Browsing by Author "Tsouderou, Athena"

Now showing 1 - 4 of 4
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    Climate risk in mortgage markets: Evidence from Hurricanes Harvey and Irma
    (Wiley, 2024-02-27) Gete, Pedro; Tsouderou, Athena; Wachter, Susan; Ministerio de Ciencia e Innovación; Agencia Estatal de Investigación; https://ror.org/02jjdwm75
    Using the Credit Risk Transfers (CRTs) issued by Fannie Mae and Freddie Mac, we study how, absent government intervention, mortgage markets would price hurricane risk. Currently, such risk is priced equally across locations even if it is location-specific. We hand collect a novel and detailed database to exploit CRTs' heterogeneous exposure to Hurricanes Harvey and Irma. Using a diff-in-diff specification, we estimate the reaction of private investors to hurricane risk. We use the previous results to calibrate a model of mortgage lending. We simulate hurricane frequencies and mortgage default probabilities in each US county to derive the market price of mortgage credit risk, that is, the implied guarantee fees (g-fees). Market-implied g-fees in counties most exposed to hurricanes would be 70% higher than inland counties.
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    Essays in housing finance.
    (IE University, 2021-04-23) Tsouderou, Athena; Gete, Pedro; https://ror.org/02jjdwm92; Bonet, Rocío; Garriga, Carlos
    This thesis examines the role of investors in the housing and mortgage markets in the years following the Global Financial Crisis of 2007-2009. Chapter 1 studies the effects of a new class of investors on the dynamics of housing affordability, post-crisis. Processing 85 million housing transactions and using a novel instrumental variable, I find that investors’ presence increases the price-to-income ratio, especially in the lowest price-tier. Investors cause a medium-run positive response of construction and a short-run reduction in vacancies. These equilibrium effects mitigate the impact on affordability. In highly inelastic areas investors affect prices more than rents, whereas in highly elastic areas investors have the opposite effect. Chapter 2 studies how investors in housing markets changed post-crisis and the consequences for markets and the economy. I document several new facts: Institutional investors have replaced individual investors, but small size investors dominate among these new investors. Most new investors are less likely to sell the properties in the short-term in response to capital gains. Their investment portfolio has a strong local bias and is driven by search for yield. The arrival of buy-and-hold investors is related to substantially lower price momentum. It is also related to reduced housing stock and time on the market for houses. Chapter 3 studies how institutional investors in mortgage markets would absorb mortgage credit risk. The identification exploits Hurricanes Harvey and Irma and the Credit Risk Transfers (CRT) issued by the GSEs. CRTs are structured securities to transfer some of their credit risk to private investors. CRTs differ in the geographical and loan-to-value composition of their reference pool. These heterogeneities generate differences in exposure to hurricane-affected areas and to expectations of mortgage defaults. I find significant increases in the price of credit risk right after the hurricanes’ landfall. I use these results to estimate a model of credit risk and evaluate how mortgage markets without government guarantees of the GSEs would fare over the housing boom-bust cycle.
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    Resilience / vulnerability of Spanish households in the face of COVID-19. Disparities in the distribution and composition of savings in Europe.
    (IE University, 2021-07-29) Tsouderou, Athena; Núñez Letamendía, Laura; https://ror.org/00c5kmy11
    The unprecedented global health and economic emergency caused by the COVID-19 pandemic highlights, now more than ever, the importance of promoting savings and financial planning in every household. Knowing households’ degree of financial resilience (or conversely, their degree of vulnerability) prior to the pandemic is essential in order to be able to anticipate the consequences of the pandemic and better gear economic and social measures. As a result of this situation, the academic community has raised its voice, advocating the urgent need to promote structural policies that foster conscious financial planning in households as a mechanism of resilience to future crises; see Arellano and Cámara (2020). Despite the packages of social and economic measures put in place by the governments of different countries, including Spain, and by the European Union, a great deal of households has experienced, and will continue to experience in the coming months, a deep income reduction. In Spain, the number of workers affected by temporary lay-offs amounted to nearly 3.4 million. In some sectors, more than 80% of social security affiliates has been in this situation. In turn, more than 1 million self-employed workers have been eligible to receive the aid for the cessation of activities. Considering that the employed population in Spain is around 18.5 million people, at least a quarter of the population has suffered a significant income reduction due to the health emergency. In these situations, it is clear that accumulating savings over time (referred to in the literature as ‘wealth’) is an excellent mechanism of precaution and financial stability that citizens can apply to compensate for temporary income reductions. Analysing the state of this accumulation of savings or the level, of wealth that households had prior to the crisis caused by the pandemic, can be used to assess a family’s degree of resilience (and therefore, their degree of vulnerability). Literature does so by estimating the time that households would be able to subsist on their savings in the hypothetical scenario of a total lack of income, a scenario that is unfortunately not so hypothetical, but rather real, for many families in the current circumstances.
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    The economic effects of real estate investors
    (John Wiley and Sons Inc, 2023) Garriga, Carlos; Tsouderou, Athena; Gete, Pedro; Federación Española de Enfermedades Raras; Hebrew University of Jerusalem; https://ror.org/02jjdwm75
    We show five new results about small- and medium-sized real estate investors (SMREI) who participate through legal entities in US housing markets. First,SMREI have the largest growth across all cities post Great Recession,in contrast to Wall Street Landlords who concentrate in superstar cities. Second,SMREI increase house price growth and price-to-income ratio,especially in the bottom price tier. Third,this effect is reversed as investors trigger a medium-run supply response. Fourth,in areas with a high supply elasticity,SMREI affect rents more than prices. Finally,SMREI change the composition of the housing stock in favor of multifamily units. © 2023 American Real Estate and Urban Economics Association.