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

自2006年以来，美国住房和抵押贷款债券市场的发展一直是监管机构、研究人员和市场参与者焦虑和努力的焦点。本项目旨在从一家大型抵押贷款银行的经验中揭示抵押贷款危机的原因和路径。银行PI的研究是一个理想的研究场所，因为它提供了一个代表性的，但放大版本的繁荣与萧条周期，全国次贷行业在过去十年中已经看到。首先，该银行是2006年全美十大抵押贷款银行之一，也是增长最快的银行之一。其次，它专门从事减少和无文件贷款，这是抵押贷款危机的核心，同时也提供完整的文件贷款。第三，2008年该银行的破产是美国历史上最大的银行破产案之一。最后，该银行抵押贷款的借款者和资产在各州都有公平的陈述，因此，该银行破产的教训具有普遍意义。该项目将以一个新的专有数据集为基础，该数据集代表抵押贷款文献中使用的最全面、详细和分类的数据集。我们已经获得了该银行在2004年1月至2008年3月期间任何时候发放的70多万笔未偿贷款的数据。该数据集包括贷款人为发放贷款而收集的所有详细信息，包括贷款定价和其他合同条款，以及借款人的人口和经济状况。此外，该数据集还包括样本期间每个月贷款表现的详细信息，包括付款金额和贷款提前还款、拖欠和止赎状态。最后，利用数据集中的地址信息，PI能够将个人贷款与社区属性（如学校质量、房价指数和狭窄地区的商业机会）相匹配。对这个独特数据集的分析将包括几个步骤。首先，PI计划对样本期间银行发放的贷款的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划分的子样本之间违约决定因素的差异。他们还将分析这些的时间序列变化。最重要的是，他们将识别抵押贷款市场的双边道德风险问题。一方面，存在掠夺性贷款的可能性，即贷款人误导不知情的借款人获得高成本贷款，而后者本有资格获得低成本贷款；或者贷款人发放的贷款会对借款人造成预期的伤害。另一方面，掠夺性借款指的是借款人在贷款申请中伪造或隐藏不利信息的可能性。拟议活动的智力价值：使用独特的数据集，拟议的研究将有助于解决有关贷款实践的争议，最重要的是贷款定价和掠夺性贷款中存在的歧视。该研究还旨在通过评估不负责任的借贷和不负责任的借贷的相对重要性来确定导致抵押贷款危机的关键因素。分别识别借贷双方机会主义行为的新实证设计也将对双边信息不对称和道德风险的实证文献做出贡献。拟议的活动所产生的更广泛的影响：通过对一家主要抵押贷款银行的扩张和破产进行内部研究，这项工作将更好地了解最近抵押贷款危机的原因。研究结果将为制定法律和规则的政策制定者提供有用的参考，以防止这种规模的危机再次发生。本研究的经验教训也将有利于银行和金融机构在贷款提供和证券化、风险管理和监测方面采取更好的做法。

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.