files = paste0("C:/Users/dratnadiwakara2/Documents/OneDrive - Louisiana State University/Raw Data/HMDA/Ultimate Panel Data/",as.character(2000:2016),".fst")
panel = lapply(files, read_fst, as.data.table = TRUE,columns=c("respondentid","agencycode","reportername","asofdate","parentname","parentidentifier","reporterhomecity","reporterhomestate","rssd"))
panel <- do.call(rbind , panel)
panel[,asofdate:=as.integer(asofdate)]
panel <- panel[!duplicated(panel[,c("respondentid","agencycode","asofdate")])]
panel[,parentidentifier:=stri_trim(parentidentifier)]
panel[,rssd:=as.numeric(rssd)]
panel[,hmda_id:=paste0(agencycode,"-",respondentid)]
files <- NULL
files <- list.files(pattern="*.fst",path = "C:/Users/dratnadiwakara2/Documents/OneDrive - Louisiana State University/Raw Data/HMDA/pre2004/OO_NP/",full.names = TRUE)
files <- c(files,list.files(pattern="*.fst",path = "C:/Users/dratnadiwakara2/Documents/OneDrive - Louisiana State University/Raw Data/HMDA/pre2004/OO_RF/",full.names = TRUE))
files <- c(files,list.files(pattern="*.fst",path = "C:/Users/dratnadiwakara2/Documents/OneDrive - Louisiana State University/Raw Data/HMDA/OO_NP/",full.names = TRUE))
files <- c(files,list.files(pattern="*.fst",path = "C:/Users/dratnadiwakara2/Documents/OneDrive - Louisiana State University/Raw Data/HMDA/OO_RF/",full.names = TRUE))
hmda = lapply(files, read_fst, as.data.table = TRUE,
columns=c("asofdate","respondentid","agencycode","state","countycode","msa"))
hmda <- do.call(rbind , hmda)
hmda[,lender:=paste0(agencycode,"-",respondentid)]
hmda[,countycode:=paste0(state,countycode)]
cbsa_fips <- fread("C:/Users/dratnadiwakara2/Documents/OneDrive - Louisiana State University/Raw Data/Crosswalk Files/cbsa_countyfips.csv")
cbsa_fips[,fips:=ifelse(nchar(fips)==4,paste0("0",fips),paste0(fips))]
hmda <- merge(hmda,cbsa_fips,by.x="countycode",by.y="fips",all.x=T)
hmda[,c("agencycode","respondentid"):=list(NULL)]
gc()## used (Mb) gc trigger (Mb) max used (Mb)
## Ncells 2087349 111.5 3864205 206.4 2931641 156.6
## Vcells 2223677426 16965.4 6908862972 52710.5 7104834741 54205.6mergers <- list()
temp <- list(1,"BANK ONE - JPMORGAN CHASE 2004",
c("1-0000000008","1-0000007621","1-0000003106","1-0000011230","1-0000013655","1-0000013759","1-0000013914","1-0000014320","1-0000015184","1-0000018785","1-0000021969","1-0000023237","2-0000331647","3-0000002487"),
unique(c(unique(panel[parentidentifier %in% c("0000002370","0000000008","0001039502","0000852218","0001040795"),]$hmda_id),"2-0000852218","1-0000023160","2-0000043557","1-22-1092200","1-0000000008")),
2000,"JPMORGAN CHASE BANK, NA",2004)
mergers[[1]] <- temp
temp <- list(2,"COUNTRYWIDE - BANK OF AMERIC 2009" ,c("1-0000024141","2-0001644643","2-0003267484","7-20-2241771","1-0000024141","4-0000018039"),c("1-0000013044"),
2005,"BANK OF AMERICA, N.A.",2009)
mergers[[2]] <- temp
temp <- list(3,"FLEET NA - BANK OF AMERICA 2005",c("1-0000000200"),c("1-0000013044"),
