The Riskiness of Outstanding Mortgages in the United States, 1999 - 2019
William Larson
No 21-03, FHFA Staff Working Papers from Federal Housing Finance Agency
Abstract:
This paper introduces summary measures of credit risk for the stock of all outstanding mortgages in the United States for each quarter between 1999 and 2019. Mortgage terminations play a fundamental role in offsetting risk introduced by the flow of new originations because of refinance activity and the often dual nature of home buyers as concurrent sellers. To illustrate these concepts in a policy setting, I show the Home Affordable Refinance Program increased origination risk metrics but reduced overall risk due to the associated terminations of even riskier loans. Generally, book-level risk tends to lag behind originations: while origination risk peaked in 2006, the risk of outstanding mortgages peaked in 2007, and while origination risk bottomed out in 2011 and has been rising since, book-level risk continued its downward trend in 2019. Other results highlight previously rarely-examined market segments, including credit unions, the Federal Home Loan Bank system, and loans guaranteed by the Farm Service Agency/Rural Housing Service.
Keywords: mortgage risk; systemic risk; housing cycles; stress test (search for similar items in EconPapers)
JEL-codes: E32 G21 G28 H22 R31 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2021-10
New Economics Papers: this item is included in nep-ban, nep-mac, nep-ore, nep-rmg and nep-ure
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Citations: View citations in EconPapers (1)
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Related works:
Journal Article: The riskiness of outstanding mortgages in the United States, 1999–2019 (2023) 
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Persistent link: https://EconPapers.repec.org/RePEc:hfa:wpaper:21-03
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