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Borrower heterogeneity within a risky mortgage-lending marketRabitsch, Katrin, Punzi, Maria Teresa 02 1900 (has links) (PDF)
We propose a model of a risky mortgage-lending market in which we take explicit account of heterogeneity in household borrowing conditions, by introducing two borrower types: one with a low loan-to-value (LTV) ratio, one with a high LTV ratio, calibrated to U.S. data. We use such framework to study a deleveraging shock, modeled as an increase in housing investment risk, that falls more strongly on, and produces a larger contraction in credit for high-LTV type borrowers, as in the data. We find that this deleveraging experience produces significant aggregate effects on output and consumption, and that the contractionary effects are orders of magnitudes higher in a model version that takes account of borrower heterogeneity, compared to a more standard model version with a representative borrower. / Series: Department of Economics Working Paper Series
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Effectiveness of macroprudential policies under borrower heterogeneityPunzi, Maria Teresa, Rabitsch, Katrin 09 1900 (has links) (PDF)
We study the impact of macroprudential policies using a novel model which takes into account households´ ability to borrow under different loan-to-value ratios which are tied to their collateral values. Such model generates a larger
amplification in real and financial variables, compared to standard models that assume homogeneity in the leveraging and deleveraging process. Conditional on this model, we consider the implications of macroprudential policies that aim to lean against an excessive credit cycle. In particular, we allow macroprudential authorities to tighten excessive lending to higher leveraged households, whose riskiness had been evaluated too optimistically. We find thata policy that targets only the group of households that most strongly deleveraged after an adverse idiosyncratic housing investment risk shock, is welfare-improving
at social and individual levels, relative to a macroprudential policy which targets all households in the economy. / Series: Department of Economics Working Paper Series
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House prices, capital inflows and macroprudential policyMendicino, Caterina, Punzi, Maria Teresa 12 1900 (has links) (PDF)
This paper evaluates the monetary and macroprudential policies that mitigate the procyclicality arising
from the interlinkages between current account deficits and financial vulnerabilities. We develop a two-country dynamic stochastic general equilibrium (DSGE) model with heterogeneous households and collateralised debt. The model predicts that external shocks are important in driving current account deficits that are coupled with run-ups in house prices and household debt. In this context, optimal policy features an interest-rate response to credit and a LTV ratio that countercyclically responds to house price
dynamics. By allowing an interest-rate response to changes in financial variables, the monetary policy authority improves social welfare, because of the large welfare gains accrued to the Savers. The additional use of a countercyclical LTV ratio that responds to house prices, increases the ability of borrowers to smooth consumption over the cycle and is Pareto improving. Domestic and foreign shocks account for a similar fraction of the welfare gains delivered by such a policy. (authors' abstract)
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Essays on Monetary PolicyBayar, Omer 01 August 2010 (has links)
Central banks use a series of relatively small interest rate changes in adjusting their monetary policy stance. This persistence in interest rate changes is well documented by empirical monetary policy reaction functions that feature a large estimated coefficient for the lagged interest rate. The two hypotheses that explain the size of this large estimated coefficient are monetary policy inertia and serially correlated macro shocks. In the first part of my dissertation, I show that the effect of inertia on the Federal Reserve’s monthly funds rate adjustment is only moderate, and smaller than suggested by previous studies. In the second part, I present evidence that the temporal aggregation of interest rates puts an upward bias on the size of the estimated coefficient for the lagged interest rate. The third part of my dissertation is inspired by recent developments in the housing market and the resulting effect on the overall economy. In this third essay, we show that high loan-to-value mortgage borrowing reduces the effectiveness of monetary policy.
