Zinsaufschlag oder Übertragung durch Verbriefung? Der Umgang mit Risiken im US-Hypothekenmarkt
Danny McGowan, Huyen Nguyen
Wirtschaft im Wandel,
No. 3,
2022
Abstract
Seit der Finanzkrise der Jahre 2007 und 2008 diskutiert die Wissenschaft darüber, wie Kreditgeber die Verbriefung von Hypotheken nutzen, um das Kreditrisiko an Dritte weiterzugeben, und wie dies zur Finanzkrise beigetragen hat. Eine aktuelle IWH-Studie betrachtet die Entscheidungssituation des Kreditgebers zwischen Risikoaufschlag und Risikoübertragung. Sie nutzt rechtliche Unterschiede in verschiedenen US-Bundesstaaten bei der Zwangsvollstreckung von Hypotheken, um daraus unterschiedliche regionale Kreditrisiken abzuleiten. Ist dieses regionale Risiko erhöht, reagieren Kreditgeber durch vermehrte Verbriefung, wenn Hypotheken zum Verkauf an halbstaatliche Agenturen (Government Sponsored Enterprises, GSE) wie Fannie Mae und Freddie Mac zugelassen sind und so gegen Ausfall versichert werden können. Bei Hypotheken, für die kein Rückkauf durch GSE infrage kommt, erhöhen die Kreditgeber dagegen die Zinsen, da sie das Kreditrisiko nicht an die Kreditkäufer weitergeben können.
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Energy Markets and Global Economic Conditions
Christiane Baumeister, Dimitris Korobilis, Thomas K. Lee
Review of Economics and Statistics,
No. 4,
2022
Abstract
We evaluate alternative indicators of global economic activity and other market funda-mentals in terms of their usefulness for forecasting real oil prices and global petroleum consumption. World industrial production is one of the most useful indicators. However, by combining measures from several different sources we can do even better. Our analysis results in a new index of global economic conditions and measures for assessing future energy demand and oil price pressures. We illustrate their usefulness for quantifying the main factors behind the severe contraction of the global economy and the price risks faced by shale oil producers in early 2020.
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Deposit Competition and Mortgage Securitization
Danny McGowan, Huyen Nguyen, Klaus Schaeck
Abstract
We study how deposit competition affects a bank’s decision to securitize mortgages. Exploiting the state-specific removal of deposit market caps across the US as a source of competition, we find a 7.1 percentage point increase in the probability that banks securitize mortgage loans. This result is driven by an 11 basis point increase in deposit costs and corresponding reductions in banks’ deposit holdings. Our results are strongest among banks that rely more on deposit funding. These findings highlight a hitherto undocumented and unintended regulatory cause that motivates banks to adopt the originate-to-distribute model.
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Energy Markets and Global Economic Conditions
Christiane Baumeister, Dimitris Korobilis, Thomas K. Lee
Abstract
This paper evaluates alternative indicators of global economic activity and other market fundamentals in terms of their usefulness for forecasting real oil prices and global petroleum consumption. We find that world industrial production is one of the most useful indicators that has been proposed in the literature. However, by combining measures from a number of different sources we can do even better. Our analysis results in a new index of global economic conditions and new measures for assessing future tightness of energy demand and expected oil price pressures.
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To Securitise or to Price Credit Default Risk?
Huyen Nguyen, Danny McGowan
Abstract
We evaluate if lenders price or securitise mortgages to mitigate credit risk. Exploiting exogenous variation in regional credit risk created by differences in foreclosure law along US state borders, we find that financial institutions respond to the law in heterogeneous ways. In the agency market where Government Sponsored Enterprises (GSEs) provide implicit loan guarantees, lenders transfer credit risk using securitisation and do not price credit risk into mortgage contracts. In the non-agency market, where there is no such guarantee, lenders increase interest rates as they are unable to shift credit risk to loan purchasers. The results inform the debate about the design of loan guarantees, the common interest rate policy, and show that underpricing regional credit risk leads to an increase in the GSEs‘ debt holdings by $79.5 billion per annum, exposing taxpayers to preventable losses in the housing market.
