Collaborative Research: Predatory Lending, Predatory Borrowing, and the Mortgage Crisis: Evidence from Loan-Level Data from a Large Bank

合作研究：掠夺性贷款、掠夺性借款和抵押危机：来自大型银行贷款水平数据的证据

• 批准号: 0851428
• 负责人: Wei Jiang
• 金额: $ 24.76万
• 依托单位: Columbia University
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2009
• 资助国家: 美国
• 起止时间: 2009-07-01 至 2013-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0851428&HistoricalAwards=false
• 关键词: Collaborative; Research; Predatory; Lending; Borrowing

Developments in the U.S. housing and mortgage debt markets since 2006 are the focus of anxiety and efforts among regulators, researchers, and market participants. This project aims to uncover the causes of, and the paths to, the mortgage crisis from the experience of a major mortgage bank. The bank the PI's study is an ideal place for the study because it provides a epresentative and yet amplified version of the boom-and-bust cycle that the national subprime sector has seen during the past decade. First, the bank was one of the nations ten largest mortgage banks in 2006 and was one of the fastest growing. Second,it specialized in the reduced- and no-documentation loans that has been central to the mortgage crisis, while also providing full-documentation loans. Third, the insolvency of the bank in 2008 was one of the largest bank failures in United States history. Lastly, the borrowers and properties underlying the bank's mortgage loans have fair representations from all the states, and therefore, lessons from the bank's failure have general implications.The project will be based on a new and proprietary data set that represents the most comprehensive, detailed, and disaggregated data sets used in the mortgage loan literature. We have obtained data on more than 700,000 loans made by the bank that were outstanding at any time between January 2004 and March 2008. The dataset includes all the detailed information that the lender collected for loan origination, including loan pricing and other contractual terms, and the borrowers demographic and economic conditions. In addition, the dataset includes detailed information about the loan performance in each month during the sample period, including the payment amount and the loans prepayment, delinquency and foreclosure status. Finally, using the address information in the dataset, the PI's are able to match individual loans to community attributes such as school quality, housing price indices, and business opportunities in narrow localities.The analysis of this unique dataset will include several steps. First, the PI's plan to conduct a descriptive analysis of the evolution of the structuring and performance of loans originated by the bank during the sample period. Second, they will perform a predictive analysis of default, and analyze the differences in the determinants of default among subsamples partitioned by loan types and borrower characteristics. They will also analyze the time series variations of such. Most importantly, they will identify the two-sided moral hazard problems in the mortgage market. On the one hand, there is the possibility of predatory lending, where the lender misleads an uninformed borrower into a high-cost loan when the latter could qualify for a lower-cost alternative; or the lender makes a loan that will cause expected harm to the borrower. On the other hand, predatory borrowing points to the possibility that borrowers falsify or hide unfavorable information in their loan applications.The intellectual merit of the proposed activity: Using a unique dataset, the proposed study will help settle the controversies over lending practice, most importantly the presence of discrimination in loan pricing and predatory lending. The research also aims at identifying key factors in causing the mortgage crisis by assessing the relative importance of irresponsible lending and irresponsible borrowing. The novel empirical design to separately identify the opportunistic behavior of lenders and borrowers will also represent a contribution to the empirical literature on two-sided information asymmetry and moral hazard.The broader impacts resulting from the proposed activity: By conducting an inside study of a major mortgage bank through its expansion and failure, this work will provide a better understanding of the causes of the recent mortgage crisis. The findings will provide useful reference for policy makers who work on laws and rules in order to prevent a crisis of this scale from recurring. The lessons from this study will also benefit banks and financial institutions for better practices in loan provision and securitization, risk management, and monitoring.

自2006年以来，美国住房和抵押贷款债务市场的发展是监管机构，研究人员和市场参与者的焦虑和努力的重点。该项目旨在揭示主要抵押贷款银行经验的抵押贷款危机的原因和途径。该银行PI的研究是该研究的理想场所，因为它提供了过去十年来国家次级次级部门所看到的繁荣和障碍循环的表现却被放大的版本。首先，该银行是2006年国家十大抵押贷款银行之一，并且是增长最快的抵押贷款银行之一。其次，它专门从事尚未涉及抵押危机核心的减少和无文档贷款，同时还提供了全面有节目的贷款。第三，该银行在2008年的破产是美国历史上最大的银行失败之一。最后，银行抵押贷款贷款的借款人和财产具有来自所有州的公平代表，因此，银行失败的经验教训具有一般影响。该项目将基于代表抵押贷款贷款文献中使用的最全面，最详细，最全面，详细和分裂的数据集的新的和专有的数据集。我们已经获得了银行在2004年1月至2008年3月之间的任何时间发行的700,000多个贷款的数据。该数据集包括贷方收集的贷款发起的所有详细信息，包括贷款定价和其他合同条款，以及借款人的人口统计和经济条件。此外，数据集还包括有关样本期间每个月的贷款绩效的详细信息，包括付款金额和贷款预付款，拖欠和止赎状态。最后，使用数据集中的地址信息，PI能够将单个贷款与社区属性相匹配，例如学校质量，住房价格指数和狭窄地区的商机。对此独特数据集的分析将包括多个步骤。首先，PI计划对样本期间银行起源的贷款结构和绩效的演变进行描述性分析。其次，他们将对违约进行预测分析，并分析按贷款类型和借款人特征分配的子样本的违约决定因素的差异。他们还将分析此类时间序列的变化。最重要的是，他们将确定抵押贷款市场中双面道德危害问题。一方面，有可能是掠夺性贷款的，当后者有资格获得低成本替代方案时，贷方将不知情的借款人误导为高成本贷款；否则贷方贷款将对借款人造成预期的损害。另一方面，掠夺性借款表明，借款人在其贷款申请中伪造或隐藏不利的信息的可能性。拟议活动的智力优点：使用独特的数据集，拟议的研究将有助于解决贷款实践的争议，最重要的是，贷款定价和掠夺性贷款中的歧视存在。该研究还旨在通过评估不负责任的贷款和不负责任的借贷的相对重要性来确定造成抵押危机的关键因素。单独确定贷方和借款人的机会主义行为的新颖实证设计还将代表对两面信息不对称和道德危害的经验文献的贡献。提出的活动所带来的更广泛的影响：通过对主要抵押贷款银行进行内部研究，通过其扩张和失败的内部研究，这项工作将更好地理解这项最新的Mortsort of Mortsove criss criss criss criss criss criss criss criss criss criss criss criss criss criss criss crist criss criss criss criss criss criss criss criss criss criss criss crist。这些发现将为制定法律和规则的决策者提供有用的参考，以防止这种规模的危机反复出现。这项研究的教训还将使银行和金融机构有益于贷款提供和证券化，风险管理和监控的更好实践。