Professor Huyen Nguyen, PhD

Professor Huyen Nguyen, PhD
Current Position

since 1/20

Head of the Research Group Risk Shifting in Financial Markets and Sustainable Finance

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

  • housing markets
  • sustainable finance
  • empirical banking
  • financial economics

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 housing markets, sustainable finance, empirical banking, 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
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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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Climate Stress Tests, Bank Lending, and the Transition to the Carbon-neutral Economy

Larissa Fuchs Huyen Nguyen Trang Nguyen Klaus Schaeck

in: IWH Discussion Papers, No. 9, 2024

Abstract

Does banking supervision affect borrowers‘ transition to the carbon-neutral economy? We use a unique identification strategy that combines the French bank climate pilot exercise with borrowers‘ carbon emissions to present two novel findings. First, climate stress tests actively facilitate borrowers‘ transition to a low-carbon economy through a lending channel. Stress-tested banks increase loan volumes but simultaneously charge higher interest rates for brown borrowers. Second, additional lending is associated with some improvements in environmental performance. While borrowers commit more to reduce carbon emissions and are more likely to evaluate environmental effects of their projects, they neither reduce direct carbon emissions, nor terminate relationships with environmentally unfriendly suppliers. Our findings establish a causal link between bank climate stress tests and borrowers‘ reductions in transition risk.

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Climate Stress Tests, Bank Lending, and the Transition to the Carbon-Neutral Economy

Larissa Fuchs Huyen Nguyen Trang Nguyen Klaus Schaeck

in: SSRN Working Papers, No. 4427729, 2023

Abstract

Does banking supervision affect borrowers’ transition to the carbon-neutral economy? We use a unique identification strategy that combines the French bank climate pilot exercise with borrowers’ carbon emissions to present two novel findings. First, climate stress tests actively facilitate borrowers’ transition to a low-carbon economy through a lending channel. Stress-tested banks increase loan volumes but simultaneously charge higher interest rates for brown borrowers. Second, additional lending is associated with some improvements in environmental performance. While borrowers commit more to reduce carbon emissions and are more likely to evaluate environmental effects of their projects, they neither reduce direct carbon emissions, nor terminate relationships with environmentally unfriendly suppliers. Our findings establish a causal link between bank climate stress tests and borrowers’ reductions in transition risk.

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Carbon Transition Risk and Corporate Loan Securitization

Isabella Müller Huyen Nguyen Trang Nguyen

in: IWH Discussion Papers, No. 22, 2022

Abstract

We examine how banks manage carbon transition risk by selling loans given to polluting borrowers to less regulated shadow banks in securitization markets. Exploiting the election of Donald Trump as an exogenous shock that reduces carbon risk, we find that banks’ securitization decisions are sensitive to borrowers’ carbon footprints. Banks are more likely to securitize brown loans when carbon risk is high but swiftly change to keep these loans on their balance sheets when carbon risk is reduced after Trump’s election. Importantly, securitization enables banks to offer lower interest rates to polluting borrowers but does not affect the supply of green loans. Our findings are more pronounced among domestic banks and banks that do not display green lending preferences. We discuss how securitization can weaken the effectiveness of bank climate policies through reducing banks’ incentives to price carbon risk.

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