Publication: Essays in housing finance.
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Date
2021-04-23
Authors
Advisor
Court
Taltavull de la Paz, Paloma (PRESIDENTE);
Garriga, Carlos (SECRETARIO);
Gabaldón Quiñones, PATRICIA (VOCAL);
Saadi, Vahid (VOCAL)
Journal Title
Journal ISSN
Volume Title
Publisher
IE University
Defense Date
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Citation
Abstract
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.
Unesco subjects
Viviendas
Consumo, Ahorro, InversiĂłn
5904 Instituciones PolĂticas
Estudio de Mercado
Consumo, Ahorro, InversiĂłn
5904 Instituciones PolĂticas
Estudio de Mercado
License
Attribution 4.0 International
School
IE Business School
Center
Keywords
Citation
Tsouderou, A. (2021). Dimensiones financieras del mercado de la vivienda (Doctoral dissertation, Universidad Internacional SEK).