2003,"BANK OF AMERICA, N.A.",2005)
mergers[[3]] <- temp
temp <- list(4,"WACHOVIA BK NA - WELLS FARGO 2010", c("1-0000000001","1-0000022559","1-56-0811711"), panel[substr(reportername,1,7)=="WELLS F"]$hmda_id,
2005,"WELLS FARGO BANK, N.A.",2009)
mergers[[4]] <- temp
temp <- list(5,"LASALLE BK - BANK OF AMERICA 2008",panel[substr(reportername,1,7)=="LASALLE" & asofdate<=2005]$hmda_id,c("1-0000013044"),
2005,"BANK OF AMERICA, N.A.",2008)
mergers[[5]] <- temp
temp <- list(6,"ABN AMRO MTG GROUP - CITI BANK 2007",c("1-36-3744610"),unique(panel[parentidentifier=="0001951350"]$hmda_id),
2004,"CITIMORTGAGE, INC.",2007)
mergers[[6]] <- temp
temp <- list(7,"UNION PLANTERS BANK - REGIONS FINANCIAL CORP 2004",
c("1-0000013349"),
c("9-0000233031","2-0000233031"),
2002,c("REGIONS BANK"),2004)
mergers[[7]] <- temp
temp <- list(8,"AmSouth Bancorporation - REGIONS FINANCIAL CORP 2006",
c("2-0000245333"),
c("9-0000233031","2-0000233031"),
2004,c("REGIONS BANK"),2006)
mergers[[8]] <- temp
temp <- list(9,"Washington Mutual - JPMORGAN CHASE 2008",
c("4-0000008551","4-0000011905"),
unique(c(unique(panel[parentidentifier %in% c("0000002370","0000000008","0001039502","0000852218","0001040795"),]$hmda_id),"2-0000852218","1-0000023160","2-0000043557","1-22-1092200","1-0000000008")),
2005,"JPMORGAN CHASE BANK, NA",
2008)
mergers[[9]] <- temp
## target operated in 5 msas; small share.
temp <- list(10,"Greater Bay Bank - Wells Fargo 2007",
c("1-0000024489"),
panel[substr(reportername,1,7)=="WELLS F"]$hmda_id,
2005,c("WELLS FARGO BANK, N.A."),2007)
mergers[[10]] <- temp
temp <- list(11,"MBNA NA - BANK OF AMERICA 2005",c("1-0000024095"),c("1-0000013044"),
2003,"BANK OF AMERICA, N.A.",2005)
mergers[[11]] <- temp
temp <- list(12,"Merrill Lynch - BANK OF AMERICA 2008",c("2-0000421203","7-13-3403204","3-13-3098068","3-13-3399559","3-0000027374","3-0000091363","3-13-3399559","4-0000014460","3-68-0518519","4-0000014460", "4-0133098068"),c("1-0000013044"),
2005,"BANK OF AMERICA, N.A.",2008)
mergers[[12]] <- temp
temp <- list(13,"FIRST INTERSTATE BK CA - Wells Fargo 1996",c("2-0000669667"),panel[substr(reportername,1,7)=="WELLS F"]$hmda_id,1994,"WELLS FARGO BANK, N.A.",1996)
mergers[[13]] <- temp
temp <- list(14,"PACIFIC NORTHWEST - Wells Fargo 2004",c("3-0000030887","3-0000027346"),panel[substr(reportername,1,7)=="WELLS F"]$hmda_id,
2002,"WELLS FARGO BANK, N.A.",2004)
mergers[[14]] <- temp
temp <- list(15,"MERIDIAN MOME MORTGAGE, LP - Wells Fargo 2010",c("1-74-3082948"),panel[substr(reportername,1,7)=="WELLS F"]$hmda_id,
2005,"WELLS FARGO BANK, N.A.",2010)
mergers[[15]] <- temp
temp <- list(16,"The Leader Mtg Co - US Bank 2004",
c("7-3814209995"),
panel[substr(reportername,1,5)=="U S B"]$hmda_id,
2002,c("U.S. BANK N.A."),2004)
mergers[[16]] <- temp
temp <- list(17,"PFF BANK & TRUST - US Bank 2008",
c("4-0000001405"),
panel[substr(reportername,1,5)=="U S B"]$hmda_id,
