List of Mergers
#
# 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()
#
#
#
# mergers <- 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)]
#
# temp <- cbsa_bnk
#
# cbsa_bnk_1 <- cbsa_bnk[,c("cbsa","pred_share","suc_share","bank","acyr")]
#
# names(cbsa_bnk_1) <- c("cbsa","pred_share_1","suc_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","suc_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","suc_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","suc_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","suc_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","suc_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","suc_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","suc_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","suc_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[,suc_share:=suc_share_1]
#
#
# 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"))))]
#
#
# write_fst(cbsa_bnk,"C:/Users/dratnadiwakara2/Documents/OneDrive - Louisiana State University/Projects/Bank Mergers/data/cbsa_bnk_2.fst",compress = 100)
cbsa_bnk <- read_fst("C:/Users/dratnadiwakara2/Documents/OneDrive - Louisiana State University/Projects/Bank Mergers/data/cbsa_bnk_2.fst",as.data.table = T)
cbsa_bnk[,other_msinc13:=sum(msinc13,na.rm=T),by=.(cbsa,acyr)]
cbsa_bnk[,other_msinc46:=sum(msinc46,na.rm=T),by=.(cbsa,acyr)]
cbsa_bnk[,other_msinc13:=other_msinc13-msinc13]
cbsa_bnk[,other_msinc46:=other_msinc46-msinc46]
freddie <- list.files(pattern="*.fst",path = "C:/Users/dratnadiwakara2/Documents/OneDrive - Louisiana State University/Raw Data/Freddie/Acq",full.names = TRUE)
freddie = lapply(freddie, read_fst,as.data.table=T, columns = c("fico","dt_first_pi","cd_msa","ltv","dti","orig_upb","int_rt","prop_type","zipcode","id_loan","orig_loan_term","seller_name","loan_purpose","cltv","occpy_sts"))
freddie <- do.call(rbind , freddie)
freddie <- freddie[orig_loan_term==360 & prop_type=="SF" ]
freddie[,loanyr:=year(dt_first_pi)]
freddie[,msa:=cd_msa]
freddie[,primary_occ:=ifelse(occpy_sts=="P",1,0)]
freddie[,c("orig_loan_term","dt_first_pi","prop_type","cd_msa","occpy_sts"):=list(NULL)]
freddie[,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."),"JPMORGAN CHASE BANK, NA",seller_name)]
freddie[,seller_name:= ifelse(seller_name %in% c("CITIMORTGAGE, INC.","ABN AMRO, NKA CITIMORTGAGE INC.","CITIMORTGAGE, INC."),"CITIMORTGAGE, INC.",seller_name)]
freddie[,seller_name:= ifelse(seller_name %in% c("WELLS FARGO HOME MORTGAGE, INC.","WELLS FARGO BANK, N.A."),"WELLS FARGO BANK, N.A.",seller_name)]
freddie[,bank:=seller_name]
freddie[,bank:=ifelse(bank %in% unique(cbsa_bnk$bank),bank,"other")]
freddie[,freddie:=1]
freddie[,newpurchase:=ifelse(loan_purpose=="P",1,0)]
freddie[,ltvorg:=ltv]
freddie[,ltv:=cltv]
fannie <- list.files(pattern="*.fst",path = "C:/Users/dratnadiwakara2/Documents/OneDrive - Louisiana State University/Raw Data/Fannie/Acq",full.names = TRUE)
fannie = lapply(fannie, read_fst,as.data.table=T, columns = c("loan_identifier","seller_name","original_interest_rate","original_upb","original_loan_term","origination_date","original_ltv","original_dti","credit_score","property_type","property_state","zip_code","msa","loan_purpose","original_cltv","occupancy_type"))
fannie <- do.call(rbind , fannie)
fannie <- fannie[original_loan_term==360 & property_type=="SF" ]
fannie[,loanyr:=year(origination_date)]
fannie[,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."),"JPMORGAN CHASE BANK, NA",seller_name)]
fannie[,seller_name:= ifelse(seller_name %in% c("CITIMORTGAGE, INC.","ABN AMRO, NKA CITIMORTGAGE INC.","CITIMORTGAGE, INC."),"CITIMORTGAGE, INC.",seller_name)]
fannie[,seller_name:= ifelse(seller_name %in% c("WELLS FARGO HOME MORTGAGE, INC.","WELLS FARGO BANK, N.A."),"WELLS FARGO BANK, N.A.",seller_name)]
fannie[,bank:=seller_name]
fannie[,bank:=ifelse(bank %in% unique(cbsa_bnk$bank),bank,"other")]
fannie[,freddie:=0]
fannie[,ltvorg:=original_ltv]
fannie[,primary_occ:=ifelse(occupancy_type=="P",1,0)]
setnames(fannie,"zip_code","zipcode")
setnames(fannie,"original_ltv","ltv")
setnames(fannie,"original_upb","orig_upb")
setnames(fannie,"original_interest_rate","int_rt")
setnames(fannie,"loan_identifier","id_loan")
setnames(fannie,"credit_score","fico")
setnames(fannie,"original_dti","dti")
setnames(fannie,"original_cltv","cltv")
fannie[,c("property_type","property_state","original_loan_term","origination_date","occupancy_type"):=list(NULL)]
fannie[,loan_purpose:=ifelse(loan_purpose=="R","N",loan_purpose)]
fannie <- fannie[loan_purpose != "U"]
fannie[,id_loan:=as.character(id_loan)]
fannie[,newpurchase:=ifelse(loan_purpose=="P",1,0)]
fannie[,ltv:=cltv]
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","assettype","occupancytype"))
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" ] # & occupancytype=="PRI"
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:=originalcltv]
moodys[,ltvorg:=originalltv]
moodys[,fico:=originalfico]
moodys[,orig_upb:= originalloanbalance]
moodys[,primary_occ:=ifelse(occupancytype=="PRI",1,0)]
# 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 38916089 2078.4 69775220 3726.4 39068268 2086.5
## Vcells 695662458 5307.5 1621744545 12373.0 1580868261 12061.1
moodys[,bank:=seller_name]
moodys[,bank:=ifelse(bank %in% unique(cbsa_bnk$bank),bank,"other")]
moodys[,newpurchase:=ifelse(purposetype=="PUR",1,0)]
moodys <- moodys[assettype != "UN"]
regsample <- rbind(freddie,fannie)
regsample <- merge(regsample,cbsa_bnk,by.x=c("bank","msa","loanyr"),by.y=c("bank","cbsa","acyr"))
regsample[,bank_msa:=paste(seller_name,msa)]
regsample[,yr_msa:=paste(loanyr,msa)]
regsample[,fico:=fico/100]
regsample[,homevalue:= orig_upb*100/ltvorg]
regsample[,fico_cat:=ifelse(fico<6.6,"Less than 660",ifelse(fico<7.2,"660-720","0720 or more"))]
regsample[,dti_cat:=ifelse(dti<20,"0Less than 20",ifelse(dti<40,"20-40","40 or more"))]
regsample[,msinc13G:=ifelse(msinc13G %in% c("4. More than 10pct","3. 5pct - 10pct"),"3. 5pct or more",msinc13G)]
regsample[,msinc46G:=ifelse(msinc46G %in% c("4. More than 10pct","3. 5pct - 10pct"),"3. 5pct or more",msinc46G)]
regsample[,zip_year:=paste(loanyr,zipcode)]
regsample[,bank_year:=paste(seller_name,loanyr)]
regsample[,active:=ifelse(suc_share>0 & msinc13>1e-05,1,0)]
regsample2 <- merge(moodys,cbsa_bnk,by.x=c("bank","msa","loanyr"),by.y=c("bank","cbsa","acyr"))
regsample2[,bank_msa:=paste(seller_name,zipcode)]
regsample2[,assettype:=ifelse(assettype=="Prime","0Prime",assettype)]
regsample2[,yr_msa:=paste(loanyr,msa)]
regsample2[,fico:=fico/100]
