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How Resilient Is Mortgage Credit Supply? Evidence from the COVID-19 Pandemic

Andreas Fuster, Swiss National Bank and CEPR, Aurel Hizmo, Lauren Lambie-Hanson, James Vickery, Paul Willen, Board of Governors of the Federal Reserve System, Federal Reserve Bank of Philadelphia, Federal Reserve Bank of Philadelphia, Federal Reserve Bank of Boston and NBER
2021 Finance and Economics Discussion Series  
Although the mortgage market experienced a historic boom in 2020, we show there was also a large and sustained increase in intermediation markups that limited the pass-through of lowrates to borrowers.  ...  Rising forbearance and default risk did not significantly affect rates on "plainvanilla" conforming mortgages, but it did lead to higher spreads on mortgages without government guarantees and loans to  ...  We further capture "mortgage loan officers" as postings in this category that have the words "mortgage," "mtg," "home," or "residential" in the job title.  ... 
doi:10.17016/feds.2021.048 fatcat:sjmpmr5ml5dcfb2pptgwrxty3a

The Informational Role of the Media in Private Lending

Robert M. Bushman, Christopher D. Williams, Regina Wittenberg Moerman
2013 Social Science Research Network  
We further show that the sensitivity of loan spreads to media content differs between relationship and non-relationship lenders.  ...  Consistent with lenders learning from the media rather than pricing information accessed from other sources, we find that the association between media content and spreads is significantly stronger when  ...  Empirical Results The association between media content on loan pricing We start our analyses by testing the relation between the interest rate spread and the content of media articles in the 180 days  ... 
doi:10.2139/ssrn.2374724 fatcat:b55crgh7dnfhpdarmyakwkwv2m

Fed Liftoff and Subprime Loan Interest Rates: Evidence From the Peer-to-Peer Lending Market

Christoph Bertsch, Isaiah Hull, Xin Zhang
2016 Social Science Research Network  
Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten  ...  We estimate two outcomes of interest related to liftoff: 1) the change in the average interest rate; and 2) the change in the spread between high and low credit risk borrowers.  ...  Given our results for interest rates and spreads, these findings are consistent with the model's prediction of a positive relationship between interest rates and funding gaps.  ... 
doi:10.2139/ssrn.2780418 fatcat:tnfg7omwt5bcnokzhfo3pej46u

The Bank Lending Channel of Monetary Policy and its Effect on Mortgage Lending

Lamont K. Black, Diana Hancock, S. Wayne Passmore
2010 Social Science Research Network  
We predict that only "transition banks" operating between these business strategies are likely to increase their loan rate spreads substantially in response to monetary tightening.  ...  "Traditional banks" have a large supply of excess core deposits and specialize in information-intensive lending to borrowers (which is proxied here using mortgage lending in subprime communities), whereas  ...  Therefore, we predict that transition banks are the most likely to raise their interest rates (i.e., loan rate spreads) substantially in response to a monetary tightening.  ... 
doi:10.2139/ssrn.1895500 fatcat:vy6zxwqpfrcpvayznlr4walonm

Financial Crises, Regulation and Growth

Ray Barrell, Ian Hurst, Simon Kirby
2008 National Institute Economic Review  
There is an investigation of the impacts from a significant rise in the spread between lending and borrowing rates for both producers and consumers using the dynamic stochastic general equilibrium version  ...  It looks at the vulnerability of the personal and business sectors to increases in borrowing rates, and at the evidence for a risk related rise in borrowing rates.  ...  In general risk premia will rise in crises, and this will lead to an increase in the spread between borrowing and lending rates.  ... 
doi:10.1177/0027950108099843 fatcat:rn4zygqazvh65b7jfmj64xyjbq

The Limits of Shadow Banks

Greg Buchak, Gregor Matvos, Tomasz Piskorski, Amit Seru
2018 Social Science Research Network  
, single-family, conforming fixed-rate mortgage purchases. 4 The loanlevel data contain information on the loan, property, and borrower, including loan size, interest rate, loan purpose, property location  ...  Much like the Fannie Mae and Freddie Mac data, Black Knight McDash data contain interest rates and a large number of borrower-and loan-specific characteristics, including FICO score at origination, loan-to-value  ...  We then project each loan's actual interest rate to its predicted interest rate differences so that each loan in the market has the market-wide average FICO score of roughly 760.  ... 
doi:10.2139/ssrn.3260434 fatcat:q4izq75d4va2tbi5qtiirf4iuu

Foreign Bank Entry and Credit Allocation in Emerging Markets

Olena Havrylchyk, Hans Degryse, Emilia Magdalena Jurzyk, Sylwester J. Kozak
2009 Social Science Research Network  
We also document that there is a significant convergence over time between foreign and domestic banks in terms of groups of borrowers they lend to, while there is no convergence in terms of maturity and  ...  Finally, we do not find any impact of bank ownership and mode of entry on lending rates. JEL classification: G21, G28, G34, L11  ...  While there was a general trend for all lending rates to decrease in the analyzed period, the spread between lending rates to the most transparent borrowers -private firms -and the most opaque borrowersentrepreneurs  ... 
doi:10.2139/ssrn.1494230 fatcat:jldmvroz6vgyjohqdlq4hznxdu

