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Tim Landvoigt
Job Market Candidate
Stanford University
Department of Economics
579 Serra Mall
Stanford, CA 94305
650-862-7166
timl@stanford.edu
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Research
Aggregate Implications of the
Increase in Securitized Mortgage Debt (Job Market Paper)
Securitization added 30 percent
to the peak of mortgage
debt in 2006 by reducing intermediation frictions. I reach that
conclusion in a dynamic model of borrowers, savers, and financial
intermediaries that is calibrated to the different stages of US housing
finance in the postwar period. Banks lend funds to borrowers in the
form of mortgages and raise those funds by issuing equity and deposits
to savers. Deposits are over-collateralized claims on the banks’
portfolios of mortgages. Securitization allows banks to sell part of
the loans directly to savers after origination. It further allows the
same allocation of risk among savers with diverse risk aversion, but at
lower cost. Two developments change the behavior of the financial system
over time. Rising securitization gradually reduces intermediation costs
and frictions. At the same time, the rising quantity of mortgages
requires savers to hold more risky assets. As result, savers’ limited
funding capacity leads to more gradual adjustments in response to
shocks, and savers earn higher risk premia on mortgage-backed
securities. The dynamic model shows that, when agents temporarily
underestimate the default risk of mortgages, the economy undergoes a
boom-bust episode in debt and house prices.
The
Housing Market(s) of San Diego
(with Monika Piazzesi and Martin Schneider)
(Revise
and Resubmit, AER)
This
paper uses a quantitative assignment model of the
housing market to understand the cross section of house prices within a
metro area. In the model, equilibrium house prices are determined to
assign indivisible houses that differ by quality to movers who differ
by age, income and wealth. We measure distributions of house prices,
house qualities and mover characteristics from micro data on the San
Diego Metro Area over the recent housing boom. The model suggests that
cheaper credit for poor agents was important in generating higher
capital gains at the low end of the market.
Housing Demand during the Boom: The
Role of Expectations and Credit Constraints
Optimism about future house
price appreciation and loose
credit constraints are commonly considered drivers of the recent
housing boom. This paper infers short-run expectations of future house
price growth and minimum down payment requirements from observed
household choices. The expectations and credit constraints are implied
by a life-cycle portfolio choice model that encompasses home ownership,
housing demand, and financing choices. I estimate the parameters of
this model using data from the Survey of Consumer Finances from 1995 to
2007. The main result is that both aggregate expectations of future
price growth and minimum down payment requirements were declining
throughout the boom. The separate identification of the two channels
comes from their differential impact on the intensive and extensive
margins of housing demand.
Information
Acquisition and Consumer Choice (with Timothy F. Bresnahan and Pai-Ling
Yin)
We specify and estimate a model
of demand for new goods
implementing Simon’s idea that consumers may not know their entire
choice set. The model is identified in data, like ours, in
which
there is information about both what consumers say about their choices
and about their actual choices. Learning what consumers do
not
know about their choice set from what they say about their choices is
difficult, but solvable. We apply our model to software
upgrade
demand in the era before automatic upgrading. We find that
much
of the consumer inertia in electronic markets around default changes
arises from incomplete information about choice sets, not from high
adjustment costs.
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