regsample2[,homevalue:= orig_upb*100/ltvorg]
regsample2[,msinc13G:=ifelse(msinc13G %in% c("4. More than 10pct","3. 5pct - 10pct"),"3. 5pct or more",msinc13G)]
regsample2[,zip_year:=paste(loanyr,zipcode)]
regsample2[,bank_year:=paste(seller_name,loanyr)]
regsample2[,active:=ifelse(suc_share>0 & msinc13>1e-05,1,0)]
Table 4 - Panel A -
Effect of Mergers on Interest Rate
Zip3*Year + Bank
FE
r <- list()
r[[1]] <- felm(int_rt~msinc13+msinc46+suc_share+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+dti+log(orig_upb)+freddie+newpurchase+primary_occ|zip_year+seller_name,data=regsample)
r[[2]] <- felm(int_rt~factor(msinc13G)+factor(msinc46G)+suc_share+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+dti+log(orig_upb)+freddie+newpurchase+primary_occ|zip_year+seller_name,data=regsample)
r[[3]] <- felm(int_rt~msinc13+msinc46+suc_share+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+dti+log(orig_upb)+freddie+newpurchase+primary_occ|zip_year+seller_name,data=regsample[loanyr<2008])
r[[4]] <- felm(int_rt~msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+factor(assettype)+primary_occ|zip_year+seller_name,data=regsample2[originalterm==360 & armflag=="F" ])
#r[[4]] <- felm(int_rt~newpurchase*msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^3)+I(ltv^2)+suc_share+fulldocumentation+log(orig_upb)+factor(assettype)+primary_occ|seller_name+zip_year,data=regsample2[originalterm==360 & armflag=="F"])
r[[5]] <- felm(int_rt~factor(msinc13G)+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+factor(assettype)+primary_occ|zip_year+seller_name,data=regsample2[originalterm==360 & armflag=="F" ])
covlabs <- c("MSAcq1-3","MSAcq4-6","MSAcq1-3 (0,1]","MSAcq1-3 (1,5]","MSAcq1-3 (5,.]","MSAcq4-6 (0,1]","MSAcq4-6 (1,5]","MSAcq4-6 (5,.]","Acquirer Share","Full documentation","FICO Score", "Combined loan-to-value","FICO Score2","FICO Score3", "Combined loan-to-value2","Combined loan-to-value3","Debt-to-income","log(Loan amount)","Freddie Mac","New purchase","Alt-A","Subprime","Primar residence")
stargazer(r,no.space = T,align = T,omit.stat=c("ser","f", "rsq"),style = "qje",omit.table.layout = "n", dep.var.labels.include = FALSE,type="text",covariate.labels = covlabs,
column.labels=c("GSE Sample","GSE<2008","Non-agency sample"),column.separate=c(2,1,2),
add.lines = list(c("Year*Zipcode", rep("Y",6)),c("Bank", rep("Y",6))))
##
## =================================================================================
## GSE Sample GSE<2008 Non-agency sample
## (1) (2) (3) (4) (5)
## ---------------------------------------------------------------------------------
## MSAcq1-3 0.609*** 0.544*** 6.417***
## (0.008) (0.021) (0.398)
## MSAcq4-6 0.368*** 2.258***
## (0.011) (0.117)
## MSAcq1-3 (0,1] 0.047*** 0.069***
## (0.0004) (0.011)
## MSAcq1-3 (1,5] 0.041*** 0.308***
## (0.001) (0.017)
## MSAcq1-3 (5,.] 0.050*** 0.395***
## (0.001) (0.031)
## MSAcq4-6 (0,1] 0.003***
## (0.0005)
## MSAcq4-6 (1,5] 0.023***
## (0.001)
## MSAcq4-6 (5,.] 0.025***
## (0.001)
## Acquirer Share 0.005 -0.094*** -0.150*** 0.764*** 0.679***
## (0.004) (0.004) (0.009) (0.074) (0.075)
## Full documentation -0.245*** -0.246***
## (0.002) (0.002)
## FICO Score -0.234*** -0.232*** -0.405*** 14.799*** 14.796***
## (0.003) (0.003) (0.004) (0.247) (0.247)
## Combined loan-to-value -0.003*** -0.003*** -0.005*** -0.046*** -0.046***
## (0.00003) (0.00003) (0.00005) (0.001) (0.001)
## FICO Score2 0.006*** 0.006*** 0.023*** -2.415*** -2.415***
## (0.0002) (0.0002) (0.0003) (0.038) (0.038)
## FICO Score3 -0.00004*** -0.00004*** -0.0002*** 0.126*** 0.126***
## (0.00000) (0.00000) (0.00000) (0.002) (0.002)
## Combined loan-to-value2 0.0001*** 0.0001*** 0.0001*** 0.0005*** 0.0005***
## (0.00000) (0.00000) (0.00000) (0.00001) (0.00001)
## Combined loan-to-value3 -0.00000*** -0.00000*** -0.00000*** 0.00000*** 0.00000***
## (0.000) (0.000) (0.000) (0.00000) (0.00000)
## Debt-to-income 0.0001*** 0.0001*** 0.00003***
## (0.00000) (0.00000) (0.00000)
## log(Loan amount) -0.168*** -0.168*** -0.184*** -1.176*** -1.176***
## (0.0002) (0.0002) (0.0003) (0.002) (0.002)
## Freddie Mac -0.102*** -0.099*** -0.101***
## (0.008) (0.008) (0.009)
## New purchase 0.018*** 0.019*** 0.009*** -0.011*** -0.011***
## (0.0002) (0.0002) (0.0003) (0.002) (0.002)
## Alt-A 0.046*** 0.046***
## (0.003) (0.003)
## Subprime 0.273*** 0.272***
## (0.004) (0.004)
## Primar residence -0.337*** -0.337*** -0.320*** -0.236*** -0.238***
## (0.0003) (0.0003) (0.0004) (0.003) (0.003)
## Year*Zipcode Y Y Y Y Y
## Bank Y Y Y Y Y
## N 22,813,298 22,813,298 12,642,445 2,997,441 2,997,441
## Adjusted R2 0.891 0.891 0.649 0.490 0.491
## =================================================================================
r <- list()
r[[1]] <- felm(int_rt~msinc13+msinc46+other_msinc13+other_msinc46+suc_share+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+dti+log(orig_upb)+freddie+newpurchase+primary_occ|zip_year+seller_name,data=regsample)
r[[2]] <- felm(int_rt~factor(msinc13G)+factor(msinc46G)+other_msinc13+other_msinc46+suc_share+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+dti+log(orig_upb)+freddie+newpurchase+primary_occ|zip_year+seller_name,data=regsample)
r[[3]] <- felm(int_rt~msinc13+msinc46+other_msinc13+other_msinc46+suc_share+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+dti+log(orig_upb)+freddie+newpurchase+primary_occ|zip_year+seller_name,data=regsample[loanyr<2008])
r[[4]] <- felm(int_rt~msinc13+other_msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+factor(assettype)+primary_occ|zip_year+seller_name,data=regsample2[originalterm==360 & armflag=="F" ])
r[[5]] <- felm(int_rt~factor(msinc13G)+other_msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+factor(assettype)+primary_occ|zip_year+seller_name,data=regsample2[originalterm==360 & armflag=="F" ])
covlabs <- c("MSAcq1-3","MSAcq4-6","MSAcq1-3 (0,1]","MSAcq1-3 (1,5]","MSAcq1-3 (5,.]","MSAcq4-6 (0,1]","MSAcq4-6 (1,5]","MSAcq4-6 (5,.]","Acquirer Share","Full documentation","FICO Score", "Combined loan-to-value","FICO Score2","FICO Score3", "Combined loan-to-value2","Combined loan-to-value3","Debt-to-income","log(Loan amount)","Freddie Mac","New purchase","Alt-A","Subprime","Primar residence")
stargazer(r,no.space = T,align = T,omit.stat=c("ser","f", "rsq"),style = "qje",omit.table.layout = "n", dep.var.labels.include = FALSE,type="text",
column.labels=c("GSE Sample","GSE<2008","Non-agency sample"),column.separate=c(2,1,2),
add.lines = list(c("Year*Zipcode", rep("Y",6)),c("Bank", rep("Y",6))))