Competition, Loan Rates and Information Dispersion in Microcredit Markets

G. Baquero, Malika Hamadi, Andréas Heinen
2011 Social Science Research Network  
from rating agencies, covering 379 microbanks located in 67 countries between 2002 and 2008.  ...  In contrast, nonprofit microbanks are relatively insensitive to changes in concentration. We control for interest rate ceilings, which very significantly reduce rates in for-profit microbanks.  ...  Yield spread, in Panel A, is adjusted real portfolio yield minus real lending interest rate.  ... 
doi:10.2139/ssrn.2006485 fatcat:wnrlsmupdfcjffh2r6beojq4ay

Mixed Signals: IMF Lending and Capital Markets

Terrence Chapman, Songying Fang, Xin Li, Randall W. Stone
2015 British Journal of Political Science  
Yet the political interests that make lenders willing to lend may weaken the credibility of commitments to reform, and the act of accepting an agreement reveals unfavorable information about the state  ...  Decomposing the contradictory effects of crisis lending provides an explanation for the discrepant empirical findings in the literature about market reactions.  ...  Finally, in response to comments by anonymous reviewers, we checked the robustness of our results to including a control for the nominal exchange rate and to using the spread between the nominal yield  ... 
doi:10.1017/s0007123415000216 fatcat:73ntw4xbijculjaobnqww42kce

Modeling with Macro-Financial Linkages: Credit and Policy Shocks in Emerging Markets

Jaromir Benes, Inci Ötker, David Vávra
2009 IMF Working Papers  
The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy.  ...  Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.  ...  the marginal costs of bank lending and deposits, and alter both the optimum levels of lending and deposit rates, and the lending and deposit spreads.  ... 
doi:10.5089/9781451872705.001 fatcat:p2e4yu6rs5cwhbsz4rg5iq5hfi

Foreign Bank Entry and Credit Allocation in Emerging Markets

Hans Degryse, Olena Havrylchyk, Emilia Magdalena Jurzyk, Sylwester J. Kozak
2009 Social Science Research Network  
and currencies.  ...  Our results are broadly in line with the portfolio composition hypothesis, showing that borrower informational capture determines bank credit allocation. JEL Classification Numbers: G21, G28, G34, L11  ...  , the spread between lending rates to private firms and entrepreneurs has not changed in a significant way.  ... 
doi:10.2139/ssrn.1342496 fatcat:vwgjxikawbg4thgisbw5w7f66a

Creditor Rights, Enforcement, and Debt Ownership Structure: Evidence from the Global Syndicated Loan Market

Benjamin C. Esty, William L. Megginson
2002 Social Science Research Network  
Using a sample of 495 project finance loan tranches (worth $151 billion) to borrowers in 61 different countries, we examine the relation between legal risk and debt ownership structure.  ...  In countries with strong creditor rights and reliable legal enforcement, lenders create smaller and more concentrated syndicates to facilitate monitoring and low-cost contracting.  ...  In terms of loan spreads, we collect the spreads over various base lending rates such as LIBOR, HIBOR (Honk Kong) and SIBOR (Singapore). The median loan spread is 102.5 basis points.  ... 
doi:10.2139/ssrn.320226 fatcat:g4jjav7lojdtrdulidesw2r7rm

Foreign Bank Entry and Credit Allocation in Emerging Markets

Sylwester Kozak, Emilia Magdalena Jurzyk, Hans Degryse, Olena Havrylchyk
2009 IMF Working Papers  
Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.  ...  The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy.  ...  While there was a general trend for all lending rates to decrease over 1996-2006, the spread between lending rates to private firms and entrepreneurs has not changed in a significant way.  ... 
doi:10.5089/9781451874150.001 fatcat:qzrl7ziifvfshj5e7lyunelg2m

Does Corporate Lending by Banks and Finance Companies Differ? Evidence on Specialization in Private Debt Contracting

Mark Carey, Mitch Post, Steven A. Sharpe
1998 Journal of Finance  
A second explanation emphasizes the distinction between control and information problems.  ...  The evidence supports both regulatory and reputational explanations for this specialization and perhaps an explanation based on institutional differences in borrower monitoring and control.  ...  Panel A displays median spreads between the loan interest rate and LIBOR.  ... 
doi:10.1111/0022-1082.00037 fatcat:33joe56y2rfrlozi5dgzhoo2ca

Sub-prime mortgage lending: a cultural economy

Paul Langley
2008 Economy and Society  
and mistakes in the past pay higher rates of interest in the present.  ...  That said, the relationship between the aggregation of borrowers into a pool of collateral that backs a particular bond and the rating of that bond -what Marron (2007) calls the relationship between  ... 
doi:10.1080/03085140802357893 fatcat:zer33x437bfzrdvikzm73wgqv4
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