NBER Working Papers by Adi Sunderam

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Working Papers

June 2013Concentration in Mortgage Lending, Refinancing Activity and Mortgage Rates
with David S. Scharfstein: w19156
We present evidence that high concentration in local mortgage lending reduces the sensitivity of mortgage rates and refinancing activity to mortgage-backed security (MBS) yields. A decrease in MBS yields is typically associated with greater refinancing activity and lower rates on new mortgages. However, this effect is dampened in counties with concentrated mortgage markets. We isolate the direct effect of mortgage market concentration and rule out alternative explanations based on borrower, loan, and collateral characteristics in two ways. First, we use a matching procedure to compare high- and low-concentration counties that are very similar on observable characteristics and find similar results. Second, we examine counties where concentration in mortgage lending is increased by bank merg...
February 2009Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
with John Y. Campbell, Luis M. Viceira: w14701
The covariance between US Treasury bond returns and stock returns has moved considerably over time. While it was slightly positive on average in the period 1953--2009, it was unusually high in the early 1980''s and negative in the 2000''s, particularly in the downturns of 2000--02 and 2007--09. This paper specifies and estimates a model in which the nominal term structure of interest rates is driven by four state variables: the real interest rate, temporary and permanent components of expected inflation, and the ""nominal-real covariance"" of inflation and the real interest rate with the real economy. The last of these state variables enables the model to the changing covariance of bond and stock returns. Log bond yields and term premia are quadratic in these state variables, with ...

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