys University of Chicago Harris School of Public Policy Joseph S. Vavra University
More informationMemorandum. Sizing Total Exposure to Subprime and Alt-A Loans in U.S. First Mortgage Market as of
Memorandum Sizing Total Exposure to Subprime and Alt-A Loans in U.S. First Mortgage Market as of 6.30.08 Edward Pinto Consultant to mortgage-finance industry and chief credit officer at Fannie Mae in the
More informationIvan Gjaja (212) Natalia Nekipelova (212)
Ivan Gjaja (212) 816-8320 ivan.m.gjaja@ssmb.com Natalia Nekipelova (212) 816-8075 natalia.nekipelova@ssmb.com In a departure from seasonal patterns, January speeds were 1% CPR higher than December speeds.
More informationStrategic Default, Loan Modification and Foreclosure
Strategic Default, Loan Modification and Foreclosure Ben Klopack and Nicola Pierri January 17, 2017 Abstract We study borrower strategic default in the residential mortgage market. We exploit a discontinuity
More informationMortgage Rates, Household Balance Sheets, and the Real Economy
Mortgage Rates, Household Balance Sheets, and the Real Economy Ben Keys University of Chicago Harris Tomasz Piskorski Columbia Business School and NBER Amit Seru Chicago Booth and NBER Vincent Yao Fannie
More informationAn Empirical Study on Default Factors for US Sub-prime Residential Loans
An Empirical Study on Default Factors for US Sub-prime Residential Loans Kai-Jiun Chang, Ph.D. Candidate, National Taiwan University, Taiwan ABSTRACT This research aims to identify the loan characteristics
More informationInterest Rate Pass-Through: Mortgage Rates, Household Consumption, and Voluntary Deleveraging. Online Appendix
Interest Rate Pass-Through: Mortgage Rates, Household Consumption, and Voluntary Deleveraging Marco Di Maggio, Amir Kermani, Benjamin J. Keys, Tomasz Piskorski, Rodney Ramcharan, Amit Seru, Vincent Yao
More informationMeasuring Impact. Impact Evaluation Methods for Policymakers. Sebastian Martinez. The World Bank
Impact Evaluation Measuring Impact Impact Evaluation Methods for Policymakers Sebastian Martinez The World Bank Note: slides by Sebastian Martinez. The content of this presentation reflects the views of
More informationStructured RAY Risk-Adjusted Yield for Securitizations and Loan Pools
Structured RAY Risk-Adjusted Yield for Securitizations and Loan Pools Market Yields for Mortgage Loans The mortgage loans over which the R and D scoring occurs have risk characteristics that investors
More informationFirm Manipulation and Take-up Rate of a 30 Percent. Temporary Corporate Income Tax Cut in Vietnam
Firm Manipulation and Take-up Rate of a 30 Percent Temporary Corporate Income Tax Cut in Vietnam Anh Pham June 3, 2015 Abstract This paper documents firm take-up rates and manipulation around the eligibility
More informationLecture 26 Exchange Rates The Financial Crisis. Noah Williams
Lecture 26 Exchange Rates The Financial Crisis Noah Williams University of Wisconsin - Madison Economics 312/702 Money and Exchange Rates in a Small Open Economy Now look at relative prices of currencies:
More informationEnergy Efficiency Fund: A Model for Financing Energy Efficiency Improvements
Energy Efficiency Fund: A Model for Financing Energy Efficiency Improvements March 9, 2010 Presentation to Energy Efficiency Advisory Council Thomas Darling, Clean Energy Fellow 1 Introduction Three year
More informationThe Attractions and Perils of Flexible Mortgage Lending
The Attractions and Perils of Flexible Mortgage Lending Mark J. Garmaise UCLA Anderson Abstract A mortgage program that offered borrowers greater flexibility in the timing of repayments increased a bank
More informationTHE DIRECT AND INDIRECT COSTS FROM THE
NATIONAL TAX ASSOCIATION PROCEEDINGS WOULD A LIMITATION ON BAD DEBT WRITE-OFFS DISCOURAGE HIGH-RISK LOANS?* Jason DeBacker and Matthew Knittel The U.S. Department of the Treasury, Office of Tax Analysis
More informationWelcome! Credit Scoring and Sub-Prime Lending
Welcome! Credit Scoring and Sub-Prime Lending What is Credit Scoring? It s the use of a statistical model to objectively evaluate all the credit information available in a single repository What is a repository?
