Person:
Gete, Pedro

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Pedro
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Gete
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IE University
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IE Business School
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Finance
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2023 - 20242
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Author: Tsouderou, Athena ×

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Now showing 1 - 2 of 2
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    Publication
    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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    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.