2005,c("U.S. BANK N.A."),2008)
mergers[[17]] <- temp
temp <- list(18,"DOWNEY SAVINGS AND LOAN ASSOCIATION, F.A. - US Bank 2008",
c("4-0000006189"),
panel[substr(reportername,1,5)=="U S B"]$hmda_id,
2005,c("U.S. BANK N.A."),2008)
mergers[[18]] <- temp
cbsas <- unique(hmda$cbsa)
yrs <- 2000:2016
acqbanks <- NULL
for(i in 1:length(mergers)) {
acqbanks <- c(acqbanks,mergers[[i]][6][[1]])
}
acqbanks <- c(unique(acqbanks),"other")
cbsas1 <- merge(cbsas,yrs)
cbsas2 <- merge(cbsas,acqbanks)
cbsas <- merge(cbsas1,cbsas2,by="x")
names(cbsas) <- c("cbsa","acyr","bank")
cbsas <- data.table(cbsas)
cbsas[,bank:=as.character(bank)]
cbsas[,acqbank:=0]
cbsas[,pred_share:=0]
cbsas[,suc_share:=0]
cbsa_bnk <- NULL
lender_bank <- NULL
sumtable <- NULL
for(i in 1:length(mergers)) {
# print(i)
mid=mergers[[i]][1][[1]]
mname=mergers[[i]][2][[1]]
pred_hmda_id=mergers[[i]][3][[1]]
suc_hmda_id=mergers[[i]][4][[1]]
yr=mergers[[i]][5][[1]]
acname = mergers[[i]][6][[1]]
acyr = mergers[[i]][7][[1]]
temp <- hmda[asofdate == yr ]
temp[,pred:=ifelse(lender %in% pred_hmda_id,1,0)]
cw <- temp[,.(pred_share=mean(pred)),by=.(cbsa)]
temp1 <- hmda[asofdate == (acyr-1) ]
temp1[,suc:=ifelse(lender %in% suc_hmda_id,1,0)]
cw1 <- temp1[,.(suc_share=mean(suc)),by=.(cbsa)]
cw <- merge(cw,cw1,by="cbsa",all.x=T)
cw <- cw[!is.na(cbsa)]
cw[is.na(cw)] <- 0
cw[,joint_share:=pred_share+suc_share]
cw[,bank:=acname]
cw[,acyr:=acyr]
cw[,c("joint_share"):=list(NULL)]
cbsa_bnk <- rbind(cbsa_bnk,cw)
}
cbsa_bnk[,acqbank:=1]
cbsa_bnk <- rbind(cbsa_bnk,cbsas)
cbsa_bnk <- cbsa_bnk[!duplicated(cbsa_bnk[,c("cbsa","acyr","bank")])]
cbsa_bnk <- cbsa_bnk[!is.na(cbsa)]
cbsa_bnk_1 <- cbsa_bnk[,c("cbsa","pred_share","bank","acyr")]
names(cbsa_bnk_1) <- c("cbsa","pred_share_1","bank","acyr")
cbsa_bnk_1[,acyr:=acyr+1]
cbsa_bnk <- merge(cbsa_bnk,cbsa_bnk_1,by=c("cbsa","bank","acyr"),all.x = T)
names(cbsa_bnk_1) <- c("cbsa","pred_share_2","bank","acyr")
cbsa_bnk_1[,acyr:=acyr+1]
cbsa_bnk <- merge(cbsa_bnk,cbsa_bnk_1,by=c("cbsa","bank","acyr"),all.x = T)
names(cbsa_bnk_1) <- c("cbsa","pred_share_3","bank","acyr")
cbsa_bnk_1[,acyr:=acyr+1]
cbsa_bnk <- merge(cbsa_bnk,cbsa_bnk_1,by=c("cbsa","bank","acyr"),all.x = T)
names(cbsa_bnk_1) <- c("cbsa","pred_share_4","bank","acyr")
cbsa_bnk_1[,acyr:=acyr+1]
cbsa_bnk <- merge(cbsa_bnk,cbsa_bnk_1,by=c("cbsa","bank","acyr"),all.x = T)
names(cbsa_bnk_1) <- c("cbsa","pred_share_5","bank","acyr")
cbsa_bnk_1[,acyr:=acyr+1]
cbsa_bnk <- merge(cbsa_bnk,cbsa_bnk_1,by=c("cbsa","bank","acyr"),all.x = T)
names(cbsa_bnk_1) <- c("cbsa","pred_share_6","bank","acyr")
cbsa_bnk_1[,acyr:=acyr+1]
cbsa_bnk <- merge(cbsa_bnk,cbsa_bnk_1,by=c("cbsa","bank","acyr"),all.x = T)
names(cbsa_bnk_1) <- c("cbsa","pred_share_7","bank","acyr")
cbsa_bnk_1[,acyr:=acyr+1]
cbsa_bnk <- merge(cbsa_bnk,cbsa_bnk_1,by=c("cbsa","bank","acyr"),all.x = T)
names(cbsa_bnk_1) <- c("cbsa","pred_share_8","bank","acyr")