##
## ===========================================================================================
## GSE Sample GSE<2008 Non-agency sample
## (1) (2) (3) (4) (5)
## -------------------------------------------------------------------------------------------
## msinc13 0.516*** 0.372*** 6.417***
## (0.026) (0.062) (0.398)
## msinc46 0.355*** 1.613***
## (0.028) (0.210)
## factor(msinc13G)1. Less than 1pct 0.046*** 0.067***
## (0.0004) (0.011)
## factor(msinc13G)2. 1 - 5pct 0.033*** 0.270***
## (0.001) (0.029)
## factor(msinc13G)3. 5pct or more 0.025*** 0.295***
## (0.002) (0.067)
## factor(msinc46G)1. Less than 1pct 0.002***
## (0.0005)
## factor(msinc46G)2. 1 - 5pct 0.018***
## (0.001)
## factor(msinc46G)3. 5pct or more 0.014***
## (0.002)
## other_msinc13 -0.093*** -0.326*** -0.173*** -1.588*
## (0.025) (0.018) (0.059) (0.944)
## other_msinc46 -0.012 -0.174*** -0.680***
## (0.026) (0.020) (0.184)
## suc_share 0.006 -0.095*** -0.150*** 0.764*** 0.682***
## (0.004) (0.004) (0.009) (0.074) (0.075)
## fulldocumentation -0.245*** -0.246***
## (0.002) (0.002)
## fico -0.234*** -0.232*** -0.405*** 14.799*** 14.796***
## (0.003) (0.003) (0.004) (0.247) (0.247)
## ltv -0.003*** -0.003*** -0.005*** -0.046*** -0.046***
## (0.00003) (0.00003) (0.00005) (0.001) (0.001)
## I(fico2) 0.006*** 0.006*** 0.023*** -2.415*** -2.415***
## (0.0002) (0.0002) (0.0003) (0.038) (0.038)
## I(fico3) -0.00004*** -0.00004*** -0.0002*** 0.126*** 0.126***
## (0.00000) (0.00000) (0.00000) (0.002) (0.002)
## I(ltv2) 0.0001*** 0.0001*** 0.0001*** 0.0005*** 0.0005***
## (0.00000) (0.00000) (0.00000) (0.00001) (0.00001)
## I(ltv3) -0.00000*** -0.00000*** -0.00000*** 0.00000*** 0.00000***
## (0.000) (0.000) (0.000) (0.00000) (0.00000)
## dti 0.0001*** 0.0001*** 0.00003***
## (0.00000) (0.00000) (0.00000)
## log(orig_upb) -0.168*** -0.168*** -0.184*** -1.176*** -1.176***
## (0.0002) (0.0002) (0.0003) (0.002) (0.002)
## freddie -0.104*** -0.111*** -0.105***
## (0.008) (0.008) (0.009)
## newpurchase 0.018*** 0.019*** 0.009*** -0.011*** -0.011***
## (0.0002) (0.0002) (0.0003) (0.002) (0.002)
## factor(assettype)Alt-A 0.046*** 0.046***
## (0.003) (0.003)
## factor(assettype)Subprime 0.273*** 0.272***
## (0.004) (0.004)
## primary_occ -0.337*** -0.337*** -0.320*** -0.236*** -0.238***
## (0.0003) (0.0003) (0.0004) (0.003) (0.003)
## Year*Zipcode Y Y Y Y Y
## Bank Y Y Y Y Y
## N 22,813,298 22,813,298 12,642,445 2,997,441 2,997,441
## Adjusted R2 0.891 0.891 0.649 0.490 0.491
## ===========================================================================================
Zip3*Bank + Year
FE
r <- list()
r[[1]] <- felm(int_rt~msinc13+msinc46+suc_share+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+dti+log(orig_upb)+freddie+newpurchase+primary_occ|bank_msa+loanyr,data=regsample)
r[[2]] <- felm(int_rt~factor(msinc13G)+factor(msinc46G)+suc_share+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+dti+log(orig_upb)+freddie+newpurchase+primary_occ|bank_msa+loanyr,data=regsample)
r[[3]] <- felm(int_rt~msinc13+msinc46+suc_share+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+dti+log(orig_upb)+freddie+newpurchase+primary_occ|bank_msa+loanyr,data=regsample[loanyr<2008])
r[[4]] <- felm(int_rt~msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+factor(assettype)+primary_occ|seller_name+loanyr+zipcode,data=regsample2[originalterm==360 & armflag=="F" ])
r[[5]] <- felm(int_rt~factor(msinc13G)+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+factor(assettype)+primary_occ|seller_name+loanyr+zipcode,data=regsample2[originalterm==360 & armflag=="F" ])
covlabs <- c("MSAcq1-3","MSAcq4-6","MSAcq1-3 (0,1]","MSAcq1-3 (1,5]","MSAcq1-3 (5,.]","MSAcq4-6 (0,1]","MSAcq4-6 (1,5]","MSAcq4-6 (5,.]","Acquirer Share","Full documentation","FICO Score", "Combined loan-to-value","FICO Score2","FICO Score3", "Combined loan-to-value2","Combined loan-to-value3","Debt-to-income","log(Loan amount)","Freddie Mac","New purchase","Alt-A","Subprime","Primar residence")
stargazer(r,no.space = T,align = T,omit.stat=c("ser","f", "rsq"),style = "qje",omit.table.layout = "n", dep.var.labels.include = FALSE,type="text",covariate.labels = covlabs,
column.labels=c("GSE Sample","GSE < 2008","Non-agency sample"),column.separate=c(2,1,2),
add.lines = list(c("Year*Zipcode", rep("Y",6)),c("Bank", rep("Y",6))))
##
## =================================================================================
## GSE Sample GSE < 2008 Non-agency sample
## (1) (2) (3) (4) (5)
## ---------------------------------------------------------------------------------
## MSAcq1-3 0.805*** 0.946*** 6.333***
## (0.008) (0.022) (0.390)
## MSAcq4-6 0.489*** 4.466***
## (0.011) (0.113)
## MSAcq1-3 (0,1] 0.054*** 0.101***
## (0.0005) (0.011)
## MSAcq1-3 (1,5] 0.049*** 0.306***
## (0.001) (0.017)
## MSAcq1-3 (5,.] 0.059*** 0.424***
## (0.001) (0.030)
## MSAcq4-6 (0,1] 0.016***
## (0.0005)
## MSAcq4-6 (1,5] 0.033***
## (0.001)
## MSAcq4-6 (5,.] 0.023***
## (0.001)
## Acquirer Share -0.101*** -0.204*** -0.501*** 0.842*** 0.726***
## (0.004) (0.004) (0.008) (0.072) (0.073)
## Full documentation -0.246*** -0.247***
## (0.002) (0.002)
## FICO Score -0.236*** -0.234*** -0.418*** 15.098*** 15.096***
## (0.003) (0.003) (0.004) (0.242) (0.242)
## Combined loan-to-value -0.003*** -0.003*** -0.005*** -0.044*** -0.044***
## (0.00003) (0.00003) (0.00004) (0.001) (0.001)
## FICO Score2 0.006*** 0.006*** 0.024*** -2.459*** -2.459***
## (0.0002) (0.0002) (0.0003) (0.037) (0.037)
## FICO Score3 -0.00004*** -0.00004*** -0.0002*** 0.128*** 0.128***
## (0.00000) (0.00000) (0.00000) (0.002) (0.002)
## Combined loan-to-value2 0.0001*** 0.0001*** 0.0001*** 0.0004*** 0.0004***
## (0.00000) (0.00000) (0.00000) (0.00001) (0.00001)
## Combined loan-to-value3 -0.00000*** -0.00000*** -0.00000*** 0.00000*** 0.00000***
## (0.000) (0.000) (0.000) (0.00000) (0.00000)
## Debt-to-income 0.0001*** 0.0001*** 0.00004***
## (0.00000) (0.00000) (0.00000)
## log(Loan amount) -0.164*** -0.164*** -0.180*** -1.160*** -1.160***
## (0.0002) (0.0002) (0.0003) (0.001) (0.001)
## Freddie Mac 0.046*** 0.048*** 0.049***
## (0.0003) (0.0003) (0.001)
## New purchase 0.020*** 0.020*** 0.011*** -0.013*** -0.014***
## (0.0002) (0.0002) (0.0003) (0.002) (0.002)
## Alt-A 0.045*** 0.045***
## (0.003) (0.003)
## Subprime 0.275*** 0.275***
## (0.004) (0.004)
## Primar residence -0.341*** -0.341*** -0.322*** -0.231*** -0.232***
## (0.0003) (0.0003) (0.0004) (0.003) (0.003)
## Year*Zipcode Y Y Y Y Y
## Bank Y Y Y Y Y
## N 22,813,298 22,813,298 12,642,445 2,997,441 2,997,441
## Adjusted R2 0.889 0.889 0.647 0.488 0.488
## =================================================================================
r <- list()
