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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.

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 Papers

 

 

Working Paper 23-05: When Climate Meets Real Estate: A Survey of the Literature40666<h4 style="font-size&#58;13px;font-style&#58;normal;padding-top&#58;8px !important;">​​Ab​stract&#58;</h4><p style="font-style&#58;normal;"> <span style="line-height&#58;22px;">In this paper, we survey a growing body of academic research at the intersection of climate risks, housing, and mortgage markets, with a focus on the United States. With near unanimity, climate scientists project disasters to increase in frequency, severity, and geographic scope over the next century. While natural hazards, such as hurricanes, riverine flooding, and wildfires have historically posed risks to regional housing markets, the systemic risk that climate change may pose to housing and mortgage markets is of increasing concern. To understand the components of systemic climate risk, we survey existing work relating physical and transition risks to mortgage and housing markets, including both single-family and multifamily segments. Our review of physical risks addresses price, loan performance, and migratory effects stemming from flooding, wildfires, and sea level rise. In surveying transition risks, we discuss papers on energy use and decarbonization as they relate to real estate. Where possible, we explain how these topics may intersect with housing affordability and sustainability, especially for historically disadvantaged communities. We conclude by drawing attention to critical areas for research into flood and other climate-related perils likely to pose significant challenges for real estate in the coming century.​​</span></p> ​​<br>8/16/2023 5:28:28 PMHome / Policy, Programs & Research / Research / Working Paper 23-05: When Climate Meets Real Estate: A Survey of the Literature Justin Contat; Carrie Hopkins; Luis Mejia 2255https://www.fhfa.gov/PolicyProgramsResearch/Research/Pages/Forms/AllItems.aspxhtmlFalseaspx
Working Paper 23-04: How Do Students Value an Elite Education? Evidence on Residential Location and Applications to NYC Specialized Schools47019<h4 style="font-size&#58;13px;font-style&#58;normal;padding-top&#58;8px !important;">​​Abstract&#58;</h4><p style="font-style&#58;normal;"> <span style="line-height&#58;22px;">Are students willing to endure long commutes for access to good schools? Using New York City Department of Education administrative data matched with Google transit directions, we find that longer commutes from home markedly deter students from applying to even the most elite high schools. For the top public school in New York State, a student with a 20 minute commute is 74% more likely to apply than one who lives 40 minutes away. For two other schools above the 99th percentile of performance, the differences are 234% and 137%. We also find that eighth grade exam scores relate to how well students understand the admissions process. As far as we are aware, we are the first to have the required location precision to track specific commutes for individual high school students. From a policy perspective, our findings imply that – while ​expanded school choice may be desirable – housing access near good schools is quite important.</span></p> ​<br>7/26/2023 8:25:27 PMHome / Policy, Programs & Research / Research / Working Paper 23-04: How Do Students Value an Elite Education Lawrence Costa (FHFA); JJ Naddeo (Georgetown University 5051https://www.fhfa.gov/PolicyProgramsResearch/Research/Pages/Forms/AllItems.aspxhtmlFalseaspx
Working Paper 23-03: The Credit Supply Channel of Monetary Policy Tightening and its Distributional Impacts40350<h4 style="font-size&#58;13px;font-style&#58;normal;padding-top&#58;8px !important;">​​Abstract&#58;</h4><p style="font-style&#58;normal;"> <span style="line-height&#58;22px;">This paper studies how tightening monetary policy transmits to the economy through the mortgage market and sheds new light on the distributional consequences at both the individual and regional levels. We find that mortgage supply factors, specifically restrictions on the debt-to-income (DTI) ratio, account for the majority of the decline in mortgages. These effects are even more pronounced for young and middle-income borrowers who find themselves excluded from the credit market. Also, regions with historically high DTI ratios exhibited greater reductions in mortgage originations, house prices, and consumption.​​</span></p> ​<br>7/6/2023 2:00:07 PMJoshua Bosshardt (FHFA); Marco Di Maggio (Harvard University); Ali Kakhbod (University of California, Berkeley); ​Amir Kermani (University of California, Berkeley 1911https://www.fhfa.gov/PolicyProgramsResearch/Research/Pages/Forms/AllItems.aspxhtmlFalseaspx
