NBER Publications by Vincent Yao

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Working Papers and Chapters

August 2015Mortgage Refinancing, Consumer Spending, and Competition: Evidence from the Home Affordable Refinancing Program
with Sumit Agarwal, Gene Amromin, Souphala Chomsisengphet, Tomasz Piskorski, Amit Seru: w21512
We examine the ability of the government to impact mortgage refinancing activity and spur consumption by focusing on the Home Affordable Refinancing Program (HARP). The policy allowed intermediaries to refinance insufficiently collateralized mortgages by extending government credit guarantee on such loans. We use proprietary loan-level panel data from a large market participant with refinancing history and social security number matched consumer credit records of each borrower. A difference-in-difference empirical design based on eligibility requirements of the program reveals a substantial increase in refinancing activity by the program: more than three million eligible borrowers with primarily fixed-rate mortgages – the predominant contract type in the U.S. – refinanced their loans under...
October 2014Mortgage Rates, Household Balance Sheets, and the Real Economy
with Benjamin J. Keys, Tomasz Piskorski, Amit Seru: w20561
This paper investigates the impact of lower mortgage rates on household balance sheets and other economic outcomes during the housing crisis. We use proprietary loan-level panel data matched to consumer credit records using borrowers' Social Security numbers, which allows for accurate measurement of the effects. Our main focus is on borrowers with agency loans, which constitute the vast majority of U.S. mortgage borrowers. Relying on variation in the timing of resets of adjustable rate mortgages, we find that a sizable decline in mortgage payments ($150 per month on average) induces a significant drop in mortgage defaults, an increase in new financing of durable consumption (auto purchases) of more than 10% in relative terms, and an overall improvement in household credit standing. New fin...
October 2013Collateral Valuation and Borrower Financial Constraints: Evidence from the Residential Real Estate Market
with Sumit Agarwal, Itzhak Ben-David: w19606
Financially constrained borrowers have the incentive to influence the appraisal process in order to increase borrowing or reduce the interest rate. We document that the average valuation bias for residential refinance transactions is above 5%. The bias is larger for highly leveraged transactions, around critical leverage thresholds, and for transactions mediated through a broker. Mortgages with inflated valuations default more often; however, lenders partly account for the valuation bias through pricing.
September 2012Foreclosure externalities: Some new evidence
with Kristopher Gerardi, Eric Rosenblatt, Paul S. Willen: w18353
In a recent set of influential papers, researchers have argued that residential mortgage foreclosures reduce the sale prices of nearby properties. We revisit this issue using a more robust identification strategy combined with new data that contain information on the location of properties secured by seriously delinquent mortgages and information on the condition of foreclosed properties. We find that while properties in virtually all stages of distress have statistically significant, negative effects on nearby home values, the magnitudes are economically small, peak before the distressed properties complete the foreclosure process, and go to zero about a year after the bank sells the property to a new homeowner. The estimates are very sensitive to the condition of the distressed property,...

Published: Journal of Urban Economics Volume 87, May 2015, Pages 42–56 Cover image Foreclosure externalities: New evidence ☆ Kristopher Gerardia, , , Eric Rosenblattb, , Paul S. Willenc, , Vincent Yaob,

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