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The Effect of Personal Bankruptcy Exemptions on Investment in Home Equity
S. Corradin, Reint E. Gropp, H. Huizinga, Luc Laeven
Journal of Financial Intermediation,
January
2016
Abstract
Homestead exemptions to personal bankruptcy allow households to retain their home equity up to a limit determined at the state level. Households that may experience bankruptcy thus have an incentive to bias their portfolios towards home equity. Using US household data for the period 1996 to 2006, we find that household demand for real estate is relatively high if the marginal investment in home equity is covered by the exemption. The home equity bias is more pronounced for younger and less healthy households that face more financial uncertainty and therefore have a higher ex ante probability of bankruptcy. These results suggest that homestead exemptions have an important bearing on the portfolio allocation of US households and the extent to which they insure against bad shocks.
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The Regional Distribution of Foreign Investment in Russia: Are Russians more Appealing to Multinationals as Consumers or as Natural Resource Holders?
K. Gonchar, Philipp Marek
Economics of Transition and Institutional Change,
No. 4,
2014
Abstract
This article conducts a plant-level study of the factors affecting foreign direct investment (FDI) inflow to a large opening economy endowed with specific factor advantages. We conclude that the distribution of FDI in Russian regions depends on market access and can be most notably described by the knowledge-capital framework. Factor endowments built by natural resources are more successful in explaining the location decisions of export–platform affiliates. The impact of natural resources depends on how the availability of these resources is measured. The results reject the crowding out effects of resource FDI and prove co-location mode, when service investments are attracted to resource-rich regions. Labour cost advantages better explain the preferences of non-trading service affiliates.
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Who Invests in Home Equity to Exempt Wealth from Bankruptcy?
S. Corradin, Reint E. Gropp, H. Huizinga, Luc Laeven
Abstract
Homestead exemptions to personal bankruptcy allow households to retain their home equity up to a limit determined at the state level. Households that may experience bankruptcy thus have an incentive to bias their portfolios towards home equity. Using US household data for the period 1996 to 2006, we find that household demand for real estate is relatively high if the marginal investment in home equity is covered by the exemption. The home equity bias is more pronounced for younger households that face more financial uncertainty and therefore have a higher ex ante probability of bankruptcy.
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Natural-resource or Market-seeking FDI in Russia? An Empirical Study of Locational Factors Affecting the Regional Distribution of FDI Entries
K. Gonchar, Philipp Marek
HSE Working Papers, Series: Economics, WP BRP 26/EC/2013,
2013
Abstract
This paper analyzes the spatial distribution of foreign direct investment (FDI) across regions in Russia. Our analysis employs data on Russian firms with a foreign investor during the 2000-2009 period and links regional statistics in the conditional logit model. The main findings are threefold. First, we conclude that market-related factors and the availability of natural resources are important factors in attracting FDI. Second, existing agglomeration economies encourage foreign investors. Third, the findings imply that service-oriented FDI co-locates with extraction industries in resource-endowed regions.
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Natural-resource or Market-seeking FDI in Russia? An Empirical Study of Locational Factors Affecting the Regional Distribution of FDI Entries
K. Gonchar, Philipp Marek
IWH Discussion Papers,
No. 3,
2013
Abstract
This paper conducts an empirical study of the factors that affect the spatial distribution of foreign direct investment (FDI) across regions in Russia; in particular, this paper is concerned with those regions that are endowed with natural resources and market-related benefits. Our analysis employs data on Russian firms with a foreign investor during the 2000-2009 period and linked regional statistics in the conditional logit model. The main findings are threefold. First, we conclude that one theory alone is not able to explain the geographical pattern of foreign investments in Russia. A combination of determinants is at work; market-related factors and the availability of natural resources are important factors in attracting FDI. The relative importance of natural resources seems to grow over time, despite shocks associated with events such as the Yukos trial. Second, existing agglomeration economies encourage foreign investors by means of forces generated simultaneously by sector-specific and inter-sectoral externalities. Third, the findings imply that service-oriented FDI co-locates with extraction industries in resource-endowed regions. The results are robust when Moscow is excluded and for subsamples including only Greenfield investments or both Greenfield investments and mergers and acquisitions (M&A).
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