The Effect of Conforming Loan Status on Mortgage Yield Spreads: A Loan Level Analysis
利用贷款层面数据，控制信用风险差异，并解决内生性和样本选择偏差问题，发现合格贷款的收益率利差在风险调整后比其他贷款低约5.5%。
The magnitude of the effect of government‐sponsored enterprise purchases on primary mortgage market rates has been a difficult research question with differing data and competing methodologies producing varying results. Here we present a new approach using loan level data and controlling for credit risk differentials between conforming and nonconforming loans. Our method also addresses econometric problems of endogeneity and sample selection bias. We find that conforming loans have yield spreads about 5.5% lower compared to other loans on a risk‐adjusted basis. This is lower than previous estimates appearing in the literature.