Research and Analysis

Contents

  1. 1 Research
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Here is a listing of various works.  Some entries have a synopsis, presentation information, popular news coverage, or awards. 

Research

  1. Alexander N. Bogin, William M. Doerner & William D. Larson. (2016). "Missing the Mark: House Price Index Accuracy and Mortgage Credit Modeling." FHFA Working Paper 16-04.
    • Synopsis: We make two contributions to the study of house price index and mortgage credit modeling accuracy. First, we assess the predictive power of house price indices calculated at different levels of geographic aggregation.  Lower levels of aggregation offer superior fit when appreciation rates vary substantially across submarkets and the indices are based on a sufficient number of transactions. Second, we estimate a competing options credit model using 15 years of mortgage performance data in the United States. Model accuracy is highest when using indices at a city or lower level of aggregation to construct current loan-to-value ratios. Fit is weaker when using state or national price indices. Overall, this research highlights the benefits of using more localized house price indices when predicting property values and mortgage performance.
    • Presented: American Real Estate Society (2016, Denver, CO), American Real Estate and Urban Economics (2016, Washington, DC).
    • Recognition: Awarded the best paper in 2016 in real estate market analysis by the American Real Estate Society.
  2. Alexander N. Bogin, William M. Doerner & William D. Larson. (2016). "Local House Price Growth Accelerations." FHFA Working Paper 16-02.
    • Synopsis: We document real house price growth accelerations in U.S. ZIP codes between 1975 and 2015. Acceleration episodes, which are defined to include relatively extreme periods of price growth, tend to exhibit temporal clustering and occur with greater frequency in large versus small cities. We exploit within-city variation in price dynamics to provide evidence that growth accelerations initially overshoot sustainable price levels but, in some areas, may reflect positive underlying economic fundamentals. Price levels post-acceleration are most sustainable in large cities, especially near city centers. Dynamics are generally consistent with empirical mean-reversion models and theories regarding the effects of traffic congestion and the elasticity of housing supply on house price gradients within the city.
  3. Alexander N. Bogin, Nataliya Polkovnichenko & William M. Doerner. (2016). "Overlooked Market Risk Shocks: Prepayment Uncertainty and Option-Adjusted Spreads." Journal of Fixed Income, accepted. 
    • Earlier version: FHFA WP 15-3 (July 2015).
    • Synopsis: Assessments of market risk for economic or regulatory capital typically involve calculating a portfolio’s sensitivity to key risk factor movements. In this article, the authors describe how to generate shocks to prepayment rates and mortgage security option-adjusted spreads conditional on a corresponding set of interest rate shocks. By using historical performance data from multiple model vendors, they show that prepayment rate shocks capture model misspecification but potentially fail to account for other important sources of model error.  Mortgage security OAS serves as a broader measure of model error, encompassing both model misspecification and forecasting errors, as well as credit and liquidity risk.  While sometimes overlooked, alternative risk factors, like prepayment and OAS shocks, can have a pronounced effect on the valuation of institutional portfolios with mortgage securities.
  4. Alexander N. Bogin, William M. Doerner & William D. Larson. (2016). "Local House Price Dynamics: New Indices and Stylized Facts." FHFA Working Paper 16-01.
    • Synopsis: We construct the first large-scale panel of annual house price indices for cities, counties, 3-digit ZIP codes, and 5-digit ZIP codes in the United States from 1975 through 2015 using source data with nearly 100 million transactions. Appreciation rates decrease with distance from the central business district (CBD) in large cities, suggesting an overall increase in the desirability of housing units in CBD locations and a general steepening of the house price gradient. Real house prices are more likely to be non-stationary near the CBD than in the suburbs, a finding consistent with a higher elasticity of housing supply near the edge of the city. Sustained real price increases and high price volatility near the centers of large cities suggest a lower supply elasticity in these locations.
    • Presented: American Real Estate Society (2016, Denver, CO), Department of Housing and Urban Development (2016, Washington, DC).