Working Paper 23-02: Geographic Disaggregation of House Price Stress Paths: Implications for Single-Family Credit Risk Measurement42711<h4 style="font-size&#58;13px;font-style&#58;normal;padding-top&#58;8px !important;">​​Abstract&#58;</h4><p style="font-style&#58;normal;"> <span style="line-height&#58;22px;">We explore the impact of geographic disaggregation of house price stress paths on single-family credit risk measurement. Specifically, we focus on the value added of moving from national, to state-level, to core-based statistical area (CBSA)-level house price paths on estimates of mortgage credit related stress losses. To ensure the robustness of our results, we estimate losses across two different loan portfolios and three credit models. We find that CBSA-level paths provide additional insight on localized credit risk and can be reliably constructed using quarterly house price indices. Further, the variation in results across credit models suggests an implicit confidence interval around any one stress loss estimate. Accounting for this uncertainty through a model risk add-on could potentially offer a more conservative view of portfolio credit risk.​</span></p><p>A revised version of this paper has been accepted for publication and is forthcoming at the <em>Journal of Fixed Income</em>.​<br></p>9/18/2023 8:27:10 PMHome / Policy, Programs & Research / Research / Working Paper 23-02: Geographic Disaggregation of House Price Stress Paths: Implications for Single-Family Credit Risk 1440https://www.fhfa.gov/PolicyProgramsResearch/Research/Pages/Forms/AllItems.aspxhtmlFalseaspx
Working Paper 23-01: The Value of Intermediaries for GSE Loans38796<h4 style="font-size&#58;13px;font-style&#58;normal;padding-top&#58;8px !important;">​​Abstract&#58;</h4><p style="font-style&#58;normal;"> <span style="line-height&#58;22px;">​We analyze the costs and benefits of financial intermediaries on access to credit using confidential regulatory data on mortgages securitized by the government-sponsored enterprises (GSEs). We find evidence of lenders pricing for observable and unobservable default risk independently from the GSEs. We explain these findings using a model of competitive mortgage lending with screening in which lenders acquire information beyond the GSEs’ underwriting criteria and retain a positive loss given default. The model shows that the discretionary behavior of lenders, relative to a counterfactual in which lenders passively implement the GSEs’ underwriting requirements and price competitively, benefits some borrowers with high observable risk at the expense of the majority of borrowers. Finally, the model suggests that the observed differences between banks and nonbanks are more consistent with ​differences in their expected loss given default rather than screening quality.​</span></p><p style="font-style&#58;normal;"> <span style="line-height&#58;22px;">Josh Bosshardt, a Senior Economist in FHFA's Division of Research and Statistics, discusses how he and external collaborators, Ali Kakhbod and Amir Kermani, find evidence that mortgage lenders independently screen for default risk in the attached working paper and <a href="/Videos/Pages/FHFA-Working-Paper-Value-of-Intermediaries-for-GSE-Loans.aspx">this YouTube video</a>.​</span></p> <p style="margin-top&#58;20px !important;"> <em>Page Updated&#58; July 3, 2023</em></p>7/3/2023 8:35:31 PMHome / Policy, Programs & Research / Research / Working Paper 23-01: The Value of Intermediaries for GSE Loans Joshua Bosshardt (FHFA);​ Ali Kakhbod (University of California 3029https://www.fhfa.gov/PolicyProgramsResearch/Research/Pages/Forms/AllItems.aspxhtmlFalseaspx
FHFA MORTGAGE ANALYTICS PLATFORM (Version 3.0)38478<p style="font-size&#58;16px !important;font-weight&#58;600 !important;color&#58;#444444 !important;padding-top&#58;8px !important;padding-bottom&#58;0px !important;margin-bottom&#58;0px !important;">Authors&#58;</p><p style="padding-top&#58;0px !important;font-size&#58;14px !important;font-family&#58;&quot;source sans pro&quot;, sans-serif !important;margin-top&#58;6px !important;">​​​​​Xiangdong Chen, An​drew Davenport, Sherman Davis, Caroline Hopkins, Charles Hu, Xun Liu, Alexandra Marr, Yan Sussman,<br>​Andrew Varrieur, Bojun Yan, Xiaoming Zhou</p><p style="font-size&#58;16px !important;font-weight&#58;600 !important;color&#58;#444444 !important;padding-top&#58;8px !important;padding-bottom&#58;0px !important;margin-bottom&#58;0px !important;">For Further Information Contact&#58;​</p><p style="margin-top&#58;6px !important;">​Charles Hu, Supervisory Financial Analyst, Office of Capital Policy, (202) 649-3167, <a href="mailto&#58;xiaoqiang.hu@fhfa.gov">xiaoqiang.hu@fhfa.gov</a>; <br>Sherman Davis, Principal Financial Analyst, Office of Capital Policy, (202) 649-3502, <a href="mailto&#58;sherman.davis@fhfa.gov">sherman.davis@fhfa.gov</a>.