cbsa_bnk_1[,acyr:=acyr+1]
cbsa_bnk <- merge(cbsa_bnk,cbsa_bnk_1,by=c("cbsa","bank","acyr"),all.x = T)
names(cbsa_bnk_1) <- c("cbsa","pred_share_9","bank","acyr")
cbsa_bnk_1[,acyr:=acyr+1]
cbsa_bnk <- merge(cbsa_bnk,cbsa_bnk_1,by=c("cbsa","bank","acyr"),all.x = T)
cbsa_bnk[,pred_share_1:=ifelse(is.na(pred_share_1),0,pred_share_1)]
cbsa_bnk[,pred_share_2:=ifelse(is.na(pred_share_2),0,pred_share_2)]
cbsa_bnk[,pred_share_3:=ifelse(is.na(pred_share_3),0,pred_share_3)]
cbsa_bnk[,pred_share_4:=ifelse(is.na(pred_share_4),0,pred_share_4)]
cbsa_bnk[,pred_share_5:=ifelse(is.na(pred_share_5),0,pred_share_5)]
cbsa_bnk[,pred_share_6:=ifelse(is.na(pred_share_6),0,pred_share_6)]
cbsa_bnk[,pred_share_7:=ifelse(is.na(pred_share_7),0,pred_share_7)]
cbsa_bnk[,pred_share_8:=ifelse(is.na(pred_share_8),0,pred_share_8)]
cbsa_bnk[,pred_share_9:=ifelse(is.na(pred_share_9),0,pred_share_9)]
cbsa_bnk[,msinc13:=pred_share_1+pred_share_2+pred_share_3+0.00001]
cbsa_bnk[,msinc46:=pred_share_4+pred_share_5+pred_share_6+0.00001]
cbsa_bnk[,msinc79:=pred_share_7+pred_share_8+pred_share_9+0.00001]
cbsa_bnk[,msinc13G:=ifelse(msinc13<=0.0001,"0. 0",
ifelse(msinc13<0.01,"1. Less than 1pct",
ifelse(msinc13<0.05,"2. 1 - 5pct",
ifelse(msinc13<0.1,"3. 5pct - 10pct", "4. More than 10pct"))))]
cbsa_bnk[,msinc46G:=ifelse(msinc46<=0.0001,"0. 0",
ifelse(msinc46<0.01,"1. Less than 1pct",
ifelse(msinc46<0.05,"2. 1 - 5pct",
ifelse(msinc46<0.1,"3. 5pct - 10pct", "4. More than 10pct"))))]
cbsa_bnk[,msinc79G:=ifelse(msinc79<=0.0001,"0. 0",
ifelse(msinc79<0.01,"1. Less than 1pct",
ifelse(msinc79<0.05,"2. 1 - 5pct",
ifelse(msinc79<0.1,"3. 5pct - 10pct", "4. More than 10pct"))))]moodys <- read_fst("C:/Users/dratnadiwakara2/Documents/OneDrive - Louisiana State University/Raw Data/Moodys/0001/LoanChars.fst",as.data.table = TRUE, columns=c("loanid","loanoriginationdate","zipcode","originalloanbalance","originalcltv","state","originator","armflag","originalfico","originalterm","originalltv","documentationtype","originalinterestrate","purposetype","dti","assettype"))
cbsa <- fread("C:/Users/dratnadiwakara2/Documents/OneDrive - Louisiana State University/Raw Data/Crosswalk Files/ZIP_CBSA.csv")
cbsa[,ZIP:=ifelse(nchar(ZIP)==3,paste0("00",ZIP),ifelse(nchar(ZIP)==4,paste0("0",ZIP),paste0(ZIP)))]
setorder(cbsa,ZIP,-RES_RATIO)
cbsa <- cbsa[!duplicated(cbsa[,c("ZIP")])]
cbsa[,c("RES_RATIO","BUS_RATIO","OTH_RATIO","TOT_RATIO"):=list(NULL)]
names(cbsa) <- c("zipcode","msa")
moodys <- merge(moodys,cbsa,by=c("zipcode"))
# moodys <- moodys[originalterm==360 & armflag=="F"]
moodys[,loanyr:=as.numeric(substr(loanoriginationdate,1,4))]
moodys[,seller_name:= originator]
moodys[,seller_name:= ifelse(seller_name %in% c("JPMORGAN CHASE BANK, NA","JPMORGAN CHASE BANK, NATIONAL ASSOCIATION","CHASE MANHATTAN MORTGAGE CORPORATION","CHASE HOME FINANCE LLC","CHASE HOME FINANCE","CHASE HOME FINANCE, LLC","JPMORGAN CHASE BANK, NATIONAL ASSOCIATION","JPMORGAN CHASE BANK, N.A.","JP MORGAN CHASE BANK NA","CHASE MANHATTAN MORTGAGE CORP"),"JPMORGAN CHASE BANK, NA",seller_name)]