More informationPolicy Evaluation: Methods for Testing Household Programs & Interventions
Policy Evaluation: Methods for Testing Household Programs & Interventions Adair Morse University of Chicago Federal Reserve Forum on Consumer Research & Testing: Tools for Evidence-based Policymaking in
More informationCredit Constraints and Search Frictions. in Consumer Credit Markets
Credit Constraints and Search Frictions in Consumer Credit Markets Bronson Argyle Taylor Nadauld Christopher Palmer August 2016 Abstract This paper documents consumer credit constraints in the market for
More informationFactors in the returns on stock : inspiration from Fama and French asset pricing model
Lingnan Journal of Banking, Finance and Economics Volume 5 2014/2015 Academic Year Issue Article 1 January 2015 Factors in the returns on stock : inspiration from Fama and French asset pricing model Yuanzhen
More informationSubprime Mortgage Defaults and Credit Default Swaps
THE JOURNAL OF FINANCE VOL. LXX, NO. 2 APRIL 2015 Subprime Mortgage Defaults and Credit Default Swaps ERIC ARENTSEN, DAVID C. MAUER, BRIAN ROSENLUND, HAROLD H. ZHANG, and FENG ZHAO ABSTRACT We offer the
More informationThe impact of the originate-to-distribute model on banks before and during the financial crisis
The impact of the originate-to-distribute model on banks before and during the financial crisis Richard J. Rosen Federal Reserve Bank of Chicago Chicago, IL 60604 rrosen@frbchi.org November 2010 Abstract:
More informationFannie Mae 2009 First Quarter Credit Supplement. May 8, 2009
Fannie Mae 2009 First Quarter Credit Supplement May 8, 2009 1 These materials present tables and other information about Fannie Mae, including information contained in Fannie Mae s Quarterly Report on
More informationFannie Mae Reports Net Income of $2.0 Billion and Comprehensive Income of $2.2 Billion for Third Quarter 2015
Resource Center: 1-800-732-6643 Contact: Date: Pete Bakel 202-752-2034 November 5, 2015 Fannie Mae Reports Net Income of 2.0 Billion and Comprehensive Income of 2.2 Billion for Third Quarter 2015 Fannie
More informationIn Debt and Approaching Retirement: Claim Social Security or Work Longer?
AEA Papers and Proceedings 2018, 108: 401 406 https://doi.org/10.1257/pandp.20181116 In Debt and Approaching Retirement: Claim Social Security or Work Longer? By Barbara A. Butrica and Nadia S. Karamcheva*
More informationInternet Appendix to Broad-based Employee Stock Ownership: Motives and Outcomes *
Internet Appendix to Broad-based Employee Stock Ownership: Motives and Outcomes * E. Han Kim and Paige Ouimet This appendix contains 10 tables reporting estimation results mentioned in the paper but not
More informationHousehold debt and spending in the United Kingdom
Household debt and spending in the United Kingdom Philip Bunn and May Rostom Bank of England Fourth ECB conference on household finance and consumption 17 December 2015 1 Outline Motivation Literature/theory
More informationRisk and Portfolio Management Spring Construction of Risk Models from PCA: Treasurys and MBS
Risk and Portfolio Management Spring 2011 Construction of Risk Models from PCA: Treasurys and MBS A general approach for modeling market risk in portfolios Abstracting from the work done on equities, we
More informationWe follow Agarwal, Driscoll, and Laibson (2012; henceforth, ADL) to estimate the optimal, (X2)
Online appendix: Optimal refinancing rate We follow Agarwal, Driscoll, and Laibson (2012; henceforth, ADL) to estimate the optimal refinance rate or, equivalently, the optimal refi rate differential. In
More informationPecuniary Mistakes? Payday Borrowing by Credit Union Members
Chapter 8 Pecuniary Mistakes? Payday Borrowing by Credit Union Members Susan P. Carter, Paige M. Skiba, and Jeremy Tobacman This chapter examines how households choose between financial products. We build
More informationThe following information concerning Wells Fargo Bank s prior originations and purchases of Prime Adjustable-Rate Loans is included in this file:
The following information concerning Wells Fargo Bank s prior originations and purchases of Prime Adjustable-Rate Loans is included in this file: summary information regarding original characteristics
More informationLending and Collateral Q&A
November 14, 2017 Note - Each answer in this document is written as if it were a stand-alone response. Therefore, some information may be repeated. What is an advance and how do advances work? The FHLBanks