</p><p style="font-size&#58;16px !important;font-family&#58;&quot;source sans pro&quot;, sans-serif !important;color&#58;#444444 !important;font-weight&#58;600 !important;padding-top&#58;8px !important;margin-bottom&#58;0px !important;padding-bottom&#58;0px !important;"> ​Release Notes&#58;</p><p style="font-size&#58;14px !important;font-family&#58;&quot;source sans pro&quot;, sans-serif !important;margin-top&#58;6px !important;">​This white paper incorporates the following major enhancements and updates reflected in the third version of the Single-family FHFA Mortgage Analytics Platform (FMAP v3.0) since version 2.0 of FMAP was released in May 2020&#58;</p><ol><li style="line-height&#58;1.4 !important;padding-top&#58;8px !important;">​ <span style="font-size&#58;14px !important;font-family&#58;&quot;source sans pro&quot;, sans-serif !important;">Redesigns and re-estimates loan behavioral equations.</span></li><li style="line-height&#58;1.4 !important;"> <span style="font-size&#58;14px !important;font-family&#58;&quot;source sans pro&quot;, sans-serif !important;">Develops and implements a proprietary loss severity model.</span></li><li style="line-height&#58;1.4 !important;"> <span style="font-size&#58;14px !important;font-family&#58;&quot;source sans pro&quot;, sans-serif !important;">Uses expanded and more representative loan performance data and more granular level economic data to estimate mortgage performance.</span></li><li style="line-height&#58;1.4 !important;"> <span style="font-size&#58;14px !important;font-family&#58;&quot;source sans pro&quot;, sans-serif !important;">Estimates the behavioral equations via an iterative, out-of-sample, model building process.</span> </li></ol><div class="ms-rtestate-read ms-rte-wpbox"><div class="ms-rtestate-notify ms-rtestate-read ca6b1af9-d44d-4b83-9ac2-ae0c7aa24246" id="div_ca6b1af9-d44d-4b83-9ac2-ae0c7aa24246" unselectable="on"></div><div id="vid_ca6b1af9-d44d-4b83-9ac2-ae0c7aa24246" unselectable="on" style="display&#58;none;"></div></div>​<br>12/8/2022 2:00:36 PMHome / Policy, Programs & Research / Research / FHFA MORTGAGE ANALYTICS PLATFORM (Version 3.0) White 3087https://www.fhfa.gov/PolicyProgramsResearch/Research/Pages/Forms/AllItems.aspxhtmlFalseaspx
Working Paper 22-04: Effects of Mortgage Interest Rates on House Price Appreciation: The Role of Payment Constraints38402<p>​Abstract&#58; This research examines the effects of mortgage interest rates on house prices in the 100 largest U.S. cities, with appreciation driven by both short-run dynamics and convergence towards long-run economic fundamentals.&#160; The nature of the long-run equilibrium depends on the elasticity of housing supply, and the speed of adjustment to this long-run equilibrium depends on the degree to which borrowers are near monthly debt service payment constraints. Accordingly, the pass-through of mortgage interest rates to house prices is location and time-varying. This has implications for our understanding of monetary policy transmission, systemic risk, and the role of household finances in the macroeconomy.<br></p>11/17/2022 10:01:58 PMHome / Policy, Programs & Research / Research / Working Paper 22-04: Effects of Mortgage Interest Rates on House Price Appreciation: The Role of Payment Constraints 2845https://www.fhfa.gov/PolicyProgramsResearch/Research/Pages/Forms/AllItems.aspxhtmlFalseaspx
Working Paper 22-03: Applying Seasonal Adjustments to Housing Markets38332<h4 style="font-size&#58;13px;font-style&#58;normal;">​​Abstract&#58;</h4><p style="font-style&#58;normal;padding-bottom&#58;0px;margin-bottom&#58;0px;"> <span style="line-height&#58;22px;">​House price seasonality has been increasing over the last decade, but adjustments have remained largely unchanged in commonly used public data. This paper shows how seasonal adjustments work—both theoretically and applied to observed transactions—​when constructing house price indices (HPIs). In this paper, we find the seasonality in the housing market is not uniform across geographies. Evidence is provided about where adjustments are more necessary, how often they should be recalculated, and how the weather-related variables, social and industry characteristics impact difference between adjusted and non-adjusted HPI. Using the Federal Housing Finance Agency's (FHFA's) entire suite of public indices, we update adjustments that have been provided by the FHFA and offer new adjustments for over 400 metropolitan areas and other geographies, which haven't been provided before. We find the difference between previous and updated adjusted indices are relatively small, with slight improvement in recent years.