moodys[,seller_name:= ifelse(seller_name %in% c("B OF A"),"BANK OF AMERICA, N.A.",seller_name)]
moodys[,seller_name:= ifelse(seller_name %in% c("WELLS FARGO HOME MORTGAGE, INC.","WELLS FARGO BANK, N.A.","WELLS FARGO BANK N.A"," WELLS FARGO HOME MTG, INC"),"WELLS FARGO BANK, N.A.",seller_name)]
moodys[,int_rt:=originalinterestrate]
moodys[,dti:=0]
moodys[,ltv:=originalltv]
moodys[,fico:=originalfico]
moodys[,orig_upb:= originalloanbalance]
# moodys[,c("originalinterestrate","originalltv","originalfico","originalloanbalance","msacode","csacode","divcode","loanoriginationdate","armflag","originalterm"):=list(NULL)]
moodys[,fulldocumentation:=ifelse(documentationtype=="FU",1,0)]
gc()## used (Mb) gc trigger (Mb) max used (Mb)
## Ncells 2152183 115.0 3864205 206.4 3058347 163.4
## Vcells 3032775321 23138.3 6908862972 52710.5 7104834741 54205.6moodys[,bank:=seller_name]
moodys[,bank:=ifelse(bank %in% unique(cbsa_bnk$bank),bank,"other")]
moodys[,newpurchase:=ifelse(purposetype=="PUR",1,0)]regsample <- merge(moodys,cbsa_bnk,by.x=c("bank","msa","loanyr"),by.y=c("bank","cbsa","acyr"))
regsample[,bank_msa:=paste(seller_name,msa)]
regsample[,homevalue:= orig_upb*100/ltv]r <- list()
r[[1]] <- felm(int_rt~msinc13+fico+ltv+fulldocumentation+log(orig_upb)+newpurchase+factor(assettype)|bank_msa+loanyr|0|msa,data=regsample[originalterm==360 & armflag=="F" & assettype != "UN"])
r[[2]] <- felm(int_rt~msinc13+fico+ltv+fulldocumentation+log(orig_upb)+newpurchase|bank_msa+loanyr|0|msa,data=regsample[originalterm==360 & armflag=="F" & assettype=="Prime"])
r[[3]] <- felm(int_rt~msinc13+fico+ltv+fulldocumentation+log(orig_upb)+newpurchase|bank_msa+loanyr|0|msa,data=regsample[originalterm==360 & armflag=="F" & assettype=="Alt-A"])
r[[4]] <- felm(int_rt~msinc13+fico+ltv+fulldocumentation+log(orig_upb)+newpurchase|bank_msa+loanyr|0|msa,data=regsample[originalterm==360 & armflag=="F" & assettype=="Subprime"])
.printtable(r,column.labels = c("All","Prime","Alt-A","Subprime"),lines = list(c("Fixed Effects","MSA*Bank, Yr","MSA*Bank, Yr","MSA*Bank, Yr","MSA*Bank, Yr")))##
## =============================================================================
## Dependent variable:
## ---------------------------------------------------
## All Prime Alt-A Subprime
## (1) (2) (3) (4)
## -----------------------------------------------------------------------------
## msinc13 6.797*** -1.570 9.817*** 35.548***
## (1.967) (0.982) (1.998) (3.831)
## fico -0.004*** -0.003*** -0.005*** -0.004***
## (0.0001) (0.0001) (0.0001) (0.0002)
## ltv -0.012*** -0.007*** -0.013*** -0.013***
## (0.001) (0.001) (0.001) (0.001)
## fulldocumentation -0.227*** -0.184*** -0.376*** -0.395***
## (0.010) (0.009) (0.015) (0.013)