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House Prices, Capital Inflows and Macroprudential PolicyMendicino, Caterina, Punzi, Maria Teresa 08 1900 (has links) (PDF)
This paper evaluates the monetary and macroprudential policies that mitigate the procyclicality arising from
the interlinkages between current account deficits and financial vulnerabilities. We develop a two-country
dynamic stochastic general equilibrium (DSGE) model with heterogeneous households and collateralised debt. The model predicts that external shocks are important in driving current account deficits that are coupled with run-ups in house prices and household debt. In this context, optimal policy features an interest-rate response to credit and a LTV ratio that countercyclically responds to house price dynamics. By allowing an interest-rate response to changes in financial variables, the monetary policy authority improves social welfare, because of the large welfare gains accrued to the savers. The additional use of a countercyclical LTV ratio that responds to house prices, increases the ability of borrowers to smooth consumption over the cycle and is Pareto improving. Domestic and foreign shocks account for a similar fraction of the welfare gains delivered by such a policy. (authors' abstract) / Series: Department of Economics Working Paper Series
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貸款成數、加碼利率與房價的動態調整 / Loan-to-value ratio, mark-up rate and housing price dynamics彭思瑾, Peng, Ssu Chin Unknown Date (has links)
本論文將Poterba(1984)所建構的房屋市場模型由部分均衡擴展為一般均衡,引入貸款成數及加碼利率做宣示效果分析。探討民眾在未預料到和預料到的兩種情況下,貸款成數及加碼利率變動對房價和房屋存量的影響,可得到結論如下:
一、當貸款成數降低時,不論房量變動的正負效果相對大小如何,均會使長期的房屋價格下跌和房屋存量減少。
二、當加碼利率提高時,在加碼利率變動的正效果大於負效果的情況下,長期的房屋存量和房屋價格均上升;反之,當加碼利率變動的正效果小於負效果,長期的房屋存量和房屋價格均會減少。
三、政府可利用降低貸款成數達到抑制房價的政策目標;但若要以提高加碼利率達成抑制房價的目標,則要視加碼利率的正負效果相對大小而定。
四、政策宣告會改變民眾的預期,促使房價於政策宣告後立即跳動,並在政策執行前就已對房屋存量和房價做出反應。在宣告降低貸款成數的瞬間,房價會有跳躍性減少的情況;但在宣告提高加碼利率的瞬間,房價則視加碼利率變動的正負效果相對大小,有跳躍性上升或下降的情況。 / This thesis extends the housing market model pioneered by Poterba(1984) from a partial equilibrium analysis to a general equilibrium analysis. The purpose of this thesis is to analyze how the anticipated and unanticipated policies of the loan-to-value ratio and the mark-up rate govern the transitional dynamics of housing prices and the housing stock.
There are two main findings emerge from the analysis. First, a reduction in the loan-to-value ratio leads to a decline in both of housing prices and the housing stock, regardless of whether the increased loan-to value ratio is beneficial or harmful to the return on housing. Second, in response to a rise in the mark-up rate, whether the steady-state housing prices and the housing stock go up or go down depends on the mark-up rate effect. Both housing prices and the housing stock go up if the increased mark-up rate contributes a positive effect on the return of holding houses. By contrast, the steady-state housing prices and the housing stock go down if the increased mark-up rate causes a negative effect on the return on housing holdings.
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Caps on Loan-to-Value ratio: Can they reduce housing bubble and credit growth? / Caps on Loan-to-Value ratio: Can they reduce housing bubble and credit growth?Šubáková, Dominika January 2015 (has links)
An increasing trend of using macroprudential instrument, caps on loan-to-value (LTV) ratio, requires a full understanding of how the instrument works in practice. As the empirical research is still scant, this thesis attempts to contribute with a new evidence on LTV effectiveness in context of six developed economies, namely Netherlands, Sweden, Ireland, Hungary, Latvia and Lithuania. To achieve this objective we analyse the impact of caps on LTV on credit growth, mortgage credit-to- GDP ratio and price growth. LTV limits are not a harmonised measure and its national-level implementation includes numerous specificities that can hinder cross-country comparisons. As a result, this thesis proposes a construction of LTV index reflecting specific aspects of the measure. Using the LTV Index we confirmed a slowdown of credit, mortgage and price growth. JEL Classification E44, E51, E52, E58, G21 Key words caps on loan-to-value ratio, maximum LTV ratio, macroprudential policy, credit-related instruments, LTV Index, house price growth, credit growth, financial stability.
