Arka P. Bandyopadhyay

Ginnie Mae issuers may buy seriously delinquent loans out of MBS pools at par. Conditional on default, a one-percentage-point higher interest rate spread raises the probability of an early buyout by 7–9 percentage points: issuers select the loans most valuable when they reperform, at the expense of MBS investors, and buyout activity depends on issuers' access to capital.

Model-free reinforcement learning is used to derive how a mortgage servicer should act toward a borrower, replacing heuristic industry rules. Using post-securitization soft information and a new measure of borrower responsiveness, the servicer learns the borrower's type dynamically, anticipating strategic behavior and raising cooperation.

Develops the Directional Irreversibility Index (DII), which tests whether the joint distribution of an identified shock and a later financial outcome favors the shock-to-outcome representation over the reverse — something mean and volatility responses cannot tell us. Shows what bounds or erases the signal, why a naive calibration over-rejects, and how a joint bootstrap restores size while removing common factors raises power.

Directional dependence diagnostics infer that one series drives another from an asymmetry between forward and backward residual dependence — but an unobserved state tracked nonlinearly by both series produces the same asymmetry. The paper bounds directional indices under such confounding and computes a robustness value: the minimum loading a confounding explanation would need. Applied to 2,000 central-bank communication events, equity-index asymmetries turn out not to establish the direction of monetary transmission.

A liquidity constraint can shut down the transaction designed to relieve it. Ginnie Mae issuers must advance payments on non-paying loans; the early buyout is the only contractual escape, yet exercising it consumes the balance sheet the obligation drains. Across 3.1 million buyout decisions by 385 issuers, nonbank buyout rates fell from 45% to 10% when COVID-19 struck while depository rates rose from 80% to 92%, steepest for the highest-coupon loans — balance sheets, not option values, decided which borrowers were bought out.

The CARES Act paired forbearance with a foreclosure moratorium for federally backed loans, making the two policies hard to separate. Using 12,691 loans from one servicer, the paper exploits private-label mortgages that received neither protection but could be granted discretionary forbearance. Among them, an April 2020 forbearance conversation predicts a 9 to 15 percentage point increase in subsequent modification, with reduced adverse resolution concentrated among borrowers already close to foreclosure.

Housing demand from migration depends on incoming households' purchasing power, which is usually unknown in advance. Using the Social Connectedness Index, the paper measures each county's exposure to house-price gains in the distant counties it is socially tied to. That exposure predicts the income of migrants arriving years later, outperforms short-term appreciation signals, and it is the composition of arrivals — not their number — that predicts destination price appreciation.