On the dihedral Euler characteristics of Selmer groups of abelian varieties

This note shows how to use the framework of Euler characteristic formulae to study Selmer groups of abelian varieties in certain dihedral or anticyclotomic extensions of CM fields via Iwasawa main conjectures, and in particular how to verify the p-part of the refined Birch and Swinnerton-Dyer conjecture in this setting. When the Selmer group is cotorsion with respect to the associated Iwasawa algebra, we obtain the p-part of formula predicted by the refined Birch and Swinnerton-Dyer conjecture. When the Selmer group is not cotorsion with respect to the associated Iwasawa algebra, we give a conjectural description of the Euler characteristic of the cotorsion submodule, and explain how to deduce inequalities from the associated main conjecture divisibilities of Perrin-Riou and Howard.Comment: 26 pages. Previous discussion of two-variable setting removed, and discussion of the indefinite setting modified accordingly. To appear in the HIM "Arithmetic and Geometry" conference proceeding

Securitization and community lending: a framework and some lessons from the experience in the U.S. mortgage market

The purpose of this article is to provide a framework for analyzing the development of securitization as a vehicle for funding community economic development (CED) loans. Broadly speaking, there are two models for funding assets: the portfolio lender model, which typically involves banks or other intermediaries originating and holding the loans and funding them mainly with debt, most often deposits, and the securitization model, which involves tapping bond markets for funds, for instance, by pooling loans and selling shares in the pools. The focus here is on broad issues of when securitization is likely to be the more economic form of funding, some specifics of how the funding might be structured, and an analysis of the experience in the U.S. mortgage market.Mortgage loans ; Asset-backed financing

Integration of Mortgage and Capital Markets and the Accumulation of Residential Capital

The securitization of fixed-rate mortgages suggests that the FRA/VA market was fully integrated with capital markets by the early l98Os and that the conventional market moved toward integration during the l98Os. Assuming full integration of FHA/VA5 via the GNMA securitization process, we first estimate equations explaining near-par GNMA prices weekly for the 1981-88 period. The price is then set equal to the new-issue price and, based upon the preferred equation, the perfect-market retail coupon rate is computed. Next we estimate equations (for three year segments of the 1971-88 period) explaining conventional commitment mortgage coupon rates in terms of current and lagged values of this perfect-market coupon rate. Finally, we examine differences between the perfect-market and actual coupon rates and compute the impact of these differences on residential capital accumulation.

Pricing Mortgages: An Interpretation of the Models and Results

Mortgages, like all debt securities, can be viewed as risk-free assets plus or minus contingent claims that can be usefully viewed as options. The most important options are: prepayment, which is a call option giving the borrower the right to buy back the mortgage at par, and default, which is a put option giving the borrower the right to sell the house in exchange for the mortgage. This paper reviews and interprets the large and growing body of literature that applies recent results of option pricing models to mortgages. We also provide a critique of the models and suggest directions for future research.

Momentum and House Price Growth In the U.S.: Anatomy Of a "Bubble"

This paper analyzes the bubble in property values in the U.S. in the period from 1999 through 2005. We define a bubble as a regime shift characterized by a change in the properties of house price deviations from underlying “fundamentals” that become more self-sustaining and/or more volatile than in other periods. We model the fundamentals of house price growth as lagged adjustments of prices to the expected present value of future service flows (imputed rent) from owner-occupied properties. We then study the autoregressive behavior of the errors generated from the estimated fundamentals equations with panel data from 44 Metropolitan Statistical Areas for the period of 1980-2005. We find evidence of momentum in house price growth throughout the period, but momentum increased after 1999. Breaking down the period further, we find that the bubble happened mostly after 2003; it was for a relatively short period and was characterized by a series of positive, seemingly random, shocks. Before that, price changes were reasonably well explained by the “fundamentals,” such as a decline in long term real rates in the early part of the 1999-2005 period.http://deepblue.lib.umich.edu/bitstream/2027.42/61511/1/1124_VanOrder.pd

Risk Taking, Guarantees, Securitization and the Option to Change Strategy: The Economics of Pulling a Fast One

This paper analyzes the risk-taking behavior of financial intuitions that have guarantees (e.g., banks with deposit insurance or Government Sponsored Enterprises with implicit guarantees) and/or institutions that find it beneficial to develop a reputation for not taking risk. For instance, banks putting together asset-backed securities have a choice of delivering the riskiest loans they can get away with or putting safe loans into deals because developing a reputation for selling good securities will get them larger fees later. The paper focuses on the following questions: Is it rational for financial institutions to take on less risk than they can get away with, and if it is rational, under what conditions will they shift strategies and increase their risk after having established a reputation for low risk? To answer the question we allow for future benefits from survival in the form of “franchise value, which comes from a good reputation and/or from continuing to receive a guarantee, and which they might lose if they increase risk. With franchise value they might take less risk than they are allowed; however, if they experience large enough negative shocks, they can reach a tipping point where they will change their strategy discontinuously, and“gamble for resurrection.”http://deepblue.lib.umich.edu/bitstream/2027.42/61510/1/1123_VanOrder.pd

A Regime Shift Model of the Recent Housing Bubble in the United States

It has been widely assumed that there was a bubble in the U.S. housing market after1999. This paper analyzes the extent to which that was true. We define a bubble as: (1) a regime shift that is characterized by a change in the properties of deviations from the fundamentals of house price growth, and (2) where a shock to the fundamental equation is more self sustaining and volatile than in other periods. We model the fundamentals of price growth as a lagged adjustment of prices to the expected present value of future rent. We then study the autoregressive behavior of the residuals thus generated. We look at changes in momentum (the extent to which a shock to house price growth leads to further increases in house price growth) of the residuals. Our results from 44 Metropolitan Statistical Areas for the period of 1980-2005 (quarterly data) are mixed. There is evidence of momentum in house price growth throughout the period, and momentum did increase after 1999, indicating a regime shift; but by a modest amount, and while momentum was sometimes strong it was not explosive. The regime shift was less apparent in the likely bubble candidate cities along the coasts, which had shown high growth in the past. The evidence on volatility is strong. In general, volatility did not increase in the nonbubble MSAs, and it decreased in the faster-growing bubble MSAs.http://deepblue.lib.umich.edu/bitstream/2027.42/55445/1/1084-VanOrder.pd