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
- 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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Regulating Zombie Mortgages

Jonathan Lee Duc Duy Nguyen Huyen Nguyen

in: IWH Discussion Papers, No. 16, 2024

Abstract

Using the adoption of Zombie Property Law (ZL) across several US states, we show that increased lender accountability in the foreclosure process affects mortgage lending decisions and standards. Difference-in-differences estimations using a state border design show that ZL incentivizes lenders to screen mortgage applications more carefully: they deny more applications and impose higher interest rates on originated loans, especially risky loans. In turn, these loans exhibit higher ex-post performance. ZL also affects lender behavior after borrowers become distressed, causing them to strategically keep delinquent mortgages alive. Our findings inform the debate on policy responses to foreclosure crises.

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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

We ask if bank supervisors’ efforts to combat climate change affect banks’ lending and their borrowers’ transition to the carbon-neutral economy. Combining information from the French supervisory agency’s climate pilot exercise with borrowers’ emission data, we first show that banks that participate in the exercise increase lending to high-carbon emitters but simultaneously charge higher interest rates. Second, participating banks collect new information about climate risks, and boost lending for green purposes. Third, receiving credit from a participating bank facilitates borrowers’ efforts to improve environmental performance. Our findings establish a hitherto undocumented link between banking supervision and the transition to net-zero.

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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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