    • Coverage: New York Times (article), Washington Post (article), Chicago Tribune (article), NBC News (article), The M Report (article), Consumerist (article), Keene Sentinel (article), City Observatory (article), St. Louis Post-Dispatch (article).
  5. Alexander N. Bogin, Stephen D. Bruestle & William M. Doerner. (2015). "How Low Can House Prices Go? Estimating a Conservative Lower Bound." Journal of Real Estate Finance and Economics, accepted.
    • Earlier versions: Final submission, FHFA WP 15-1 (May 2015).
    • Synopsis: When stress testing the credit risk associated with mortgage assets, losses are affected by how far house prices are above trend and the extent to which they can fall.  Focusing on the latter, we develop a conservative lower bound (CLB) for house prices.  The CLB is attractive because it (1) provides a leading indicator of the severity of future downturns and (2) allows trough estimates to recover dynamically as markets return to baseline conditions (which contrasts with static stress paths currently used by regulators).  The technique seldom understates the depth of housing downturns---even over a variety of market environments and cycles.
    • Presented: American Real Estate and Urban Economics Association (2015, Washington, DC); American Real Estate Society (2015, Ft. Myers, FL); Federal Reserve Bank of Richmond (2014, Richmond, VA).
    • Coverage: Calculated Risk, HousingWire, Inside Mortgage Finance, RealtyTrac.
    1. Recognition: Awarded the best paper in 2015 in real estate cycles by the American Real Estate Society.
  6. William M. Doerner & Andrew V. Leventis. (2015). "Distressed Sales and the FHFA House Price Index." Journal of Housing Research, 24(2), 127-146.
    • Earlier versions: Final submissionFHFA WP 13-1 (August 2013).
    • Synopsis: Trends in residential house values can be expressed by changes in House Price Indexes (HPIs).  Since the recent housing crash, distressed sales have increased in numbers and have led to concerns about how they affect HPIs. The paper has three parts. First, FHFA's standard HPIs are compared to HPIs constructed without distressed sales.  Second, FHFA's identification of distressed sales is validated against a public data source. Third, the distressed sale discount is shown to vary across time and place. The magnitude of the discount also depends on whether the current or prior recent sales are distressed.
    • Presented: American Real Estate Society (2013, Kohala Coast, HI).
    • Coverage: WSJ (blog), Appraisal Institute (article), HousingWire, Mortgage Bankers Association (article), Mortgage News Daily (article), Mortgage Orb.
    • Recognition: Lead article.
  7. William M. Doerner & Keith R. Ihlanfeldt. (2015). "The Role of Representative Agents in the Property Tax Appeals Process.National Tax Journal, 68(1).
    • Synopsis: Property tax appeals provide property owners with a mechanism to challenge their assessments and reduce their property tax bill. Appeals are frequently filed not by the homeowner but by a tax representative who often works on their behalf for a contingency fee. Using appeals from Miami-Dade County, Florida, we find that representatives have a greater presence in higher-priced neighborhoods, which makes these homeowners more likely to appeal than those in lower-priced neighborhoods, and representatives increase the percentage reduction in assessed value, but only because they increase the likelihood that appellants show up for the appeal hearings.
    • Presented: Association for Budgeting & Financial Management (2015, Washington, D.C.)
  8. William M. Doerner & Keith R. Ihlanfeldt. (2014). "An Empirical Analysis of the Property Tax Appeals Process." Journal of Property Tax Assessment & Administration10(4).
    • Synopsis: Property tax appeals have increased dramatically at significant cost to local governments.  Little is known about whether or how well the appeals process resolves potential assessment errors.  This paper investigates the efficiency and equity of this process.  Regarding the efficiency of correcting assessment error, reductions are granted for a majority of appealing homeowners who are overassessed but also for homeowners who are not overassessed, leaving them underassessed or further underassessed.  Regarding the fairness of the appeals process, homeowners from particular neighborhoods receive assessment reductions more often.  Tax representatives play an important role in explaining the advantage enjoyed by these homeowners.