## log(orig_upb) -1.017*** -0.788*** -1.179*** -1.365***
## (0.018) (0.014) (0.026) (0.033)
## newpurchase 0.310*** 0.229*** 0.343*** 0.390***
## (0.032) (0.024) (0.037) (0.044)
## factor(assettype)Prime -0.137***
## (0.007)
## factor(assettype)Subprime 0.216***
## (0.015)
## -----------------------------------------------------------------------------
## Fixed Effects MSA*Bank, Yr MSA*Bank, Yr MSA*Bank, Yr MSA*Bank, Yr
## Observations 3,271,732 1,807,976 702,351 761,405
## Adjusted R2 0.517 0.586 0.549 0.404
## =============================================================================
## Note: *p<0.1; **p<0.05; ***p<0.01
## r <- list()
r[[1]] <- felm(int_rt~msinc13+fico+ltv+fulldocumentation+log(orig_upb)+newpurchase+factor(assettype)|bank_msa+loanyr|0|msa,data=regsample[originalterm==360 & armflag=="F" & documentationtype %in% c("FU") & assettype %in% c("Alt-A","Subprime")])
r[[2]] <- felm(int_rt~msinc13+fico+ltv+fulldocumentation+log(orig_upb)+newpurchase+factor(assettype)+factor(documentationtype)|bank_msa+loanyr|0|msa,data=regsample[originalterm==360 & armflag=="F" & documentationtype %in% c("LO","NO") & assettype %in% c("Alt-A","Subprime")])
.printtable(r,column.labels = c("Full-Doc","Low/No-Doc"),lines = list(c("Fixed Effects","MSA*Bank, Yr","MSA*Bank, Yr","MSA*Bank, Yr","MSA*Bank, Yr")))##
## ========================================================
## Dependent variable:
## ----------------------------
## Full-Doc Low/No-Doc
## (1) (2)
## --------------------------------------------------------
## msinc13 34.064*** 20.137***
## (2.821) (3.571)
## fico -0.004*** -0.003***
## (0.0002) (0.0002)
## ltv -0.015*** -0.016***
## (0.001) (0.002)
## fulldocumentation
## (0.000) (0.000)
## log(orig_upb) -1.243*** -1.120***
## (0.027) (0.041)
## newpurchase 0.398*** 0.485***
## (0.037) (0.048)
## factor(assettype)Subprime 0.243*** 0.293***
## (0.011) (0.016)
## factor(documentationtype)NO 0.444***
## (0.014)
## --------------------------------------------------------
## Fixed Effects MSA*Bank, Yr MSA*Bank, Yr
## Observations 673,518 399,704
## Adjusted R2 0.406 0.478
## ========================================================
## Note: *p<0.1; **p<0.05; ***p<0.01
## r <- list()
r[[1]] <- felm(int_rt~msinc13+fico+ltv+fulldocumentation+log(orig_upb)+newpurchase+factor(assettype)|bank_msa+loanyr|0|msa,data=regsample[originalterm==360 & armflag=="F" & fico<620 & assettype %in% c("Alt-A","Subprime")])
r[[2]] <- felm(int_rt~msinc13+fico+ltv+fulldocumentation+log(orig_upb)+newpurchase+factor(assettype)|bank_msa+loanyr|0|msa,data=regsample[originalterm==360 & armflag=="F" & fico>=620 & assettype %in% c("Alt-A","Subprime")])
.printtable(r,column.labels = c("FICO<620","FICO>=620"),lines = list(c("Fixed Effects","MSA*Bank, Yr","MSA*Bank, Yr","MSA*Bank, Yr","MSA*Bank, Yr")))##
