Federal Housing Finance Agency Print

Research

​Research

 

Our economists conduct research on a range of topics in housing finance, including analyzing data and uncovering emerging trends.  In addition to presenting their research to policy makers, they share their research at academic conferences and publish in journals and other scholarly outlets.  Our work enables those interested in housing finance to make decisions based on the best information available.

In particular, our researchers focused on housing trends in house prices, housing market conditions, and mortgage lending activity.  In addition, we analyze the risk and capital adequacy of the housing government-sponsored enterprises and publish papers aimed at improving public understanding of the mortgage finance system.

 

 

 Papers

 

 

FHFA MORTGAGE ANALYTICS PLATFORM445<p><strong>Background &amp; Introduction</strong></p><font size="3"><p>The Federal Housing Finance Agency (FHFA) maintains a proprietary Mortgage Analytics Platform to support the Agency’s strategic plan. The objective of this white paper is to provide interested stakeholders with a detailed description of the platform, as it is one of the tools the FHFA uses in policy analysis. The distribution of this white paper is part of a larger effort to increase transparency on mortgage performance and the analytical tools used for policy analysis and evaluation within the FHFA. </p> <p>The motivation to build the FHFA Mortgage Analytics Platform derived from the Agency’s need for an independent empirical view on multiple policy initiatives. Academic empirical studies may suffer from a lack of high quality data, while empirical work from inside the industry typically represents a specific view. The FHFA maintains several vendor platforms from which an independent view is possible, yet these platforms tend to be inflexible and opaque. The unique role of the FHFA as regulator and conservator necessitated platform flexibility and transparency to carry out its responsibilities. </p> <p>The FHFA Mortgage Analytics Platform is maintained on a continuous basis; as such, the material herein represents the platform as of the publication date of this document. As resources permit, this document will be updated to reflect enhancements to the platform. </p></font>7/10/2014 7:59:04 PM1548http://www.fhfa.gov/PolicyProgramsResearch/Research/Pages/Forms/AllItems.aspxhtmlFalseaspx
Working Paper 14-2: The Effects of Monetary Policy on Mortgage Rates1003<h4>​Abstract&#58;</h4><p>Economic events over the past decade have changed central bank policies in the United States and around the world. The housing and financial markets experienced significant changes as the markets first surpassed historical highs and then underwent a recession grave enough to draw comparison with the Great Depression. To spur recovery, the Federal Reserve first lowered short-term interest rates to near-zero and eventually embarked on several phases of large-scale asset purchases (LSAPs) to lower long-term interest rates and mortgage rates. This paper describes the evolution of the LSAP program and analyzes how interest rates and mortgage rates changed during that time. Both the long-term interest rates and mortgage rates reached historical lows in the post crisis period, primarily due to the Federal Reserve Board's accommodative policies. Two econometric approaches—an event study and a time series model—estimate the market response during each phase of the LSAP program and provide projections of mortgage rates under different shock assumptions. Results suggest that early tapering announcements helped reset interest rates and mortgage rates upwards and any rise in long-term interest rates resulting from unanticipated events (whether related to tapering or not) could lead to further increases in mortgage rates.</p>6/18/2014 2:04:03 PM489http://www.fhfa.gov/PolicyProgramsResearch/Research/Pages/Forms/AllItems.aspxhtmlFalseaspx
Working Paper 14-1: Countercyclical Capital Regime Revisited: Test of Robustness235<p>This paper tests the robustness of key elements of the Smith and Weiher (2012) countercyclical capital regime.&#160;&#160; Such tests are now possible given that the recent house price cycle is nearing its end.&#160;&#160; The recent house price cycle allows for rigorous out-of-sample testing because it encompassed state-level house price cycles of significantly greater magnitude than those observable by Smith and Weiher during the design period of their stress test.&#160;&#160; The tests of robustness presented herein support the conclusion that the Smith and Weiher countercyclical capital regime should produce capital requirements sufficient to ensure an entity would remain solvent during severe house price cycles.&#160;&#160; This conclusion is strongly supported by a back-test of the countercyclical framework using Fannie Mae’s historical book of business.&#160; If the countercyclical capital requirement had been in place during the run-up to the recent house price bubble, Fannie Mae would have been sufficiently capitalized to withstand losses it sustained in the subsequent housing crisis.&#160; This result is particularly noteworthy given that key components of the Smith and Weiher stress test were designed based upon pre-2002 data.&#160; Individual examinations of the trend line, trough, and time path components of the Smith and Weiher countercyclical capital regime all indicate that the underlying methodology is stable and robust.&#160;&#160; We also find that the countercyclical-related patterns in capital requirements will not vary when the stress test is applied to different credit models, but the level of capital required may vary appreciably.&#160; This suggests that over-reliance on any one credit model may not be prudent.​</p>5/23/2014 3:11:48 PM403http://www.fhfa.gov/PolicyProgramsResearch/Research/Pages/Forms/AllItems.aspxhtmlFalseaspx