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點「屋」成金不是夢!—逆向房屋抵押貸款在台推行之可行性研究 / It is time to reverse!—the feasibility study of the application of the reverse mortgage in Taiwan楊博翔, Yang, Po-Hsiang Unknown Date (has links)
近年來隨著台灣人口日漸少子化,「養兒防老」的傳統觀念已不符時勢所趨,面對高齡化社會所帶來龐大的財政負擔及老年人口安養等社會問題。過去研究結果提供了一可能的解決方案-「逆向房屋抵押貸款(Reverse Mortgage, RM)」,然而,對於此種新型貸款在台灣推行之完整可行性分析,相關研究尚付之闕如。是故,本研究從承貸雙方角度出發,旨在深入探討未來逆向房屋抵押貸款在台推行之可行性。
首先,對於申貸者而言,本研究以30至60歲且名下擁有不動產之家戶為研究單位,並用問卷調查台灣中年房屋持有者申請逆向房屋抵押貸款之意願程度。針對調查結果,再以「羅吉斯迴歸(Logistic Regression)」分析影響申請意願之顯著因子,據以探討申請意願與受訪者特性兩者之關係。
其次,從承貸者角度建立一貸款定價模型,模擬分析於損益兩平條件下,貸款機構有無貸款保險,以及於不同貸款給付方案中,其可提供逆向房屋抵押貸款之最高可貸款成數(Loan to Value, LTV)。再者,進一步結合台灣各主要都會區房價資料,研究顯示所得替代率(Income Replacement Ratio, IRR-RM)符合多數申貸者之基本需求。
本研究預期「逆向房屋抵押貸款」除了有效解決人口老化所衍生之社會問題外,亦兼具政府「就地老化(Aging in Place)」政策效益,提升了老年生活品質,維護老年人口的尊嚴。 / With the continuously declining fertility rates and the increasing life expectancy, Taiwan has become one of the aging societies in the world. To release the financial strain of the government, a great number of literature has suggested an alternative option, Reverse Mortgage (RM), to improve the retiring life quality of the elders. However, little attention has been given specifically to the feasibility of the application of RM and the pricing model in individual countries. This study thus conducted the questionnaire and collected the data in Taiwan for analysis in order to show the implementation feasibility of RM in aging society for both the aspects of both lenders and borrowers.
First of all, to find out the factors affecting the willingness in applying for RM and the characteristic of the middle-aged homeowners, we designed a survey and a quantitative analysis of the questionnaire through Logistic Regression Analysis.
Second, under a break-even hypothesis, we analyzed the ratio of Loan to Value (LTV) a reverse mortgage lender would offer through the simulation model. Furthermore, the housing data from different metropolises of Taiwan is integrated into the study in order to determine whether if the Income Replacement Ratio of RM (IRR-RM) could meet the basic needs of Taiwanese.
Results found in this paper suggest that RM could satisfy the general need of people in Taiwan. Procedures conducted in this study may also provide precious insight for other aging countries. This paper suggests that reverse mortgage could not only solve the society issues, but also secure the retiring lives of the elders and preserve their living qualities.
