Mortgage Market Design

Campbell, John C.

doi:10.3386/w18339

Cited by 75 publications

(126 citation statements)

References 42 publications

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“…More than half of these assets consists of mortgages. The large funding gap also make banks vulnerable for maturity transformation between interest rates (Campbell, 2013), since two-thirds of Dutch mortgage rates are fixed for a of period 10 years or more.…”

Section: Dutch Mortgage Marketmentioning

confidence: 99%

The Effect of Credit Conditions on the Dutch Housing Market

2014

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.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 Lizenz gewährten Nutzungsrechte. Abstract It is widely perceived that the supply of mortgages, especially since the extensive liberalization of the mortgage market since the 1980s, has had implications for the housing market in the Netherlands. In this paper we introduce a new method to estimate a credit condition index (CCI). The CCI represents changes in the supply of credit over time, apart from changes in interest rates and income. It has been estimated by an unobserved component in an error-correction model in which the average amount of new provided mortgages per period is explained by the borrowing capacity and additional control variables. The model has been estimated on data representing first time buyers (FTB). For Terms of use: Documents in EconStor may

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Section: Dutch Mortgage Marketmentioning

confidence: 99%

The Effect of Credit Conditions on the Dutch Housing Market

2014

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“…This approach is complicated by the di¢ cult to measure and potentially unobservable factors which may a¤ect household mortgage choice across countries. For example, historical experiences with interest rate and in ‡ation volatility can have long-lasting e¤ects because consumers can be slow to adopt new …nancial instruments (Campbell 2013).…”

Section: Introductionmentioning

confidence: 99%

The Impact of Regulation on Mortgage Risk: Evidence from India

Campbell

Ramadorai

Ranish

2015

American Economic Journal: Economic Policy

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We employ loan-level data on over a million loans disbursed in India between 1995 and 2010 to understand how fast-changing regulation impacted mortgage lending and risk. Our paper uses changes in regulatory treatment discontinuities associated with loan size and leverage to detect regulation-induced loan delinquencies. We also …nd that an acceleration in the classi…cation of assets as non-performing resulted in substantially lower delinquency probabilities and losses given delinquency.We gratefully acknowledge an Indian mortgage provider for providing us with the data, and many employees of the Indian mortgage provider, Santosh

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“…Focusing on the United States and Europe, Campbell (2013) and Jaffee (2015) document that European countries-with a few exceptions-tend to observe less volatility in house price movements than does the United States. Furthermore, during the recent housing bust, even countries that experienced large drops in house prices, such as Denmark, have largely avoided the mortgage default crisis that has ravaged the United States.…”

Section: Policy Discussion and Welfarementioning

confidence: 99%

“…In addition, as discussed by Hedlund (2015), the implied positive relationship in the model between mortgage debt and list price at high leverage ranges is consistent with empirical evidence in Mayer (1997, 2001). 27 See Corbae and Quintin (2015), Campbell (2013), Campbell and Cocco (2015), Jones (1993), and Bhutta, Dokko, and Shan (2010) for further discussion.…”

Section: Reforming Foreclosure Lawsmentioning

confidence: 99%

The Cyclical Dynamics of Illiquid Housing, Debt, and Foreclosures

Hedlund

2014

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.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 Lizenz gewährten Nutzungsrechte. This paper quantitatively accounts for the cyclical dynamics of key macroeconomic housing and mortgage market variables using a tractable, search-theoretic model of housing with equilibrium mortgage default. To explain these dynamics, the model highlights the importance of liquidity spirals that arise from the interaction of search frictions and endogenous credit constraints. During housing busts, longer selling times spill over into higher foreclosure risk, thereby magnifying the response of credit constraints to the depressed housing market. This contraction in credit then deepens the downturn. During booms, the reverse occurs. Based on these insights, I consider a foreclosure reform that makes all mortgages full recourse, and I show that implementing such a reform would reduce foreclosures and dampen housing dynamics. Terms of use: Documents in EconStor may

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Mortgage Market Design

Cited by 75 publications

References 42 publications

The Effect of Credit Conditions on the Dutch Housing Market

The Effect of Credit Conditions on the Dutch Housing Market

The Impact of Regulation on Mortgage Risk: Evidence from India

The Cyclical Dynamics of Illiquid Housing, Debt, and Foreclosures

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