More informationMacroeconomic Adverse Selection: How Consumer Demand Drives Credit Quality
Macroeconomic Adverse Selection: How Consumer Demand Drives Credit Quality Joseph L. Breeden, CEO breeden@strategicanalytics.com 1999-2010, Strategic Analytics Inc. Preview Using Dual-time Dynamics, we
More informationFannie Mae 2011 Third-Quarter Credit Supplement. November 8, 2011
Fannie Mae 2011 Third-Quarter Credit Supplement November 8, 2011 This presentation includes information about Fannie Mae, including information contained in Fannie Mae s Quarterly Report on Form 10-Q for
More informationImport Competition and Household Debt
Import Competition and Household Debt Barrot (MIT) Plosser (NY Fed) Loualiche (MIT) Sauvagnat (Bocconi) USC Spring 2017 The views expressed in this paper are those of the authors and do not necessarily
More informationSubprime Loan Performance
Disclosure Regulation on Mortgage Securitization and Subprime Loan Performance Lantian Liang Harold H. Zhang Feng Zhao Xiaofei Zhao May 22, 2015 Abstract In 2006, the US Securities and Exchange Commission
More informationSecuritization and the Fixed-Rate Mortgage
Securitization and the Fixed-Rate Mortgage Andreas Fuster and James Vickery August 28, 2012 Preliminary and incomplete: please do not circulate without permission Abstract Fixed-rate mortgages (FRMs) dominate
More informationAsset Lending. Hard Money ASSET LENDING OR HARD MONEY
Asset Lending OR Hard Money ASSET LENDING OR HARD MONEY Asset Lending or Hard Money The purpose of this chapter is to introduce you to one of the most lucrative and least understood aspects of real estate
More informationFannie Mae 2008 Q3 10-Q Credit Supplement. November 10, 2008
Fannie Mae 2008 Q3 10-Q Credit Supplement November 10, 2008 1 These materials present tables and other information about Fannie Mae, including information contained in Fannie Mae s Quarterly Report on
More informationPeer Effects in Retirement Decisions
Peer Effects in Retirement Decisions Mario Meier 1 & Andrea Weber 2 1 University of Mannheim 2 Vienna University of Economics and Business, CEPR, IZA Meier & Weber (2016) Peers in Retirement 1 / 35 Motivation
More informationSolutions to Midterm Exam #2 Economics 252 Financial Markets Prof. Robert Shiller April 1, PART I: 6 points each
Solutions to Midterm Exam #2 Economics 252 Financial Markets Prof. Robert Shiller April 1, 2008 PART I: 6 points each 1. ACCORDING TO SHILLER ( IRRATIONAL EXUBERANCE, 2005), WHAT HAS BEEN THE LONG-TERM
More informationCrowding Out Effects of Refinancing On New Purchase Mortgages
Crowding Out Effects of Refinancing On New Purchase Mortgages Steve Sharpe Shane M. Sherlund Federal Reserve Board Conference on Bank Structure & Competition May 2014 Disclaimer The views expressed herein
More informationOnline Appendix for Liquidity Constraints and Consumer Bankruptcy: Evidence from Tax Rebates
Online Appendix for Liquidity Constraints and Consumer Bankruptcy: Evidence from Tax Rebates Tal Gross Matthew J. Notowidigdo Jialan Wang January 2013 1 Alternative Standard Errors In this section we discuss
More informationThird Quarter 2018 Investor Presentation
Third Quarter 2018 Investor Presentation November 7, 2018 Legal Disclaimer FORWARD-LOOKING STATEMENTS. Certain statements in this presentation may constitute forward-looking statements within the meaning
More informationAre you prepared? FASB s CECL Model for Impairment Demystifying the Proposed Standard
Are you prepared? FASB s CECL Model for Impairment Demystifying the Proposed Standard Chad Kellar, CPA Senior Manager Crowe Horwath LLP Lauren Smith, CPA Senior Manager Primatics Financial Raj Mehra Executive
More informationM E M O R A N D U M Financial Crisis Inquiry Commission
M E M O R A N D U M Financial Crisis Inquiry Commission To: From: Commissioners Ron Borzekowski Wendy Edelberg Date: July 7, 2010 Re: Analysis of housing data As is well known, the rate of serious delinquency
More informationA Fast Track to Structured Finance Modeling, Monitoring, and Valuation: Jump Start VBA By William Preinitz Copyright 2009 by William Preinitz
A Fast Track to Structured Finance Modeling, Monitoring, and Valuation: Jump Start VBA By William Preinitz Copyright 2009 by William Preinitz APPENDIX A Mortgage Math OVERVIEW I have included this section
More informationDo Loan Officers Incentives Lead to Lax Lending Standards?