    • Presented: National Tax Association (2011, New Orleans, LA); North American Regional Science Council (2011, Miami, FL); Southern Economic Association (2011, Washington, D.C.), Washington University in St. Louis (2012).
  9. Alexander N. Bogin & William M. Doerner. (2014). "Generating Historically-Based Stress Scenarios Using Parsimonious Factorization." Journal of Risk Finance, 15(5), 591-611.
    • Earlier version: FHFA WP 13-2 (October 2013, August 2014).
    • Synopsis: We describe a robust empirical approach to generating plausible, yet stressful, historically-based interest rate shocks, which can be applied to any market environment.  These interest rate shocks can be readily linked to movements in other key risk factors, and used to measure market risk on institutions with large fixed-income portfolios. Using yield curve factorization, we parameterize a time series of historical yield curves and measure interest rate shocks as the historical change in each of the model’s factors.  We then demonstrate how to add these parameterized shocks to any market environment, while retaining positive rates and plausible credit spreads.  An accurate measure of market risk can help to inform institutions about the amount of capital needed to withstand a series of adverse market events.  A plausible set of shocks is required to ensure market value and cash flow projections are indicative of meaningful market sensitivities.
    • Coverage: Global Association of Risk Professionals (webcast) (over 2,000 registrants from 500 companies and 60 countries...5 times the industry average), Emerald (video).
    • Recognition: Awarded Outstanding Paper of 2014 by the publisher and and was the journal's most downloaded article published that year. Now serves as the journal's example article.
  10. Saty Patrabansh & William M. Doerner & Samuel Asin. (2014). "The Effects of Monetary Policy on Mortgage Rates." FHFA Working Paper 14-2.
    • Synopsis: To spur recovery following the Great Recession, the Federal Reserve first lowered short-term interest rates to near-zero and eventually embarked on several phases of large-scale asset purchases (LSAPs) to lower long-term interest rates and mortgage rates. This paper describes the evolution of the LSAP program and analyzes how interest rates and mortgage rates changed during that time. Two econometric approaches—an event study and a time series model—estimate the market response during each phase of the LSAP program and provide projections of mortgage rates under different shock assumptions. Results suggest that early tapering announcements helped reset interest rates and mortgage rates upwards and any rise in long-term interest rates resulting from unanticipated events (whether related to tapering or not) could lead to further increases in mortgage rates.
    • Coverage: ABA Banking Journal, Inside Mortgage Finance, SNL.
  11. William M. Doerner & William G. Doerner. (2013). "Collective Bargaining and Job Benefits in Florida Municipal Police Agencies, 2000-2009." American Journal of Criminal Justice, 38(4), 657-677.
    • Synopsis: Union activity in the law enforcement sector has undergone radical change in little more than a decade.  We develop a theoretical framework about police labor markets and offer empirical evidence of the limited effect of unionization on salaries and other fringe benefits.
    • Presented: SCJA annual meetings (2011, Nashville, TN, coauthor); ACJS annual meeting (2012, New York City, coauthor).
  12. William M. Doerner & William G. Doerner. (2012). “Police Accreditation and Clearance Rates.” Policing: An International Journal of Police Strategies & Management, 35(1), 6-24.
    • Synopsis: Having found no significant differences between officer or institutional characteristics in our earlier accreditation paper, we investigate in this study whether professionalized departments have lower violent and property crime clearance rates.  Following random-effects Tobit analysis, the results show that accreditation does not affect clearance rates, which tend to decrease with a greater number of sworn personnel and larger law enforcement expenditures per capita.
    • Presented: Criminology and Criminal Justice Proseminar at FSU (2010, Tallahassee, FL); SCJA annual meetings (2010, Clearwater, FL, coauthor); DeVoe Moore Center State and Local Regulations seminar at FSU (2008, Tallahassee, FL).
    • Recognition: Lead article. Received Highly Commended Paper Award as one of the journal's most impressive pieces in 2012.
  13. William M. Doerner & Keith R. Ihlanfeldt. (2011). "City Government Structure: Are Some Institutions Undersupplied?Public Choice, 149(1-2), 109-132.