r[[1]] <- felm(int_rt~msinc13+msinc46+other_msinc13+other_msinc46+suc_share+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+dti+log(orig_upb)+freddie+newpurchase+primary_occ|bank_msa+loanyr,data=regsample)
r[[2]] <- felm(int_rt~factor(msinc13G)+other_msinc13+other_msinc46+factor(msinc46G)+suc_share+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+dti+log(orig_upb)+freddie+newpurchase+primary_occ|bank_msa+loanyr,data=regsample)
r[[3]] <- felm(int_rt~msinc13+msinc46+other_msinc13+other_msinc46+suc_share+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+dti+log(orig_upb)+freddie+newpurchase+primary_occ|bank_msa+loanyr,data=regsample[loanyr<2008])
r[[4]] <- felm(int_rt~msinc13+other_msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+factor(assettype)+primary_occ|seller_name+loanyr+zipcode,data=regsample2[originalterm==360 & armflag=="F" ])
r[[5]] <- felm(int_rt~factor(msinc13G)+other_msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+factor(assettype)+primary_occ|seller_name+loanyr+zipcode,data=regsample2[originalterm==360 & armflag=="F" ])
covlabs <- c("MSAcq1-3","MSAcq4-6","MSAcq1-3 (0,1]","MSAcq1-3 (1,5]","MSAcq1-3 (5,.]","MSAcq4-6 (0,1]","MSAcq4-6 (1,5]","MSAcq4-6 (5,.]","Acquirer Share","Full documentation","FICO Score", "Combined loan-to-value","FICO Score2","FICO Score3", "Combined loan-to-value2","Combined loan-to-value3","Debt-to-income","log(Loan amount)","Freddie Mac","New purchase","Alt-A","Subprime","Primar residence")
stargazer(r,no.space = T,align = T,omit.stat=c("ser","f", "rsq"),style = "qje",omit.table.layout = "n", dep.var.labels.include = FALSE,type="text",
column.labels=c("GSE Sample","GSE < 2008","Non-agency sample"),column.separate=c(2,1,2),
add.lines = list(c("Year*Zipcode", rep("Y",6)),c("Bank", rep("Y",6))))
##
## ===========================================================================================
## GSE Sample GSE < 2008 Non-agency sample
## (1) (2) (3) (4) (5)
## -------------------------------------------------------------------------------------------
## msinc13 1.023*** 0.992*** 4.956***
## (0.009) (0.023) (0.394)
## msinc46 0.658*** 3.953***
## (0.012) (0.113)
## factor(msinc13G)1. Less than 1pct 0.055*** 0.090***
## (0.0005) (0.011)
## factor(msinc13G)2. 1 - 5pct 0.056*** 0.267***
## (0.001) (0.017)
## factor(msinc13G)3. 5pct or more 0.076*** 0.336***
## (0.001) (0.030)
## other_msinc13 0.289*** 0.309*** 0.037*** -1.924*** -1.895***
## (0.006) (0.006) (0.011) (0.085) (0.085)
## other_msinc46 0.258*** 0.271*** -4.134***
## (0.006) (0.006) (0.051)
## factor(msinc46G)1. Less than 1pct 0.018***
## (0.0005)
## factor(msinc46G)2. 1 - 5pct 0.039***
## (0.001)
## factor(msinc46G)3. 5pct or more 0.034***
## (0.001)
## suc_share -0.100*** -0.204*** -0.487*** 0.804*** 0.701***
## (0.004) (0.004) (0.008) (0.072) (0.073)
## fulldocumentation -0.246*** -0.247***
## (0.002) (0.002)
## fico -0.235*** -0.232*** -0.418*** 15.124*** 15.123***
## (0.003) (0.003) (0.004) (0.242) (0.242)
## ltv -0.003*** -0.003*** -0.004*** -0.045*** -0.045***
## (0.00003) (0.00003) (0.00004) (0.001) (0.001)
## I(fico2) 0.006*** 0.006*** 0.024*** -2.463*** -2.463***
## (0.0002) (0.0002) (0.0003) (0.037) (0.037)
## I(fico3) -0.00004*** -0.00003*** -0.0002*** 0.128*** 0.128***
## (0.00000) (0.00000) (0.00000) (0.002) (0.002)
## I(ltv2) 0.0001*** 0.0001*** 0.0001*** 0.0004*** 0.0004***
## (0.00000) (0.00000) (0.00000) (0.00001) (0.00001)
## I(ltv3) -0.00000*** -0.00000*** -0.00000*** 0.00000*** 0.00000***
## (0.000) (0.000) (0.000) (0.00000) (0.00000)
## dti 0.0001*** 0.0001*** 0.00004***
## (0.00000) (0.00000) (0.00000)
## log(orig_upb) -0.164*** -0.164*** -0.181*** -1.161*** -1.161***
## (0.0002) (0.0002) (0.0003) (0.001) (0.001)
## freddie 0.047*** 0.048*** 0.049***
## (0.0003) (0.0003) (0.001)
## newpurchase 0.020*** 0.020*** 0.011*** -0.014*** -0.014***
## (0.0002) (0.0002) (0.0003) (0.002) (0.002)
## factor(assettype)Alt-A 0.045*** 0.045***
## (0.003) (0.003)
## factor(assettype)Subprime 0.276*** 0.275***
## (0.004) (0.004)
## primary_occ -0.340*** -0.340*** -0.322*** -0.231*** -0.232***
## (0.0003) (0.0003) (0.0004) (0.003) (0.003)
## Year*Zipcode Y Y Y Y Y
## Bank Y Y Y Y Y
## N 22,813,298 22,813,298 12,642,445 2,997,441 2,997,441
## Adjusted R2 0.889 0.889 0.648 0.488 0.488
## ===========================================================================================
Zip3*Bank + Year FE,
remove obs with 0 share before acq
r <- list()
r[[1]] <- felm(int_rt~msinc13+msinc46+suc_share+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+dti+log(orig_upb)+freddie+newpurchase+primary_occ|bank_msa+loanyr,data=regsample[ !(suc_share==0 & msinc13>1e-05)])
r[[2]] <- felm(int_rt~factor(msinc13G)+factor(msinc46G)+suc_share+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+dti+log(orig_upb)+freddie+newpurchase+primary_occ|bank_msa+loanyr,data=regsample[ !(suc_share==0 & msinc13>1e-05)])
r[[3]] <- felm(int_rt~msinc13+msinc46+suc_share+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+dti+log(orig_upb)+freddie+newpurchase+primary_occ|bank_msa+loanyr,data=regsample[ !(suc_share==0 & msinc13>1e-05) & loanyr<2008])
r[[4]] <- felm(int_rt~msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+factor(assettype)+primary_occ|seller_name+loanyr+zipcode,data=regsample2[originalterm==360 & armflag=="F" & !(suc_share==0 & msinc13>1e-05)])
#r[[4]] <- felm(int_rt~newpurchase*msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^3)+I(ltv^2)+suc_share+fulldocumentation+log(orig_upb)+factor(assettype)+primary_occ|seller_name+zip_year,data=regsample2[originalterm==360 & armflag=="F"])
r[[5]] <- felm(int_rt~factor(msinc13G)+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+factor(assettype)+primary_occ|seller_name+loanyr+zipcode,data=regsample2[originalterm==360 & armflag=="F" & !(suc_share==0 & msinc13>1e-05)])
covlabs <- c("MSAcq1-3","MSAcq4-6","MSAcq1-3 (0,1]","MSAcq1-3 (1,5]","MSAcq1-3 (5,.]","MSAcq4-6 (0,1]","MSAcq4-6 (1,5]","MSAcq4-6 (5,.]","Acquirer Share","Full documentation","FICO Score", "Combined loan-to-value","FICO Score2","FICO Score3", "Combined loan-to-value2","Combined loan-to-value3","Debt-to-income","log(Loan amount)","Freddie Mac","New purchase","Alt-A","Subprime","Primar residence")
stargazer(r,no.space = T,align = T,omit.stat=c("ser","f", "rsq"),style = "qje",omit.table.layout = "n", dep.var.labels.include = FALSE,type="text",covariate.labels = covlabs,