FHFA Brief 14-1: Employment, Income, and House Prices4382<p>The Brief assesses recent data on home price movements and labor market conditions.&#160; Measured over the most recent four quarters, statewide home price appreciation is shown to be only weakly related to growth in employment and personal income.&#160; Statistics reveal that recent home price appreciation is much more closely correlated with the prior year’s home price appreciation than with recent labor market outcomes.</p>5/28/2014 3:57:42 PM249http://www.fhfa.gov/PolicyProgramsResearch/Research/Pages/Forms/AllItems.aspxhtmlFalseaspx
Housing and Mortgage Markets in 20121304<p>This Federal Housing Finance Agency (FHFA) research paper reviews developments in the housing sector and mortgage markets in the United States in 2012. The paper is part of FHFA’s ongoing effort to enhance public understanding of the nation’s housing finance system.</p>This FHFA research paper reviews developments in the housing sector and mortgage markets in the United States in 2012. The paper is part of FHFA’s ongoing effort to enhance public understanding of the nation’s housing finance system.5/28/2014 3:58:23 PM221http://www.fhfa.gov/PolicyProgramsResearch/Research/Pages/Forms/AllItems.aspxhtmlFalseaspx
Working Paper 13-3: Impacts of Down Payment Underwriting Standards on Loan Performance1376<p>Policy discussions are increasingly focused on a return to more conservative mortgage underwriting standards. This study explores the relationship between down payment (loan‐to‐value ratio or LTV) requirements and loan performance of GSE and FHA mortgages, controlling for borrower characteristics and housing market conditions.</p>This paper explores the relationship between down payment (loan-to-value or LTV ratio) requirements and loan performance of GSE and FHA mortgages, controlling for borrower characteristics and housing market conditions.5/28/2014 3:58:13 PM117http://www.fhfa.gov/PolicyProgramsResearch/Research/Pages/Forms/AllItems.aspxhtmlFalseaspx
Mortgage Market Note 13-01: A Study of First-Time Homebuyers1325<h2>Abstract&#58;</h2><p>This study estimated annual first-time homebuyer shares using 20 years of loan-level mortgage data from Fannie Mae, Freddie Mac and FHA.&#160; These shares are consistent with popular estimates from various survey data.&#160; The first-time homebuyer shares in the U.S. during the last 20 years were approximately 40 percent with a noticeable upward trend from 2007 to 2010 and a downward trend subsequently.&#160; This study also compared mortgage and borrower characteristics of first-time and repeat homebuyers. &#160;First-time homebuyers are distinct from repeat homebuyers.&#160; First-time homebuyers buy less expensive properties with smaller loans and have slightly higher preference for 30-year fixed-rate mortgages.&#160; They are also younger in age, have lower income and credit score, and higher loan-to-value and debt-to-income ratios.</p>This Note discusses first-time homeownership. It provides a historical perspective on trends in first-time homebuyer share of households purchasing principal residences, and also discusses loan characteristic changes of first-time homebuyers.5/23/2014 4:04:41 PM300http://www.fhfa.gov/PolicyProgramsResearch/Research/Pages/Forms/AllItems.aspxhtmlFalseaspx
Working Paper 13-2: Generating Historically-Based Stress Scenarios Using Parsimonious Factorization1375<p>This paper describes an empirical approach to generate plausible, historically‐based interest rate shocks, which can be applied to any market environment and can readily link to movements in other key risk factors. The approach is based upon yield curve parameterization and requires a parsimonious yet flexible factorization model.</p>This paper describes an empirical approach to generate plausible, historically‐based interest rate shocks, which can be applied to any market environment and can readily link to movements in other key risk factors.5/28/2014 3:58:13 PM74http://www.fhfa.gov/PolicyProgramsResearch/Research/Pages/Forms/AllItems.aspxhtmlFalseaspx
Working Paper 13-1: Distressed Sales and the FHFA House Price Index1374<p>Trends in residential house values can be expressed by changes in House Price Indexes (HPIs). HPIs are based on observed prices and help guide real estate activities. Since the recent housing crash, distressed sales have increased in numbers and have led to concerns about their effects on market valuations. This paper explores the extent to which distressed sales can be identified in transactions data and how they affect HPIs.</p>This paper explores the extent to which distressed sales can be identified in transactions data and how they affect House Price Indexes (HPIs).5/28/2014 3:58:13 PM139http://www.fhfa.gov/PolicyProgramsResearch/Research/Pages/Forms/AllItems.aspxhtmlFalseaspx
Housing and Mortgage Markets in 20111303<p>This Federal Housing Finance Agency (FHFA) research paper reviews developments in the housing sector and mortgage markets in the United States in 2011. The paper is part of FHFA’s ongoing effort to enhance public understanding of the nation’s housing finance system.</p>This FHFA research paper reviews developments in the housing sector and mortgage markets in the United States in 2011. The paper is part of FHFA’s ongoing effort to enhance public understanding of the nation’s housing finance system.5/28/2014 3:58:17 PM102http://www.fhfa.gov/PolicyProgramsResearch/Research/Pages/Forms/AllItems.aspxhtmlFalseaspx

© 2014 Federal Housing Finance Agency