​​</span></p><p style="line-height&#58;22px;margin-top&#58;0px;padding-top&#58;8px !important;">A revised version of this paper has been accepted for publication in an academic journal with open (free) access. Citation&#58; William Doerner, Wenzhen Lin. 2022. &quot;Applying Seasonal Adjustments to Housing Markets.&quot; <em>Cityscape</em>, 24(3), 87-122. <a href="https&#58;//www.huduser.gov/portal/periodicals/cityscape/vol24num3/ch4.pdf" class="external-link">https&#58;//www.huduser.gov/portal/periodicals/cityscape/vol24num3/ch4.pdf</a></p>3/23/2023 6:36:29 PMHome / Policy, Programs & Research / Research / Working Paper 22-03: Applying Seasonal Adjustments to Housing Markets House price seasonality has been increasing over the last 1805https://www.fhfa.gov/PolicyProgramsResearch/Research/Pages/Forms/AllItems.aspxhtmlFalseaspx
Working Paper 22-02: Housing Supply and Liquidity in the COVID-19 Era38334<h4 style="font-size&#58;13px;font-style&#58;normal;">​​Abstract&#58;</h4><p style="font-style&#58;normal;padding-bottom&#58;0px;margin-bottom&#58;0px;"> <span style="line-height&#58;22px;"> ​We document changes in national housing supply and liquidity during the COVID-19 era using a suite of monthly indices, ranging from summary statistics (mean and median time on the market, proportion of homes sold, etc.) to more advanced econometric indices that can address censoring and unobserved heterogeneity. Our results indicate a sharp structural break in most of the indices near the start of COVID-19 in March 2020,&#160;though each index’s most likely break date varies by a few months. Our findings suggest that the start of the pandemic saw a supply decrease, followed by an immediate and sustained price increase. Listings became more likely to be withdrawn, but those that sold did so faster relative to pre-COVID levels, indicating a change in the distribution of housing market liquidity. Finally, our results suggest that there were different types of structural breaks, specifically changes in the level, slope, and seasonality of the indices.​</span>​</p> <p style="margin-top&#58;0px;padding-top&#58;8px;line-height&#58;22px;">​A revised version of this paper has been accepted for publication in an academic journal with open (free) access. Citation&#58; Justin Contat, Malcolm Rogers. 2022. &quot;Housing Supply and Liquidity in the COVID-19 Era.&quot; <em>Cityscape</em>, 24(3), 123-152. <a href="https&#58;//www.huduser.gov/portal/periodicals/cityscape/vol24num3/ch5.pdf">https&#58;//www.huduser.gov/portal/periodicals/cityscape/vol24num3/ch5.pdf</a></p>3/23/2023 6:36:29 PMHome / Policy, Programs & Research / Research / Working Paper 22-02: Housing Supply and Liquidity in the COVID-19 Era We document changes in national housing supply and 1713https://www.fhfa.gov/PolicyProgramsResearch/Research/Pages/Forms/AllItems.aspxhtmlFalseaspx
Working Paper 22-01: Mortgage Appraisal Waivers and Prepayment Speeds38335<h4 style="font-size&#58;13px;font-style&#58;normal;">​​Abs​tract&#58;</h4> <p style="font-style&#58;normal;padding-bottom&#58;0px;margin-bottom&#58;0px;"> <span style="line-height&#58;22px;">​This paper examines factors affecting the use of appraisal waivers for mortgages guaranteed by Fannie Mae and Freddie Mac and the effect of appraisal waivers on prepayment speeds. We find that the alignment of Freddie Mac’s eligibility criteria with those of Fannie Mae around the start of the COVID-19 pandemic was associated with an increase in the use of appraisal waivers. Conditional on satisfying the basic eligibility criteria, appraisal waivers are more common for refinance loans, loans serviced by nonbanks, and less risky borrowers. We also find that appraisal waivers were associated with higher conditional prepayment rates during 2020, but to a lesser extent in 2021 as refinancing activity slowed down. Much of this association can be explained by correlations between appraisal waivers and other observable determinants of prepayment speeds.​</span></p> ​ <p style="font-style&#58;normal;padding-top&#58;0px;margin-top&#58;0px;">​<span style="line-height&#58;22px;">​A revised version of this paper has been accepted for publication in an academic journal with open (free) access. Citation&#58; Joshua Bosshardt, William M. Doerner. 2022. &quot;Mortgage Appraisal Waivers and Prepayment Speeds.&quot; <em>Cityscape</em>, 24(3), 61-86. <a href="https&#58;//www.huduser.gov/portal/periodicals/cityscape/vol24num3/ch3.pdf" class="external-link">https&#58;//www.huduser.gov/portal/periodicals/cityscape/vol24num3/ch3.pdf</a></span></p>3/23/2023 6:36:29 PMHome / Policy, Programs & Research / Research / Working Paper 22-01: Mortgage Appraisal Waivers and Prepayment Speeds Joshua Bosshardt; William M. Doerner; Fan Xu 2039https://www.fhfa.gov/PolicyProgramsResearch/Research/Pages/Forms/AllItems.aspxhtmlFalseaspx
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