column.labels=c("GSE Sample","GSE<2008","Non-agency sample"),column.separate=c(2,1,2),
add.lines = list(c("Year*Zipcode", rep("Y",6)),c("Bank", rep("Y",6))))
##
## =================================================================================
## GSE Sample GSE<2008 Non-agency sample
## (1) (2) (3) (4) (5)
## ---------------------------------------------------------------------------------
## MSAcq1-3 0.564*** 0.699*** 5.436***
## (0.011) (0.032) (0.550)
## MSAcq4-6 0.597*** 4.365***
## (0.012) (0.113)
## MSAcq1-3 (0,1] 0.057*** 0.024*
## (0.001) (0.013)
## MSAcq1-3 (1,5] 0.045*** 0.303***
## (0.001) (0.022)
## MSAcq1-3 (5,.] 0.042*** 0.217***
## (0.001) (0.046)
## MSAcq4-6 (0,1] 0.009***
## (0.001)
## MSAcq4-6 (1,5] 0.034***
## (0.001)
## MSAcq4-6 (5,.] 0.025***
## (0.001)
## Acquirer Share -0.043*** -0.221*** -0.493*** 1.001*** 0.944***
## (0.004) (0.005) (0.008) (0.072) (0.075)
## Full documentation -0.246*** -0.246***
## (0.002) (0.002)
## FICO Score -0.235*** -0.234*** -0.428*** 15.150*** 15.145***
## (0.003) (0.003) (0.004) (0.244) (0.244)
## Combined loan-to-value -0.003*** -0.003*** -0.004*** -0.046*** -0.046***
## (0.00003) (0.00003) (0.00005) (0.001) (0.001)
## FICO Score2 0.006*** 0.006*** 0.025*** -2.467*** -2.467***
## (0.0002) (0.0002) (0.0003) (0.037) (0.037)
## FICO Score3 -0.00004*** -0.00004*** -0.0002*** 0.129*** 0.129***
## (0.00000) (0.00000) (0.00000) (0.002) (0.002)
## Combined loan-to-value2 0.0001*** 0.0001*** 0.0001*** 0.0005*** 0.0005***
## (0.00000) (0.00000) (0.00000) (0.00001) (0.00001)
## Combined loan-to-value3 -0.00000*** -0.00000*** -0.00000*** 0.00000*** 0.00000***
## (0.000) (0.000) (0.000) (0.00000) (0.00000)
## Debt-to-income 0.0001*** 0.0001*** 0.00004***
## (0.00000) (0.00000) (0.00000)
## log(Loan amount) -0.164*** -0.164*** -0.181*** -1.165*** -1.165***
## (0.0002) (0.0002) (0.0003) (0.002) (0.002)
## Freddie Mac 0.047*** 0.048*** 0.054***
## (0.0003) (0.0003) (0.001)
## New purchase 0.022*** 0.022*** 0.014*** -0.014*** -0.014***
## (0.0002) (0.0002) (0.0003) (0.002) (0.002)
## Alt-A 0.043*** 0.043***
## (0.003) (0.003)
## Subprime 0.268*** 0.268***
## (0.004) (0.004)
## Primar residence -0.340*** -0.340*** -0.322*** -0.234*** -0.234***
## (0.0003) (0.0003) (0.0004) (0.003) (0.003)
## Year*Zipcode Y Y Y Y Y
## Bank Y Y Y Y Y
## N 21,507,050 21,507,050 12,227,564 2,969,361 2,969,361
## Adjusted R2 0.889 0.889 0.653 0.488 0.488
## =================================================================================
r <- list()
r[[1]] <- felm(int_rt~msinc13+msinc46+other_msinc13+other_msinc46+suc_share+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+dti+log(orig_upb)+freddie+newpurchase+primary_occ|bank_msa+loanyr,data=regsample[ !(suc_share==0 & msinc13>1e-05)])
r[[2]] <- felm(int_rt~factor(msinc13G)+factor(msinc46G)+other_msinc13+other_msinc46+suc_share+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+dti+log(orig_upb)+freddie+newpurchase+primary_occ|bank_msa+loanyr,data=regsample[ !(suc_share==0 & msinc13>1e-05)])
r[[3]] <- felm(int_rt~msinc13+msinc46+other_msinc13+other_msinc46+suc_share+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+dti+log(orig_upb)+freddie+newpurchase+primary_occ|bank_msa+loanyr,data=regsample[ !(suc_share==0 & msinc13>1e-05) & loanyr<2008])
r[[4]] <- felm(int_rt~msinc13+other_msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+factor(assettype)+primary_occ|seller_name+loanyr+zipcode,data=regsample2[originalterm==360 & armflag=="F" & !(suc_share==0 & msinc13>1e-05)])
r[[5]] <- felm(int_rt~factor(msinc13G)+other_msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+factor(assettype)+primary_occ|seller_name+loanyr+zipcode,data=regsample2[originalterm==360 & armflag=="F" & !(suc_share==0 & msinc13>1e-05)])
covlabs <- c("MSAcq1-3","MSAcq4-6","MSAcq1-3 (0,1]","MSAcq1-3 (1,5]","MSAcq1-3 (5,.]","MSAcq4-6 (0,1]","MSAcq4-6 (1,5]","MSAcq4-6 (5,.]","Acquirer Share","Full documentation","FICO Score", "Combined loan-to-value","FICO Score2","FICO Score3", "Combined loan-to-value2","Combined loan-to-value3","Debt-to-income","log(Loan amount)","Freddie Mac","New purchase","Alt-A","Subprime","Primar residence")
stargazer(r,no.space = T,align = T,omit.stat=c("ser","f", "rsq"),style = "qje",omit.table.layout = "n", dep.var.labels.include = FALSE,type="text",
column.labels=c("GSE Sample","GSE<2008","Non-agency sample"),column.separate=c(2,1,2),
add.lines = list(c("Year*Zipcode", rep("Y",6)),c("Bank", rep("Y",6))))
##
## ===========================================================================================
## GSE Sample GSE<2008 Non-agency sample
## (1) (2) (3) (4) (5)
## -------------------------------------------------------------------------------------------
## msinc13 0.818*** 0.746*** 4.153***
## (0.012) (0.033) (0.553)
## msinc46 0.758*** 3.834***
## (0.012) (0.113)
## factor(msinc13G)1. Less than 1pct 0.060*** 0.015
## (0.001) (0.013)
## factor(msinc13G)2. 1 - 5pct 0.054*** 0.261***
## (0.001) (0.022)
## factor(msinc13G)3. 5pct or more 0.065*** 0.141***
## (0.001) (0.047)
## factor(msinc46G)1. Less than 1pct 0.011***
## (0.001)
## factor(msinc46G)2. 1 - 5pct 0.039***
## (0.001)
## factor(msinc46G)3. 5pct or more 0.036***
## (0.001)
## other_msinc13 0.320*** 0.354*** 0.050*** -1.945*** -1.922***
## (0.006) (0.006) (0.012) (0.085) (0.085)
## other_msinc46 0.256*** 0.264*** -4.285***
## (0.006) (0.006) (0.051)
## suc_share -0.046*** -0.231*** -0.478*** 0.957*** 0.915***
## (0.004) (0.005) (0.008) (0.072) (0.075)
## fulldocumentation -0.246*** -0.246***
## (0.002) (0.002)
## fico -0.234*** -0.232*** -0.428*** 15.177*** 15.172***
## (0.003) (0.003) (0.004) (0.244) (0.244)
## ltv -0.003*** -0.003*** -0.004*** -0.046*** -0.046***
## (0.00003) (0.00003) (0.00005) (0.001) (0.001)
## I(fico2) 0.006*** 0.006*** 0.025*** -2.471*** -2.470***
## (0.0002) (0.0002) (0.0003) (0.037) (0.037)
## I(fico3) -0.00004*** -0.00004*** -0.0002*** 0.129*** 0.129***
## (0.00000) (0.00000) (0.00000) (0.002) (0.002)
## I(ltv2) 0.0001*** 0.0001*** 0.0001*** 0.0005*** 0.0005***
## (0.00000) (0.00000) (0.00000) (0.00001) (0.00001)
## I(ltv3) -0.00000*** -0.00000*** -0.00000*** 0.00000*** 0.00000***
## (0.000) (0.000) (0.000) (0.00000) (0.00000)
## dti 0.0001*** 0.0001*** 0.00004***
## (0.00000) (0.00000) (0.00000)
## log(orig_upb) -0.164*** -0.164*** -0.182*** -1.166*** -1.166***
## (0.0002) (0.0002) (0.0003) (0.002) (0.002)
## freddie 0.047*** 0.048*** 0.054***
## (0.0003) (0.0003) (0.001)
## newpurchase 0.022*** 0.022*** 0.014*** -0.014*** -0.014***
## (0.0002) (0.0002) (0.0003) (0.002) (0.002)
## factor(assettype)Alt-A 0.043*** 0.043***
## (0.003) (0.003)
## factor(assettype)Subprime 0.269*** 0.269***
## (0.004) (0.004)
## primary_occ -0.340*** -0.340*** -0.322*** -0.233*** -0.234***
## (0.0003) (0.0003) (0.0004) (0.003) (0.003)
## Year*Zipcode Y Y Y Y Y
## Bank Y Y Y Y Y
## N 21,507,050 21,507,050 12,227,564 2,969,361 2,969,361
## Adjusted R2 0.889 0.889 0.654 0.488 0.488
## ===========================================================================================
Table 4 Panel B