## ======================================================
## Dependent variable:
## ----------------------------
## FICO<620 FICO>=620
## (1) (2)
## ------------------------------------------------------
## msinc13 39.422*** 11.111***
## (4.023) (2.148)
## fico -0.002*** -0.006***
## (0.0003) (0.0001)
## ltv -0.013*** -0.014***
## (0.001) (0.001)
## fulldocumentation -0.401*** -0.348***
## (0.014) (0.015)
## log(orig_upb) -1.429*** -1.179***
## (0.032) (0.029)
## newpurchase 0.324*** 0.380***
## (0.044) (0.036)
## factor(assettype)Subprime 0.724*** 0.270***
## (0.027) (0.016)
## ------------------------------------------------------
## Fixed Effects MSA*Bank, Yr MSA*Bank, Yr
## Observations 611,157 852,599
## Adjusted R2 0.380 0.555
## ======================================================
## Note: *p<0.1; **p<0.05; ***p<0.01
## r <- list()
r[[1]] <- felm(log(orig_upb)~msinc13+fico+fulldocumentation+log(homevalue)+newpurchase+factor(assettype)|bank_msa+loanyr|0|msa,data=regsample[originalterm==360 & armflag=="F" & assettype != "UN"])
r[[2]] <- felm(log(orig_upb)~msinc13+fico+fulldocumentation+log(homevalue)+newpurchase|bank_msa+loanyr|0|msa,data=regsample[originalterm==360 & armflag=="F" & assettype=="Prime"])
r[[3]] <- felm(log(orig_upb)~msinc13+fico+fulldocumentation+log(homevalue)+newpurchase|bank_msa+loanyr|0|msa,data=regsample[originalterm==360 & armflag=="F" & assettype=="Alt-A"])
r[[4]] <- felm(log(orig_upb)~msinc13+fico+fulldocumentation+log(homevalue)+newpurchase|bank_msa+loanyr|0|msa,data=regsample[originalterm==360 & armflag=="F" & assettype=="Subprime"])
.printtable(r,column.labels = c("All","Prime","Alt-A","Subprime"),lines = list(c("Fixed Effects","MSA*Bank, Yr","MSA*Bank, Yr","MSA*Bank, Yr","MSA*Bank, Yr")))##
## =============================================================================
## Dependent variable:
## ---------------------------------------------------
## All Prime Alt-A Subprime
## (1) (2) (3) (4)
## -----------------------------------------------------------------------------
## msinc13 2.628*** 1.849*** 6.849*** 0.182
## (0.525) (0.590) (0.686) (0.425)
## fico 0.0004*** 0.0003*** 0.0003*** 0.0002***
## (0.00002) (0.00003) (0.00005) (0.0001)
## fulldocumentation 0.037*** 0.055*** 0.084*** -0.056***
## (0.003) (0.002) (0.004) (0.004)
## log(homevalue) 0.838*** 0.859*** 0.804*** 0.763***
## (0.005) (0.006) (0.006) (0.008)
## newpurchase -0.086*** 0.026*** -0.177*** -0.281***
## (0.010) (0.009) (0.008) (0.011)
## factor(assettype)Prime 0.083***
## (0.004)
## factor(assettype)Subprime 0.049***
## (0.004)
## -----------------------------------------------------------------------------
## Fixed Effects MSA*Bank, Yr MSA*Bank, Yr MSA*Bank, Yr MSA*Bank, Yr
## Observations 3,272,969 1,808,312 702,637 762,020
## Adjusted R2 0.748 0.797 0.666 0.619
## =============================================================================
## Note: *p<0.1; **p<0.05; ***p<0.01
## r <- list()
r[[1]] <- felm(log(orig_upb)~msinc13+fico+fulldocumentation+log(homevalue)+newpurchase+factor(assettype)|bank_msa+loanyr|0|msa,data=regsample[originalterm==360 & armflag=="F" & documentationtype %in% c("FU") & assettype %in% c("Alt-A","Subprime")])
