Johannes Stroebel - Job Market Candidate - Stanford
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Johannes Stroebel
Job Market Candidate
Stanford University
Department of Economics
579 Serra Mall
Stanford, CA 94305
650-888-3441stroebel@stanford.edu
Curriculum Vitae
Fields:
Macroeconomics, Financial Economics, Public Economics, Real Estate Economics
Expected Graduation Date:
June, 2012
DISSERTATION COMMITTEE:
John B. Taylor (Committee Chair):
john.taylor@stanford.edu
Caroline Hoxby:
choxby@stanford.edu
Monika Piazzesi:
piazzesi@stanford.edu
Martin Schneider:
schneidr@stanford.edu
Job Market Paper
The Impact of Asymmetric Information about Collateral Values in Mortgage Lending (Job Market Paper)
I empirically analyze the sources and magnitude of asymmetric information between competing lenders in residential mortgage lending. I exploit that property developers often cooperate with vertically integrated mortgage lenders to provide financing to buyers of their newly constructed homes. These integrated lenders might have superior information about both mortgage collateral quality and borrower characteristics. I construct a dataset of all housing transactions and associated mortgages in Arizona between 2000 and 2010. This allows me to test for asymmetric information by comparing the return of initially similar houses in the same development financed by different lenders. I find that houses financed by an integrated lender outperform similar houses financed by non-integrated competitors by 50 basis points annually. They are also less likely to enter into foreclosure. These differences persist during the ownership period of the second owner of the house. The outperformance of houses financed by an integrated lender is over twice as large amongst houses built on expansive soil, which makes housing return more sensitive to construction quality. Non-integrated lenders charge 10 basis points higher interest rates when competing against an integrated lender. This interest rate increase is larger for mortgages with a high loan-to-value ratio, for which repayment is more sensitive to subsequent changes in collateral value. These results are highly consistent with the presence of significant asymmetric information about collateral quality in mortgage lending.
Other Research Papers
Government Intervention in the Housing Market – Who Wins, Who Loses? (With Max Floetotto)
We study the effects of government intervention in the housing market on prices, quantities and welfare in a general equilibrium model with heterogeneous agents. We consider (i) the introduction of temporary home purchase tax credits and (ii) a removal of the asymmetric tax treatment of owner-occupied and rental housing. Home buyer tax credits temporarily raise house prices and transaction volumes, but have negative welfare effects. Removing the asymmetric tax treatment of owner-occupied and rental housing would generate welfare gains for a majority of agents in a comparison of stationary equilibria. Welfare impacts are more varied, though still positive, along the transition between steady states.
Resource Extraction Contracts Under Threat of Expropriation: Theory and Evidence (With Arthur van Benthem) – Revised and Resubmitted at Review of Economics and Statistics
We use fiscal data on 2,468 oil extraction agreements in 38 countries to study tax contracts between resource-rich countries and independent oil companies. We analyze why expropriations occur and what determines the degree of oil price exposure of host countries. With asymmetric information about a country's expropriation cost even optimal contracts feature expropriations. Near-linearity in the oil price of real-world hydrocarbon contracts also helps to explain expropriations. We show theoretically and verify empirically that oil price insurance provided by tax contracts is increasing in a country's cost of expropriation, and decreasing in its production expertise. The timing of actual expropriations is consistent with our model.
Winner of the USAEE/IAEE Best Working Paper Award, from the United States Association for Energy Economics.
Estimated Impact of the Fed's Mortgage-Backed Securities Purchase Program (With John B. Taylor) – Forthcoming at International Journal of Central Banking
The largest credit or liquidity program created by the Federal Reserve during the financial crisis was the mortgage-backed securities (MBS) purchase program. In this paper, we examine the quantitative impact of this program on mortgage interest rate spreads. This is more difficult than frequently perceived because of simultaneous changes in prepayment risk and default risk. Our empirical results attribute a sizeable portion of the decline in mortgage rates to such risks and a relatively small and uncertain portion to the program. For specifications where the existence or announcement of the program appears to have lowered spreads, we find no separate effect of the stock of MBS purchased by the Fed.
Foreclosure and Bankruptcy - Policy Conclusions from the Current Crisis (With Theresa Kuchler)
The recent episode of rising consumer bankruptcies and increasing foreclosure rates has sparked a lively debate about how to best tackle the crisis in the U.S. housing market. We contribute to this debate by providing an explicit model of a household’s joint decision to declare Chapter 7 bankruptcy and to enter into foreclosure. This model demonstrates how bankruptcy exemption limits and mortgage regulation interact to influence consumer bankruptcy and foreclosure rates. We use state-level data to show that our model predictions are empirically plausible. We suggest that policy proposals need to focus on reducing both foreclosures and bankruptcies jointly. In particular, we argue that in the short-run a switch from non-recourse mortgages to recourse mortgages may have little effect on the number of foreclosures, but could dramatically increase the number of bankruptcies.
The Power of the Church - The Role of Roman Catholic Teaching in the Transmission of HIV (With Arthur van Benthem)
We use the appointment of a Kenyan Roman Catholic archbishop as a natural experiment to analyze the impact of church authorities' teaching on sexual behavior. Using a triple-difference approach, we find that following the archbishop's counter-doctrinal assertion that condom use within a marriage can be acceptable to reduce HIV infections, Catholic married couples within the archdiocese who had access to condoms were 7.0 percentage points more likely to use condoms than unmarried Catholics in the diocese, non-Catholics within the diocese, or Catholics in other dioceses. These results are quantitatively large and robust to a number of econometric specifications. The evidence for whether advocating condom use leads to an increase in infidelity or a decrease in respect for women is not conclusive. Our results suggest an important role for the Catholic church in the fight against HIV. This is especially relevant in light of Pope Benedict XVI's recent reconciliatory statement about condom use.
Work in Progress
Segmented Housing Search (with Monika Piazzesi and Martin Schneider)
Adverse Selection in Mortgage Securitization: The Role of Housing Collateral Values