Zip3*Year + Bank
FE
r <- list()
r[[1]] <- felm(int_rt~msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+primary_occ|zip_year+seller_name|0|zipcode,data=regsample2[originalterm==360 & armflag=="F" & assettype=="0Prime" ])
r[[2]] <- felm(int_rt~msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+primary_occ|zip_year+seller_name|0|zipcode,data=regsample2[originalterm==360 & armflag=="F" & assettype=="Alt-A" ])
r[[3]] <- felm(int_rt~msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+primary_occ|zip_year+seller_name|0|zipcode,data=regsample2[originalterm==360 & armflag=="F" & assettype=="Subprime" ])
r[[4]] <- felm(int_rt~msinc13*factor(assettype)+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+primary_occ|zip_year+seller_name|0|zipcode,data=regsample2[originalterm==360 & armflag=="F" & !(suc_share==0 & msinc13>1e-05)])
covlabs <- c("MSAcq1-3","Alt-A","Subprime","FICO Score", "Combined loan-to-value","FICO Score2","FICO Score3", "Combined loan-to-value2", "Combined loan-to-value3","Acquirer Share","Full documentation","log(Loan amount)","New purchase","Primary residence")
stargazer(r,no.space = T,align = T,omit.stat=c("ser","f", "rsq"),style = "qje",omit.table.layout = "n", dep.var.labels.include = FALSE,type="text",
covariate.labels = covlabs,
column.labels=c("Prime","Alt-A","Subprime"),column.separate=c(1,1,1),
add.lines = list(c("Year*Zipcode", rep("Y",6)),c("Bank", rep("Y",6))))
##
## =============================================================================
## Prime Alt-A Subprime
## (1) (2) (3) (4)
## -----------------------------------------------------------------------------
## MSAcq1-3 3.363*** 6.135*** 9.095*** 7.546***
## (0.339) (0.936) (0.906) (0.464)
## Alt-A 0.045***
## (0.003)
## Subprime 0.266***
## (0.004)
## FICO Score 10.830*** 23.323*** 13.906*** 14.857***
## (2.780) (1.793) (0.738) (0.326)
## Combined loan-to-value -0.004 -0.082*** -0.128*** -0.047***
## (0.005) (0.007) (0.003) (0.004)
## FICO Score2 -1.718*** -3.554*** -2.327*** -2.424***
## (0.380) (0.258) (0.118) (0.049)
## FICO Score3 0.088*** 0.176*** 0.124*** 0.127***
## (0.017) (0.012) (0.006) (0.002)
## Combined loan-to-value2 -0.0001 0.001*** 0.002*** 0.0005***
## (0.0001) (0.0001) (0.0001) (0.0001)
## Combined loan-to-value3 0.00000*** -0.00000** -0.00001*** 0.00000
## (0.00000) (0.00000) (0.00000) (0.00000)
## Acquirer Share 0.956*** 1.239*** -1.131*** 0.885***
## (0.052) (0.170) (0.228) (0.060)
## Full documentation -0.199*** -0.382*** -0.478*** -0.245***
## (0.002) (0.005) (0.006) (0.002)
## log(Loan amount) -0.827*** -1.417*** -1.692*** -1.181***
## (0.006) (0.008) (0.008) (0.006)
## New purchase -0.041*** -0.016*** 0.031*** -0.011***
## (0.003) (0.006) (0.007) (0.003)
## Primary residence -0.344*** -0.246*** -0.125*** -0.239***
## (0.004) (0.006) (0.010) (0.004)
## msinc13:factor(assettype)Alt-A -9.997***
## (0.917)
## msinc13:factor(assettype)Subprime 1.451
## (1.190)
## Year*Zipcode Y Y Y Y
## Bank Y Y Y Y
## N 1,649,390 640,223 707,828 2,969,361
## Adjusted R2 0.550 0.522 0.399 0.491
## =============================================================================
r <- list()
r[[1]] <- felm(int_rt~msinc13+other_msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+primary_occ|zip_year+seller_name|0|zipcode,data=regsample2[originalterm==360 & armflag=="F" & assettype=="0Prime" ])
r[[2]] <- felm(int_rt~msinc13+other_msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+primary_occ|zip_year+seller_name|0|zipcode,data=regsample2[originalterm==360 & armflag=="F" & assettype=="Alt-A" ])
r[[3]] <- felm(int_rt~msinc13+other_msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+primary_occ|zip_year+seller_name|0|zipcode,data=regsample2[originalterm==360 & armflag=="F" & assettype=="Subprime" ])
r[[4]] <- felm(int_rt~msinc13*factor(assettype)+other_msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+primary_occ|zip_year+seller_name|0|zipcode,data=regsample2[originalterm==360 & armflag=="F" & !(suc_share==0 & msinc13>1e-05)])
covlabs <- c("MSAcq1-3","Alt-A","Subprime","FICO Score", "Combined loan-to-value","FICO Score2","FICO Score3", "Combined loan-to-value2", "Combined loan-to-value3","Acquirer Share","Full documentation","log(Loan amount)","New purchase","Primary residence")
stargazer(r,no.space = T,align = T,omit.stat=c("ser","f", "rsq"),style = "qje",omit.table.layout = "n", dep.var.labels.include = FALSE,type="text",
column.labels=c("Prime","Alt-A","Subprime"),column.separate=c(1,1,1),
add.lines = list(c("Year*Zipcode", rep("Y",6)),c("Bank", rep("Y",6))))
##
## =============================================================================
## Prime Alt-A Subprime
## (1) (2) (3) (4)
## -----------------------------------------------------------------------------
## msinc13 6.135*** 9.095***
## (0.000) (0.936) (0.906) (0.000)
## factor(assettype)Alt-A 0.045***
## (0.003)
## factor(assettype)Subprime 0.266***
## (0.004)
## other_msinc13 -3.363*** -7.546***
## (0.339) (0.000) (0.000) (0.464)
## fico 10.830*** 23.323*** 13.906*** 14.857***
## (2.780) (1.793) (0.738) (0.326)
## ltv -0.004 -0.082*** -0.128*** -0.047***
## (0.005) (0.007) (0.003) (0.004)
## I(fico2) -1.718*** -3.554*** -2.327*** -2.424***
## (0.380) (0.258) (0.118) (0.049)
## I(fico3) 0.088*** 0.176*** 0.124*** 0.127***
## (0.017) (0.012) (0.006) (0.002)
## I(ltv2) -0.0001 0.001*** 0.002*** 0.0005***
## (0.0001) (0.0001) (0.0001) (0.0001)
## I(ltv3) 0.00000*** -0.00000** -0.00001*** 0.00000
## (0.00000) (0.00000) (0.00000) (0.00000)
## suc_share 0.956*** 1.239*** -1.131*** 0.885***
## (0.052) (0.170) (0.228) (0.060)
## fulldocumentation -0.199*** -0.382*** -0.478*** -0.245***
## (0.002) (0.005) (0.006) (0.002)
## log(orig_upb) -0.827*** -1.417*** -1.692*** -1.181***
## (0.006) (0.008) (0.008) (0.006)
## newpurchase -0.041*** -0.016*** 0.031*** -0.011***
## (0.003) (0.006) (0.007) (0.003)
## primary_occ -0.344*** -0.246*** -0.125*** -0.239***
## (0.004) (0.006) (0.010) (0.004)
## msinc13:factor(assettype)Alt-A -9.997***
## (0.917)
## msinc13:factor(assettype)Subprime 1.451
## (1.190)
## Year*Zipcode Y Y Y Y
## Bank Y Y Y Y
## N 1,649,390 640,223 707,828 2,969,361
## Adjusted R2 0.550 0.522 0.399 0.491
## =============================================================================
Zip3*Bank + Year
