Finance and Economics Discussion Series: 2009-03 Screen Reader version ♣
Regression Discontinuity Estimates of the
Effects of the GSE Act of 1992
November, 2008
[Preliminary; please do not cite or redistribute without permission of author]
Figure 1: GSE Housing Goals and Performance
| year | Fannie Mae Underserved Areas Share | Freddie Mac Underserved Areas Share | Underserved Areas Goal Level | Fannie Mae Low and Moderate Income Share | Freddie Mac Low and Moderate Income Share | Low and Moderate Income Goal Level | Fannie Mae Special Affordable Share | Freddie Mac Special Affordable Share | Special Affordable Goal Level |
|---|---|---|---|---|---|---|---|---|---|
| 1993 | 23.6 | 21.8 | - | 34.2 | 29.7 | - | 9.7 | 7 | - |
| 1994 | 29.5 | 25.2 | - | 44.8 | 37.4 | - | 15.2 | 11.3 | - |
| 1995 | 31.9 | 26.4 | - | 42.3 | 38.9 | - | 14.1 | 12.8 | - |
| 1996 | 28.1 | 25 | 21 | 45.6 | 41.1 | 40 | 15.4 | 14 | 12 |
| 1997 | 28.8 | 26.3 | 24 | 45.7 | 42.6 | 42 | 17 | 15.2 | 14 |
| 1998 | 27 | 26.1 | 24 | 44.1 | 42.9 | 42 | 14.3 | 15.9 | 14 |
| 1999 | 26.8 | 27.5 | 24 | 45.9 | 46.1 | 42 | 17.6 | 17.2 | 14 |
| 2000 | 31 | 29.2 | 24 | 49.5 | 49.9 | 42 | 19.2 | 20.7 | 14 |
| 2001 | 32.6 | 31.7 | 31 | 51.5 | 53.2 | 50 | 21.6 | 22.6 | 20 |
| 2002 | 32.8 | 31 | 31 | 51.8 | 50.5 | 50 | 21.4 | 20.4 | 20 |
| 2003 | 32.1 | 32.7 | 31 | 52.3 | 51.2 | 50 | 21.2 | 21.4 | 20 |
| 2004 | 33.5 | 32.3 | 31 | 53.4 | 51.6 | 50 | 23.6 | 22.7 | 20 |
| 2005 | 41.5 | 42.3 | 37 | 55.1 | 54 | 52 | 26.3 | 24.3 | 22 |
| 2006 | 43.6 | 42.7 | 38 | 56.9 | 55.9 | 53 | 27.8 | 26.4 | 23 |
Notes: The "Underserved Areas" goal targets GSE purchases in low-income & minority neighborhoods: tracts with median family income less than or equal to 90% of the MSA median family income, or tracts with a minority population share of at least 30% and a median family income no greater than 120% of the MSA median family income. The "Low and Moderate Income" goal specifies a target share of purchases to borrowers with income below the MSA median family income. The "Special Affordable" goal targets borrowers with income below 60% of the MSA median family income and borrowers with income below 80% of the MSA median family income in a census tract that has a median family income less than or equal to 80% of the MSA median family income.
Figure 4: Falsification Exercise: Discontinuity in GSE-Eligible Originations at GSE and non-GSE Cutoffs
| Cutoff | Coefficient | +2 Standard Errors | -2 Standard Errors |
|---|---|---|---|
| 0.75 | 0.0002 | 0.0370 | -0.0365 |
| 0.76 | -0.0008 | 0.0313 | -0.0328 |
| 0.77 | -0.0134 | 0.0209 | -0.0477 |
| 0.78 | 0.0025 | 0.0360 | -0.0309 |
| 0.79 | -0.0085 | 0.0247 | -0.0418 |
| 0.80 | 0.0054 | 0.0354 | -0.0245 |
| 0.81 | 0.0278 | 0.0581 | -0.0025 |
| 0.82 | 0.0048 | 0.0384 | -0.0287 |
| 0.83 | -0.0175 | 0.0091 | -0.0440 |
| 0.84 | -0.0111 | 0.0184 | -0.0405 |
| 0.85 | -0.0090 | 0.0202 | -0.0381 |
| 0.86 | 0.0045 | 0.0347 | -0.0256 |
| 0.87 | -0.0021 | 0.0232 | -0.0275 |
| 0.88 | -0.0249 | 0.0073 | -0.0572 |
| 0.89 | -0.0029 | 0.0238 | -0.0295 |
| 0.90 | 0.0274 | 0.0526 | 0.0022 |
| 0.91 | 0.0259 | 0.0508 | 0.0009 |
| 0.92 | -0.0002 | 0.0291 | -0.0295 |
| 0.93 | -0.0211 | 0.0051 | -0.0473 |
| 0.94 | -0.0203 | 0.0064 | -0.0471 |
| 0.95 | -0.0031 | 0.0219 | -0.0281 |
| 0.96 | 0.0078 | 0.0325 | -0.0170 |
| 0.97 | 0.0156 | 0.0400 | -0.0088 |
| 0.98 | -0.0006 | 0.0222 | -0.0233 |
| 0.99 | 0.0041 | 0.0291 | -0.0209 |
| 1.00 | 0.0028 | 0.0264 | -0.0208 |
| 1.01 | 0.0059 | 0.0304 | -0.0187 |
| 1.02 | 0.0233 | 0.0476 | -0.0011 |
| 1.03 | -0.0114 | 0.0117 | -0.0346 |
| 1.04 | -0.0057 | 0.0210 | -0.0323 |
| 1.05 | -0.0046 | 0.0204 | -0.0295 |
Notes: Each point represents the estimated discontinuity in (log) number of GSE-eligible originations in a tract between 1997 and 2002 from a seperate regression. Each regression includes tract covariates and scale variables and MSA-fixed effects, and bandwidth (h) is set to 0.02. Standard errors are clustered at MSA-level.
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