    • Synopsis: City councilors have a vested interest in maintaining the local government structure that got them elected. This resistance to change may result in non-optimal supplies of particular local political institutions as cities and metropolitan areas experience changes in population and diversity. Using unique data from the State of Florida, we show that there is an undersupply of cities offering larger council sizes but not the other forms of government.
    • Presented: Public Choice in a Local Government Setting Symposium by DeVoe Moore Center (2011, Tallahassee, FL), Quantitative Methods workshop at FSU (2011, Tallahassee, FL).
  14. William M. Doerner & Keith R. Ihlanfeldt. (2011). "House Prices and City Revenues." Regional Science and Urban Economics, 41(4), 332-342.
    • Synopsis: Very little is known about how the recent upward and downward swings in single-family home values have impacted local government budgets.  Using a unique 15-year panel that incorporates well over 100 million parcels, we show that cities were indeed flush with revenues, but this was not completely a result of the run-up in single-family housing values.  A number of factors contributed to the rise in per capita revenues.  Also, when house price falls, we fail to pick up any effect on revenues.
    • Presented: North American Regional Science Council Meeting (2010, Denver, CO); Federal Reserve Bank of Atlanta (2010); DeVoe Moore Center State and Local Regulations seminar at FSU (2010, Tallahassee, FL); Urban Institute, Brookings Institution, and Lincoln Institute Forum (2010, Washington, DC).
    • Coverage: Federal Reserve Bank of Atlanta (blog & podcast), Lincoln Institute of Land Policy (Land Lines magazine).
  15. William M. Doerner & William G. Doerner. (2010). "Collective Bargaining and Job Benefits: The Case of Florida Deputy Sheriffs." Police Quarterly, 13(4), 367-386.
    • Synopsis: A 2003 Florida Supreme Court case gave sheriff deputies the chance to collectively bargain. We look at the effects of unionization in a hope that it might aid federal legislation that is currently considering the same change
    • Presented:  Criminology and Criminal Justice Proseminar at FSU (2010, Tallahassee, FL); ACJS annual meeting (2010, San Diego, CA, coauthor), SCJA annual meetings (2009, Charleston, SC, coauthor), DeVoe Moore Center State and Local Regulations seminar at FSU (2008, Tallahassee, FL).
  16. William M. Doerner & William G. Doerner. (2010). "Double-Victimization.” Encyclopedia of Victimology and Crime Prevention, Thousand Oaks, CA: Sage.
    • Synopsis: An overview of how victims encounter costly punishments to reporting crimes and the disincentives for them to participate in the justice system.  Explains the evolution of social institutions that increase victim participation.
  17. William M. Doerner. (2010). "Victim-Witness Projects.” Encyclopedia of Victimology and Crime Prevention, Thousand Oaks, CA: Sage. 
    • Synopsis: A look at how the justice system has changed its treatment of victims and witnesses and how current programs can be used to encourage participation in the halls of justice.
  18. William G. Doerner & William M. Doerner. (2009). “The Diffusion of Accreditation Among Florida Police Agencies.” Policing: An International Journal of Police Strategies & Management, 32(4), 781-798.
    • Synopsis: This article examines how the adoption of state accreditation has diffused among Florida police agencies.  The findings show police professionalization does not improve individual officer characteristics nor institutional procedures within participating departments.  Even without substantive improvements, police accreditation has still become a "cottage industry" that extracts public funds and may serve as a stepping stone for the personal ambitions of administrators.  N.B.: A neat outcome is that accreditation definitely looks significant if you only compare difference-in-mean statistics and stop short of running any regression analysis.
    • Presented: Criminology and Criminal Justice Proseminar at FSU (2010 & 2009, Tallahassee, FL), ACJS annual meeting (2008, Cincinatti, OH, coauthor), SCJA annual meeting (2008, New Orleans, LA, coauthor), DeVoe Moore Center State and Local Regulations seminar at FSU (2008, Tallahassee, FL).