FE
r <- list()
r[[1]] <- felm(int_rt~msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+primary_occ|bank_msa+loanyr|0|zipcode,data=regsample2[originalterm==360 & armflag=="F" & assettype=="0Prime" ])
r[[2]] <- felm(int_rt~msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+primary_occ|bank_msa+loanyr|0|zipcode,data=regsample2[originalterm==360 & armflag=="F" & assettype=="Alt-A" ])
r[[3]] <- felm(int_rt~msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+primary_occ|bank_msa+loanyr|0|zipcode,data=regsample2[originalterm==360 & armflag=="F" & assettype=="Subprime" ])
r[[4]] <- felm(int_rt~msinc13*factor(assettype)+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+primary_occ|bank_msa+loanyr|0|zipcode,data=regsample2[originalterm==360 & armflag=="F" & !(suc_share==0 & msinc13>1e-05)])
covlabs <- c("MSAcq1-3","Alt-A","Subprime","FICO Score", "Combined loan-to-value","FICO Score2","FICO Score3", "Combined loan-to-value2", "Combined loan-to-value3","Acquirer Share","Full documentation","log(Loan amount)","New purchase","Primary residence")
stargazer(r,no.space = T,align = T,omit.stat=c("ser","f", "rsq"),style = "qje",omit.table.layout = "n", dep.var.labels.include = FALSE,type="text",covariate.labels = covlabs,
column.labels=c("Prime","Alt-A","Subprime"),column.separate=c(1,1,1),
add.lines = list(c("Year*Zipcode", rep("Y",6)),c("Bank", rep("Y",6))))
##
## ============================================================================
## Prime Alt-A Subprime
## (1) (2) (3) (4)
## ----------------------------------------------------------------------------
## MSAcq1-3 1.243** 4.524 40.265*** 2.724***
## (0.510) (3.282) (3.472) (0.681)
## Alt-A 0.052***
## (0.003)
## Subprime 0.297***
## (0.005)
## FICO Score 9.914*** 22.946*** 15.228*** 15.074***
## (3.055) (1.799) (0.858) (0.343)
## Combined loan-to-value 0.003 -0.066*** -0.130*** -0.043***
## (0.005) (0.008) (0.003) (0.004)
## FICO Score2 -1.595*** -3.537*** -2.549*** -2.470***
## (0.417) (0.258) (0.137) (0.051)
## FICO Score3 0.082*** 0.177*** 0.136*** 0.129***
## (0.019) (0.012) (0.007) (0.003)
## Combined loan-to-value2 -0.0002** 0.001*** 0.002*** 0.0004***
## (0.0001) (0.0001) (0.00005) (0.0001)
## Combined loan-to-value3 0.00000*** -0.00000 -0.00001*** 0.00000
## (0.00000) (0.00000) (0.00000) (0.00000)
## Acquirer Share 0.772*** 1.016*** -1.548*** 0.719***
## (0.049) (0.192) (0.271) (0.060)
## Full documentation -0.166*** -0.358*** -0.452*** -0.229***
## (0.002) (0.005) (0.006) (0.003)
## log(Loan amount) -0.749*** -1.325*** -1.674*** -1.128***
## (0.006) (0.008) (0.008) (0.007)
## New purchase 0.003 0.019*** 0.061*** 0.032***
## (0.003) (0.006) (0.008) (0.003)
## Primary residence -0.267*** -0.188*** -0.053*** -0.178***
## (0.004) (0.007) (0.011) (0.004)
## msinc13:factor(assettype)Alt-A -7.712***
## (1.086)
## msinc13:factor(assettype)Subprime 4.372**
## (1.874)
## Year*Zipcode Y Y Y Y
## Bank Y Y Y Y
## N 1,649,390 640,223 707,828 2,969,361
## Adjusted R2 0.645 0.602 0.454 0.549
## ============================================================================
r <- list()
r[[1]] <- felm(int_rt~msinc13+other_msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+primary_occ|bank_msa+loanyr|0|zipcode,data=regsample2[originalterm==360 & armflag=="F" & assettype=="0Prime" ])
r[[2]] <- felm(int_rt~msinc13+other_msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+primary_occ|bank_msa+loanyr|0|zipcode,data=regsample2[originalterm==360 & armflag=="F" & assettype=="Alt-A" ])
r[[3]] <- felm(int_rt~msinc13+other_msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+primary_occ|bank_msa+loanyr|0|zipcode,data=regsample2[originalterm==360 & armflag=="F" & assettype=="Subprime" ])
r[[4]] <- felm(int_rt~msinc13*factor(assettype)+other_msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+primary_occ|bank_msa+loanyr|0|zipcode,data=regsample2[originalterm==360 & armflag=="F" & !(suc_share==0 & msinc13>1e-05)])
covlabs <- c("MSAcq1-3","Alt-A","Subprime","FICO Score", "Combined loan-to-value","FICO Score2","FICO Score3", "Combined loan-to-value2", "Combined loan-to-value3","Acquirer Share","Full documentation","log(Loan amount)","New purchase","Primary residence")
stargazer(r,no.space = T,align = T,omit.stat=c("ser","f", "rsq"),style = "qje",omit.table.layout = "n", dep.var.labels.include = FALSE,type="text",
column.labels=c("Prime","Alt-A","Subprime"),column.separate=c(1,1,1),
add.lines = list(c("Year*Zipcode", rep("Y",6)),c("Bank", rep("Y",6))))
##
## ============================================================================
## Prime Alt-A Subprime
## (1) (2) (3) (4)
## ----------------------------------------------------------------------------
## msinc13 1.087** 3.299 38.863*** 2.134***
## (0.510) (3.272) (3.463) (0.678)
## factor(assettype)Alt-A 0.052***
## (0.003)
## factor(assettype)Subprime 0.298***
## (0.005)
## other_msinc13 -0.379*** -1.607*** -2.172*** -1.472***
## (0.124) (0.230) (0.280) (0.122)
## fico 9.905*** 22.985*** 15.264*** 15.092***
## (3.055) (1.799) (0.858) (0.343)
## ltv 0.003 -0.066*** -0.130*** -0.043***
## (0.005) (0.008) (0.003) (0.004)
## I(fico2) -1.594*** -3.543*** -2.554*** -2.473***
## (0.417) (0.258) (0.137) (0.051)
## I(fico3) 0.082*** 0.177*** 0.136*** 0.129***
## (0.019) (0.012) (0.007) (0.003)
## I(ltv2) -0.0002** 0.001*** 0.002*** 0.0004***
## (0.0001) (0.0001) (0.00005) (0.0001)
## I(ltv3) 0.00000*** -0.00000 -0.00001*** 0.00000
## (0.00000) (0.00000) (0.00000) (0.00000)
## suc_share 0.765*** 1.010*** -1.518*** 0.689***
## (0.049) (0.192) (0.271) (0.060)
## fulldocumentation -0.166*** -0.358*** -0.452*** -0.229***
## (0.002) (0.005) (0.006) (0.003)
## log(orig_upb) -0.749*** -1.326*** -1.676*** -1.129***
## (0.006) (0.008) (0.008) (0.007)
## newpurchase 0.003 0.019*** 0.061*** 0.032***
## (0.003) (0.006) (0.008) (0.003)
## primary_occ -0.267*** -0.188*** -0.054*** -0.178***
## (0.004) (0.007) (0.011) (0.004)
## msinc13:factor(assettype)Alt-A -7.708***
## (1.086)
## msinc13:factor(assettype)Subprime 4.184**
## (1.875)
## Year*Zipcode Y Y Y Y
## Bank Y Y Y Y
## N 1,649,390 640,223 707,828 2,969,361
## Adjusted R2 0.645 0.602 0.455 0.549
## ============================================================================
Zip3*Bank + Year FE,
