We study the effect of Department of Justice lawsuits in the 2010s against large lenders for alleged fraud in the Federal Housing Administration (FHA) mortgage insurance program. The suits led to more than $5 billion in settlements and caused targeted banks and their peers to precipitously exit...

Despite the "interest rate turnaround" initiated by the ECB in the second half of 2022 as a late reaction to the clearly underestimated persistence of high inflation rates in the euro area, real interest rates are by no means to be regarded as restrictive, neither in the ex post nor in the ex...

We calibrate a lifecycle portfolio-choice model of homeowners facing uninsurable income risk to show that tax deductions for mortgage interest payments and voluntary pension contributions have sizable effects on household portfolios and macroprudential risks. The deductions reduce the after-tax...

The family home is the most important asset on household balance sheets, aside from human capital. Choosing a suitable mortgage is therefore critical to financial well-being but households often make costly mistakes. We collect data in an online survey to test borrowers' comfort with, and...

Using administrative data on mortgages issued in Italy between 2018 and 2019, this paper estimates loan demand elasticities to maturity and interest rate. We find that households are responsive to both contract terms: a 1% decrease in interest rate increases the average loan size by 0.22%...

Physical climate risks can have a large regional impact, which can influence mortgage loans' credit risk and should be priced by the lenders. Motivated by the relevance of climate change for financial intermediaries, our paper aims at analysing if physical climate risks are being reflected in...

Macroprudential policies are a key policy tool for financial regulators, but concerns persist that these policies restrict access to homeownership. I examine this concern using crosscountry data on homeownership for 28 countries. I find little evidence that macroprudential policies reduce...

We study how China's loan‐to‐value (LTV) policy affects mortgage markets and household consumption, focusing on an abrupt and unprecedented relaxation in LTV limits for secondary houses from 2014Q4 to 2016Q3. Using a rich dataset of over three million loan‐level records from a major...

This study examines whether fintech lenders outperform traditional banks and non-fintech non-banks in risk assessment for U.S. 30-year fixed-rate conforming mortgages. Analyzing Fannie Mae and Freddie Mac loans from Q1 2012 to Q1 2020 using ROC/AUC and risk-pricing regressions, we find fintech...

The commercial real estate (CRE) market is an important source of financial stability risks, yet ownership structures remain opaque. This paper uses comprehensive Finnish register data to construct firm-level ownership network and identify owners of CRE firms. We document that government...

In developed countries such as Spain, where the population is increasingly aging, retirement planning and longevity risk represent major societal challenges. In Spain, in particular, a significant proportion of household wealth is concentrated in real estate, primarily in the form of...

This study explores the housing distribution effect of the Housing Provident Fund (HPF) system on households. Utilizing data from the China Household Finance Survey conducted in 2013, 2015, 2017, and 2019, this study empirically investigates this effect from two dimensions: the impact of HPF...

In this analysis, an indicator to assess residential property prices in the Macedonian real estate market was developed by applying a macroprudential approach to analysing borrowing capacity. The indicator of household borrowing capacity is calculated as the ratio of the market value to the...

Using a granular database of variable rate euro area loans and analysing their defaults between 2014 and 2019, we show that the effect of interest rate changes on mortgage defaults is highly non-linear. First, we find that the risk associated with higher contemporaneous interest rates is...

This paper examines how structural change in labor markets affects household credit outcomes. Using a Shift-Share instrumental variable approach, we find that occupational shifts negatively influence mortgage holding for households facing favorable job market conditions, such as stable...

In dynamic models of asset markets with asymmetric information and endogenous screening, the anticipation of signaling through delayed sales incentivizes originators to exert greater effort ex ante. A central prediction in those models is a positive relationship between screening effort and the...

A recurring question in the mortgage default literature is why underwater default is rare relative to model predictions. We find that one answer is miscalibration of flow payoffs. We build a novel, detailed quantitative model of mortgage default and find that realistic rent dynamics plus mild...