Do Loan Officers Incentives Lead to Lax Lending Standards? Sumit Agarwal National University of Singapore and Federal Reserve Bank of Chicago,ushakri@yahoo.com Itzhak Ben-David Fisher College of Business,
More informationCREATIVE DESTRUCTION & JOB MOBILITY: FLEXICURITY IN THE LAND OF SCHUMPETER
CREATIVE DESTRUCTION & JOB MOBILITY: FLEXICURITY IN THE LAND OF SCHUMPETER Andreas Kettemann, University of Zurich Francis Kramarz, CREST-ENSAE Josef Zweimüller, University of Zurich OECD, Paris February
More informationBank Structure and the Terms of Lending to Small Businesses
Bank Structure and the Terms of Lending to Small Businesses Rodrigo Canales (MIT Sloan) Ramana Nanda (HBS) World Bank Conference on Small Business Finance May 5, 2008 Motivation > Large literature on the
More informationThe Impact of a $15 Minimum Wage on Hunger in America
The Impact of a $15 Minimum Wage on Hunger in America Appendix A: Theoretical Model SEPTEMBER 1, 2016 WILLIAM M. RODGERS III Since I only observe the outcome of whether the household nutritional level
More information6/18/2015. Residential Mortgage Types and Borrower Decisions. Role of the secondary market Mortgage types:
Residential Mortgage Types and Borrower Decisions Role of the secondary market Mortgage types: Conventional mortgages FHA mortgages VA mortgages Home equity Loans Other Role of mortgage insurance Mortgage
More informationWells Fargo Bank, N.A. General Information Statement As of 5/1/2006
The following information should be considered in conjunction with the Prior Securitized Pool reports: General Information Statement As of //. The performance information for Prior Securitized Pools is
More informationFirst Quarter 2018 Investor Presentation
First Quarter 2018 Investor Presentation May 9, 2018 Legal Disclaimer FORWARD-LOOKING STATEMENTS. Certain statements in this presentation may constitute forward-looking statements within the meaning of
More informationQuestion of the Day. What percent of year olds have a credit card?
Chapter 6.1 Credit Objectives Explain the advantages and disadvantages of using credit Identify the different types of consumer credit Describe secured and unsecured loans Describe how to establish a sound
More informationFourth Quarter 2017 Investor Presentation
Fourth Quarter 2017 Investor Presentation March 16, 2018 Legal Disclaimer FORWARD-LOOKING STATEMENTS. Certain statements in this presentation may constitute forward-looking statements within the meaning
More informationSTRUCTURED ASSET INVESTMENT LOAN TRUST Mortgage Pass-Through Certificates, Series
PROSPECTUS SUPPLEMENT (To Prospectus dated June 27, 2005) $2,257,738,000 (Approximate) STRUCTURED ASSET INVESTMENT LOAN TRUST Pass-Through Certificates, Series 2005-6 Lehman Brothers Holdings Inc. Sponsor
More informationCOPYRIGHTED MATERIAL.
Contents Preface CHAPTER 1 Introduction 1 What You Will Learn in This Chapter 1 Overview 1 Where We Are Going in This Book 2 Contributions Made by the Financial System 4 Transfers of Resources from Surplus
More informationUnderwriting Income-Producing Projects
Targeted Community Reinvestment: HUD s Section 108 Loan Guarantee Program as a Financing Tool Underwriting Income-Producing Projects Including: Residential, Office, Retail, Industrial and Mixed-Use Real
More informationADVERSE SELECTION IN MORTGAGE SECURITIZATION *
ADVERSE SELECTION IN MORTGAGE SECURITIZATION * Sumit Agarwal 1, Yan Chang 2, and Abdullah Yavas 3 Abstract We investigate lenders choice of loans to securitize and whether the loans they sell into the
More informationStronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies
Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies Andrew Ellul 1 Vijay Yerramilli 2 1 Kelley School of Business, Indiana University 2 C. T. Bauer College of Business, University
More informationOverview of Mortgage Lending
Chapter 1 Overview of Mortgage 1 Chapter Objectives Contrast the primary mortgage market and secondary mortgage market. Identify entities involved in the primary mortgage market and the secondary market.
More informationThe Impact of Second Loans on Subprime Mortgage Defaults
The Impact of Second Loans on Subprime Mortgage Defaults by Michael D. Eriksen 1, James B. Kau 2, and Donald C. Keenan 3 Abstract An estimated 12.6% of primary mortgage loans were simultaneously originated
More informationStructured Finance. U.S. RMBS Loan Loss Model Criteria. Residential Mortgage / U.S.A. Sector-Specific Criteria. Scope. Key Rating Drivers
U.S. RMBS Loan Loss Model Criteria Sector-Specific Criteria Residential Mortgage / U.S.A. Inside This Report Page Scope 1 Key Rating Drivers 1 Model Overview 2 Role of the Model in the Rating Process 3
More information1. Logit and Linear Probability Models
INTERNET APPENDIX 1. Logit and Linear Probability Models Table 1 Leverage and the Likelihood of a Union Strike (Logit Models) This table presents estimation results of logit models of union strikes during
More information