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房屋抵押貸款終止行為之研究 / A study on the termination behaviors of residential mortgages賴景苑 Unknown Date (has links)
本研究同時探討房貸違約與提前清償終止行為,並對提前清償動機『出售』與『轉貸』予兼容並蓄。蒐集自H銀行房貸資料,運用多項式邏吉斯廻歸模型分析法,以總體經濟因子之有無分兩階段,對應變數-房貸終止行為(Y1)及提前清償動機(Y2),採取雙層次深入實證。
實證結果:從機率模型配適度與解釋力之實證分析中,獲得一致結論,對於含有總體經濟因子-經濟成長率與CPI 年增率之模型,其所計算Cox & Snell及Nagelkerke之假 值分別為0.534及0.611,均大於0.5以上,其相對性與獨立性上,均具備較高的模型解釋力,為一較優之房貸違約與提前清償終止行為模型,其相關顯著影響因子如下:
一、對違約具有顯著影響之因子,包括:借款年限、初貸利率、LTV、保證人、次級房貸、部分提前清償、購屋投資、 PTI、DBR>22、軍警公教人員、設二胎、區域台北市、區域新北市及CPI年增率等14項。
二、對提前清償具有顯著影響之因子,包括:初貸利率、次級房貸、部分提前清償、購屋投資、購屋自住、年資、設二胎、CPI年增率及經濟成長率等9項。
三、對提前清償動機-『出售』之顯著因子:次級房貸、部分提前清償、購屋投資、設二胎等4項。
四、對提前清償動機-『轉貸』之顯著因子:初貸利率、次級房貸、購屋自住、年資、設二胎、CPI年增率及經濟成長率等7項。。
本實證結果所建構含有總體經濟因子之房貸終止行為機率模型,以其顯著影響因子再深入探討提前清償-『出售』與『轉貸』之動機,使提前清償行為模式更精確性地呈現,有助於提供金融機構,在計算違約機率與提前清償機率之模型架構上及授信審核評估上,具貢獻價值之參考資訊。 / This research explores the default and prepayment on the termination behaviors of residential mortgages, as well as the motives of prepayment in house selling or refinancing. Mortgage data are collected from the H bank in Taiwan, using the multi-nominal logistic regression analytic method to explore the factors affecting the default and prepayment behaviors.
Empirical results show that loan period, initial mortgage rate, loan-to-value ratio (LTV), the existence of the guarantor, subprime mortgages, curtailment, investment purpose, payment-to-income (PTI), debt burden ratio exceeded 22 (DBR>22), government employees or teachers, second lien, location in Taipei city, the new Taipei city and CPI annual rate of increase are the significant factors of default behavior. As for the variables on prepayment, the initial mortgage rate, subprime mortgages, curtailment, investment purpose, residential use, DBR>22, the age of professional career, second lien, CPI annual rate of increase and economical growth rate are significant. For more detailed curtailment behavior, the empirical results show that house sale subprime mortgages, curtailment, residential investment purpose, second lien are significant factors. As for the variables in inter-bank refinancing initial interest rate, subprime mortgages, residential investment purpose, the age of professional career, second lien, CPI annual rate of increase and economical growth rate are significant factors.
Results of this research may provide financial institutions precious references on the mortgage default and prepayment behaviors. The mortgage industry can take into account of the significant results on the capital planning in the future.
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Discrete time modeling of subprime mortgage credit / M.C. SenosiSenosi, Mmamontsho Charlotte January 2010 (has links)
Many analysts believe that problems in the United States housing market initiated the 2007-2009
global financial crisis. In this regard, the subprime mortgage crisis (SMC) shook the foundations
of the financial industry by causing the failure of many iconic Wall Street investment banks and
prominent depository institutions. This crisis stymied credit extension to households and businesses
thus creating credit crunches and, ultimately, a global recession. This thesis specifically
discusses the SMC and its components, causes, consequences and cures in relation to subprime
mortgage origination, data as well as bank bailouts. In particular, the SMC has highlighted the
fact that risk, credit ratings, profit and valuation as well as capital regulation are important banking
considerations. With regard to risk, the thesis discusses credit (including counterparty), market
(including interest rate, basis, prepayment, liquidity and price), tranching (including maturity mismatch
and synthetic), operational (including house appraisal, valuation and compensation) and
systemic (including maturity transformation) risks. The thesis introduces the IDIOM hypothesis
that postulates that the SMC was largely caused by the intricacy and design of subprime agents,
mortgage origination that led to information problems (loss, asymmetry and contagion), valuation
opaqueness and ineffective risk mitigation. It also contains appropriate examples, discussions,
timelines as well as appendices about the main results on the aforementioned topics. Numerous
references point to the material not covered in the thesis, and indicate some avenues for further
research.