r[[2]] <- felm(log(orig_upb)~msinc13+fico+fulldocumentation+log(homevalue)+newpurchase+factor(assettype)+factor(documentationtype)|bank_msa+loanyr|0|msa,data=regsample[originalterm==360 & armflag=="F" & documentationtype %in% c("LO","NO") & assettype %in% c("Alt-A","Subprime")])
.printtable(r,column.labels = c("Full-Doc","Low/No-Doc"),lines = list(c("Fixed Effects","MSA*Bank, Yr","MSA*Bank, Yr","MSA*Bank, Yr","MSA*Bank, Yr")))##
## ========================================================
## Dependent variable:
## ----------------------------
## Full-Doc Low/No-Doc
## (1) (2)
## --------------------------------------------------------
## msinc13 2.463*** 3.655***
## (0.426) (0.631)
## fico -0.001*** -0.0002***
## (0.0001) (0.0001)
## fulldocumentation
## (0.000) (0.000)
## log(homevalue) 0.857*** 0.830***
## (0.004) (0.008)
## newpurchase -0.268*** -0.143***
## (0.009) (0.008)
## factor(assettype)Subprime -0.100*** 0.057***
## (0.003) (0.005)
## factor(documentationtype)NO -0.136***
## (0.015)
## --------------------------------------------------------
## Fixed Effects MSA*Bank, Yr MSA*Bank, Yr
## Observations 673,565 399,728
## Adjusted R2 0.650 0.650
## ========================================================
## Note: *p<0.1; **p<0.05; ***p<0.01
## r <- list()
r[[1]] <- felm(log(orig_upb)~msinc13+fico+fulldocumentation+log(homevalue)+newpurchase+factor(assettype)|bank_msa+loanyr|0|msa,data=regsample[originalterm==360 & armflag=="F" & fico<620 & assettype %in% c("Alt-A","Subprime")])
r[[2]] <- felm(log(orig_upb)~msinc13+fico+fulldocumentation+log(homevalue)+newpurchase+factor(assettype)|bank_msa+loanyr|0|msa,data=regsample[originalterm==360 & armflag=="F" & fico>=620 & assettype %in% c("Alt-A","Subprime")])
.printtable(r,column.labels = c("FICO<620","FICO>=620"),lines = list(c("Fixed Effects","MSA*Bank, Yr","MSA*Bank, Yr","MSA*Bank, Yr","MSA*Bank, Yr")))##
## ======================================================
## Dependent variable:
## ----------------------------
## FICO<620 FICO>=620
## (1) (2)
## ------------------------------------------------------
## msinc13 -0.280 6.236***
## (0.478) (0.607)
## fico -0.001*** 0.001***
## (0.0001) (0.00005)
## fulldocumentation -0.019*** 0.046***
## (0.005) (0.003)
## log(homevalue) 0.770*** 0.795***
## (0.009) (0.006)
## newpurchase -0.273*** -0.202***
## (0.011) (0.009)
## factor(assettype)Subprime -0.069*** 0.085***
## (0.008) (0.005)
## ------------------------------------------------------
## Fixed Effects MSA*Bank, Yr MSA*Bank, Yr
## Observations 611,700 852,957
## Adjusted R2 0.638 0.647
## ======================================================
## Note: *p<0.1; **p<0.05; ***p<0.01
##