remove obs with 0 share before acq
r <- list()
r[[1]] <- felm(int_rt~msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+primary_occ|bank_msa+loanyr|0|zipcode,data=regsample2[originalterm==360 & armflag=="F" & assettype=="0Prime" & !(suc_share==0 & msinc13>1e-05) ])
r[[2]] <- felm(int_rt~msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+primary_occ|bank_msa+loanyr|0|zipcode,data=regsample2[originalterm==360 & armflag=="F" & assettype=="Alt-A" & !(suc_share==0 & msinc13>1e-05)])
r[[3]] <- felm(int_rt~msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+primary_occ|bank_msa+loanyr|0|zipcode,data=regsample2[originalterm==360 & armflag=="F" & assettype=="Subprime" & !(suc_share==0 & msinc13>1e-05)])
r[[4]] <- felm(int_rt~msinc13*factor(assettype)+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+primary_occ|bank_msa+loanyr|0|zipcode,data=regsample2[originalterm==360 & armflag=="F" & !(suc_share==0 & msinc13>1e-05)])
covlabs <- c("MSAcq1-3","FICO Score", "Combined loan-to-value","FICO Score2","FICO Score3", "Combined loan-to-value2", "Combined loan-to-value3","Acquirer Share","Full documentation","log(Loan amount)","New purchase","Primary residence")
stargazer(r,no.space = T,align = T,omit.stat=c("ser","f", "rsq"),style = "qje",omit.table.layout = "n", dep.var.labels.include = FALSE,type="text",covariate.labels = covlabs,
column.labels=c("Prime","Alt-A","Subprime"),column.separate=c(1,1,1),
add.lines = list(c("Year*Zipcode", rep("Y",6)),c("Bank", rep("Y",6))))
##
## ============================================================================
## Prime Alt-A Subprime
## (1) (2) (3) (4)
## ----------------------------------------------------------------------------
## MSAcq1-3 -0.769 6.311 27.985*** 2.724***
## (0.573) (4.303) (5.548) (0.681)
## FICO Score 0.052***
## (0.003)
## Combined loan-to-value 0.297***
## (0.005)
## FICO Score2 10.444*** 22.994*** 15.245*** 15.074***
## (3.079) (1.799) (0.860) (0.343)
## FICO Score3 0.002 -0.067*** -0.131*** -0.043***
## (0.005) (0.008) (0.003) (0.004)
## Combined loan-to-value2 -1.669*** -3.544*** -2.552*** -2.470***
## (0.420) (0.258) (0.137) (0.051)
## Combined loan-to-value3 0.085*** 0.177*** 0.136*** 0.129***
## (0.019) (0.012) (0.007) (0.003)
## Acquirer Share -0.0002* 0.001*** 0.002*** 0.0004***
## (0.0001) (0.0001) (0.00005) (0.0001)
## Full documentation 0.00000*** -0.00000 -0.00001*** 0.00000
## (0.00000) (0.00000) (0.00000) (0.00000)
## log(Loan amount) 0.797*** 1.099*** -1.335*** 0.719***
## (0.050) (0.195) (0.276) (0.060)
## New purchase -0.165*** -0.357*** -0.453*** -0.229***
## (0.002) (0.005) (0.006) (0.003)
## Primary residence -0.755*** -1.327*** -1.674*** -1.128***
## (0.006) (0.008) (0.008) (0.007)
## newpurchase 0.003 0.019*** 0.060*** 0.032***
## (0.003) (0.006) (0.008) (0.003)
## primary_occ -0.268*** -0.188*** -0.053*** -0.178***
## (0.004) (0.007) (0.011) (0.004)
## msinc13:factor(assettype)Alt-A -7.712***
## (1.086)
## msinc13:factor(assettype)Subprime 4.372**
## (1.874)
## Year*Zipcode Y Y Y Y
## Bank Y Y Y Y
## N 1,628,325 637,081 703,955 2,969,361
## Adjusted R2 0.646 0.602 0.455 0.549
## ============================================================================
r <- list()
r[[1]] <- felm(int_rt~msinc13+other_msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+primary_occ|bank_msa+loanyr|0|zipcode,data=regsample2[originalterm==360 & armflag=="F" & assettype=="0Prime" & !(suc_share==0 & msinc13>1e-05) ])
r[[2]] <- felm(int_rt~msinc13+other_msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+primary_occ|bank_msa+loanyr|0|zipcode,data=regsample2[originalterm==360 & armflag=="F" & assettype=="Alt-A" & !(suc_share==0 & msinc13>1e-05)])
r[[3]] <- felm(int_rt~msinc13+other_msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+primary_occ|bank_msa+loanyr|0|zipcode,data=regsample2[originalterm==360 & armflag=="F" & assettype=="Subprime" & !(suc_share==0 & msinc13>1e-05)])
r[[4]] <- felm(int_rt~msinc13*factor(assettype)+other_msinc13+fico+ltv+I(fico^2)+I(fico^3)+I(ltv^2)+I(ltv^3)+suc_share+fulldocumentation+log(orig_upb)+newpurchase+primary_occ|bank_msa+loanyr|0|zipcode,data=regsample2[originalterm==360 & armflag=="F" & !(suc_share==0 & msinc13>1e-05)])
covlabs <- c("MSAcq1-3","FICO Score", "Combined loan-to-value","FICO Score2","FICO Score3", "Combined loan-to-value2", "Combined loan-to-value3","Acquirer Share","Full documentation","log(Loan amount)","New purchase","Primary residence")
stargazer(r,no.space = T,align = T,omit.stat=c("ser","f", "rsq"),style = "qje",omit.table.layout = "n", dep.var.labels.include = FALSE,type="text",
column.labels=c("Prime","Alt-A","Subprime"),column.separate=c(1,1,1),
add.lines = list(c("Year*Zipcode", rep("Y",6)),c("Bank", rep("Y",6))))
##
## ============================================================================
## Prime Alt-A Subprime
## (1) (2) (3) (4)
## ----------------------------------------------------------------------------
## msinc13 -0.903 4.975 26.470*** 2.134***
## (0.572) (4.273) (5.514) (0.678)
## factor(assettype)Alt-A 0.052***
## (0.003)
## factor(assettype)Subprime 0.298***
## (0.005)
## other_msinc13 -0.382*** -1.589*** -2.141*** -1.472***
## (0.125) (0.230) (0.281) (0.122)
## fico 10.434*** 23.033*** 15.282*** 15.092***
## (3.079) (1.799) (0.860) (0.343)
## ltv 0.002 -0.067*** -0.131*** -0.043***
## (0.005) (0.008) (0.003) (0.004)
## I(fico2) -1.668*** -3.550*** -2.558*** -2.473***
## (0.420) (0.258) (0.137) (0.051)
## I(fico3) 0.085*** 0.177*** 0.136*** 0.129***
## (0.019) (0.012) (0.007) (0.003)
## I(ltv2) -0.0002* 0.001*** 0.002*** 0.0004***
## (0.0001) (0.0001) (0.00005) (0.0001)
## I(ltv3) 0.00000*** -0.00000 -0.00001*** 0.00000
## (0.00000) (0.00000) (0.00000) (0.00000)
## suc_share 0.787*** 1.090*** -1.305*** 0.689***
## (0.050) (0.195) (0.275) (0.060)
## fulldocumentation -0.165*** -0.358*** -0.454*** -0.229***
## (0.002) (0.005) (0.006) (0.003)
## log(orig_upb) -0.755*** -1.327*** -1.676*** -1.129***
## (0.006) (0.008) (0.008) (0.007)
## newpurchase 0.003 0.019*** 0.061*** 0.032***
## (0.003) (0.006) (0.008) (0.003)
## primary_occ -0.268*** -0.188*** -0.053*** -0.178***
## (0.004) (0.007) (0.011) (0.004)
## msinc13:factor(assettype)Alt-A -7.708***
## (1.086)
## msinc13:factor(assettype)Subprime 4.184**
## (1.875)
## Year*Zipcode Y Y Y Y
## Bank Y Y Y Y
## N 1,628,325 637,081 703,955 2,969,361
## Adjusted R2 0.646 0.602 0.455 0.549
## ============================================================================