Opportunities and Issues in Using HMDA Data

Avery, Robert B.; Brevoort, Kenneth P.; Canner, Glenn B.

doi:10.1080/10835547.2007.12091206

Cited by 114 publications

(42 citation statements)

References 2 publications

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“…11 Our analysis of mortgage originations requires the use of data made available under the Home Mortgage Disclosure Act, which requires mortgage originators to report statistics on the attributes of mortgage applications and originations. Avery, Brevoort, and Canner (2007) report that HMDA data cover an estimated 80% of all mortgage activity nationwide. In 2004, originators began reporting whether the interest rate being charged on a mortgage loan was three percentage points greater than the rate on a comparable-maturity Treasury security.…”

Section: Section 2a: Datamentioning

confidence: 99%

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The Role of the Securitization Process in the Expansion of Subprime Credit

Nadauld

Sherlund

2009

SSRN Journal

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We analyze the structure and attributes of subprime mortgage-backed securitization deals originated between 1997 and 2007. Our data set allows us to link loan-level data for over 6.7 million subprime loans to the securitization deals into which the loans were sold. We show that the securitization process, including the assignment of credit ratings, provided incentives for securitizing banks to purchase loans of poor credit quality in areas with high rates of house price appreciation. Increased demand from the secondary mortgage market for these types of loans appears to have facilitated easier credit in the primary mortgage market. To test this hypothesis, we identify an event which represents an external shock to the relative demand for subprime mortgages in the secondary market. We show that following the SEC's adoption of rules reducing capital requirements on certain broker dealers in 2004, five large deal underwriters disproportionately increased their purchasing activity relative to competing underwriters in ZIP codes with the highest realized rates of house price appreciation but lower average credit quality. We show that these loans subsequently defaulted at marginally higher rates. Finally, using the event as an instrument, we demonstrate a causal link between the demand for mortgages in the secondary mortgage market and the supply of subprime credit in the primary mortgage market.

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Section: Section 2a: Datamentioning

confidence: 99%

“…The result is that adjustable rate mortgages will be underreported in the HMDA sample, and the magnitude of the bias will change through time depending on the shape of the yield curve. Avery, Brevoort, and Canner (2007) argue that between 2004 and 2005, at least 13 percent of the increase in the…”

Section: Mortgage Origination Data From Hmdamentioning

confidence: 99%

The Role of the Securitization Process in the Expansion of Subprime Credit

Nadauld

Sherlund

2009

SSRN Journal

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“…We then clean the HMDA data along the lines suggested by Avery, Brevoort, and Canner (2007), who suggest that analysts drop loans that lack information on race and gender (as these are probably business loans) and combine home improvement loans with refinances.…”

Section: The Home Mortgage Disclosure Act (Hmda)mentioning

confidence: 99%

Technological Innovation in Mortgage Underwriting and the Growth in Credit: 1985-2015

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Loewenstein

Willen

2018

Working Paper (Federal Reserve Bank of Cleveland)

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The application of information technology to fi nance, or "fi ntech," is expected to revolutionize many aspects of borrowing and lending in the future, but technology has been reshaping consumer and mortgage lending for many years. During the 1990s computerization allowed mortgage lenders to reduce loanprocessing times and largely replace human-based assessment of credit risk with default predictions generated by sophisticated empirical models. Debt-to-income ratios at origination add little to the predictive power of these models, so the new automated underwriting systems allowed higher debt-to-income ratios than previous underwriting guidelines would have typically accepted. In this way, technology brought about an exogenous change in lending standards, which helped raise the homeownership rate and encourage the conversion of rental properties to owner-occupied ones, but did not have large eff ects on housing prices. Technological innovation in mortgage underwriting may have allowed the 2000s housing boom to grow, however, because it enhanced the ability of both borrowers and lenders to act on optimistic beliefs about future house-price growth.

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“…We are especially interested in loans originated by the 100 largest originators, ranked in terms of the total dollar amount of all loans provided by each originator on an annual basis. For discussions on limitations and uses of HMDA data, see Avery et al (2007) and LaCour-Little (2007).…”

Section: Datamentioning

confidence: 99%

International Real Estate Review

Guirguis¹,

Mueller²,

Harris³

et al. 2017

IRER

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Concentration amongst the top 100 mortgage originators rose substantially during the Great Recession. Furthermore, Originator Profits and Unmeasured Costs (OPUCs), a proxy measure of the profit from originating residential mortgage loans also rose over the same period. Recent studies suggest that these increases are only partially explained by rational factors such as rising costs from increased regulatory burdens and changes in risk. We find statistically significant evidence that increasing concentration raised loan costs by 97 basis points using Vector Autoregressive (VAR) models during the Great Recession. This finding suggests that banks are exploiting increasing monopolistic power to increase profits and as such, consumers face rising costs as competition amongst lenders declines. Further to this issue, this study suggests that mortgage markets are not fully competitive and that the rates and fees charged to borrowers are in fact impacted by the level of competition amongst lenders.

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Opportunities and Issues in Using HMDA Data

Cited by 114 publications

References 2 publications

The Role of the Securitization Process in the Expansion of Subprime Credit

The Role of the Securitization Process in the Expansion of Subprime Credit

Technological Innovation in Mortgage Underwriting and the Growth in Credit: 1985-2015

International Real Estate Review

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