In the sequel, the banks that we study are subprime interbank lenders (SILs), subprime originators
(SORs), subprime dealer banks (SDBs) and their special purpose vehicles (SPVs) such as Wall
Street investment banks and their special structures as well as subprime investing banks (SIBs).
Furthermore, the primary subprime agents that we consider are house appraisers (HAs), mortgage
brokers (MBs), mortgagors (MRs), servicers (SRs), trustees, underwriters and credit enhancement
providers (CEPs). Also, the insurers involved in the subprime market are originator mortgage
insurers (OMIs) and monoline insurers (MLIs). The main components of the SMC are MRs,
the housing market, SDBs/hedge funds/money market funds/SIBs, the economy as well as the
government (G) and central banks. Here, G either plays a regulatory, bailout or policymaking role.
Most of the aforementioned banks and agents are assumed to be risk neutral with SOR being the
exception since it can be risk (and regret) averse on occasion. The three main aspects of the SMC
- subprime mortgage origination, data and bailouts - that we cover in this thesis and the chapters
in which they are found are outlined below.
In Chapter 2, we discuss the dynamics of SORs' capital, information, ratings, risk and valuation
under mortgage origination. In particular, we model subprime mortgages that are able to fully
amortize, voluntarily prepay or default and construct a discrete-time model for SOR risk and profit
incorporating costs of funds and mortgage insurance as well as loan losses. Furthermore, a constrained
optimal valuation problem for SORs under mortgage origination is solved. In addition, we
show how high loan-to-value ratios curtailed the refinancing of subprime mortgages, while low ratios
imply favorable house equity for subprime MRs. Chapter 2 also explores the relationship between
Basel capital regulation and the SMC. This involves studying bank credit and capital under Basel
regulation. Further issues dealt with are the quantity and pricing of subprime mortgages as well as credit ratings under Basel capital regulation. A key problem is whether Basel capital regulation
exacerbated the SMC. Very importantly, the thesis answers this question in the affirmative.
Chapter 3 contains subprime data not presented in Chapters 2. We present other mortgage data
that also have connections with the main subprime issues raised.
In Chapter 4, a troubled SOR's recapitalization by G via subprime bank bailouts is discussed. Our
research supports the view that if SOR is about to fail, it will have an incentive not to extend
low risk mortgages but rather high risk mortgages thus shifting risk onto its creditors. Here, for
instance, we analyze the efficiency of purchasing toxic structured mortgage products from troubled
SORs as opposed to buying preferred and common equity. In this regard, we compare the cases
where SORs' on-balance sheet mortgages are fully amortizing, voluntarily prepaying (refinancing
and equity extraction) and involuntarily prepaying (defaulting). If bailing out SORs considered to
be too big to fail involves buying assets at above fair market values, then these SORs are encouraged
ex-ante to invest in high risk mortgages and toxic structured mortgage products. Contrary to the
policy employed by G, purchasing common (preferred) equity is always the most (least) ex-anteand
ex-post-efficient type of capital injection. Our research confirms that this is true irrespective
of whether SOR volunteers for recapitalization or not.
In order to understand the key results in Chapters 2 to 4, a working knowledge of discrete-time
stochastic modeling and optimization is required.
The work presented in this thesis is based on a book (see [103]), 2 peer-reviewed international
journal articles (see [51] and [105]), 2 peer-reviewed chapters in books (see [104] and [110]) and 4
peer-reviewed conference proceedings paper (see [23], [106], [107] and [109]). / Thesis (Ph.D. (Applied Mathematics))--North-West University, Potchefstroom Campus, 2011.
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