Professor Huyen Nguyen, PhD

Professor Huyen Nguyen, PhD
Current Position

since 1/20

Head of the Research Group The Financial Economics of Real Estate Markets and Regulation

Halle Institute for Economic Research (IWH) – Member of the Leibniz Association

since 10/19

Assistant Professor

Friedrich Schiller University Jena

since 10/19

Member of the Department Financial Markets

Halle Institute for Economic Research (IWH) – Member of the Leibniz Association

Research Interests

  • financial development
  • banking regulation
  • mortgage market

Huyen Nguyen is a member of the Department of Financial Markets at IWH as well as Assistant Professor of Financial Economics at Friedrich Schiller University Jena since October 2019. Her research focuses on mortgage markets, banking regulation and supervision, and financial economics.

Huyen Nguyen received her bachelor's degree from Foreign Trade University of Vietnam, her master's degree from Bangor University, and her PhD from University of Nottingham. Prior to joining IWH, Huyen Nguyen was a Senior Research Associate at the University of Bristol, as well as a visiting scholar at the Bank of England, Deutsche Bundesbank, and the International Monetary Fund.

Your contact

Professor Huyen Nguyen, PhD
Professor Huyen Nguyen, PhD
Mitglied - Department Financial Markets
Send Message +49 345 7753-756 Personal page

Publications

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To Securitize or To Price Credit Risk?

Danny McGowan Huyen Nguyen

in: Journal of Financial and Quantitative Analysis, forthcoming

Abstract

Do lenders securitize or price loans in response to credit risk? Exploiting exogenous variation in regional credit risk due to foreclosure law differences along US state borders, we find that lenders securitize mortgages that are eligible for sale to the Government Sponsored Enterprises (GSEs) rather than price regional credit risk. For non-GSE-eligible mortgages with no GSE buyback provision, lenders increase interest rates as they are unable to shift credit risk to loan purchasers. The results inform the debate surrounding the GSEs' buyback provisions, the constant interest rate policy, and show that underpricing regional credit risk increases the GSEs' debt holdings. 

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Working Papers

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Deposit Competition and Securitization

Danny McGowan Huyen Nguyen Klaus Schaeck

in: IWH Discussion Papers, No. 29, 2022

Abstract

We provide novel evidence that deposit competition incentivizes banks to securitize loans. Exploiting the state-specific removal of deposit market caps across the U.S. as an exogenous source of competition, we document a 7.1 percentage point increase in the probability that banks securitize their assets. This result is driven by an 11 basis point increase in costs of deposits and a corresponding decrease in banks’ deposit growth. Our results are strongest among small and single state incumbent banks that rely more on deposit funding. These findings highlight an unintended regulatory cause that motivates banks to adopt the originate-to-distribute model.

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The Color of Corporate Loan Securitization

Isabella Müller Huyen Nguyen Trang Nguyen

in: IWH Discussion Papers, No. 22, 2022

Abstract

We examine whether banks manage firms’ climate transition risks via corporate loan securitization. Results show that banks are more likely to securitize loans granted to firms that become more carbon-intensive. The effect is more pronounced if banks have a lower willingness to adjust loan terms. Exploiting the election of Donald Trump as an exogenous shock that lowers transition risk, we show that banks respond by a lower securitization of loans given to firms that become more carbon-intensive. This is mainly driven by banks that have no or low preferences for sustainable lending and domestic lenders.

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