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

Economist in the Department of Financial Markets

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

since 10/19

Assistant Professor

Friedrich Schiller University Jena

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
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Publications

Working Papers

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Deposit Competition and the Securitisation Boom

Danny McGowan Huyen Nguyen

in: IWH Discussion Papers, No. 6, 2021

Abstract

We provide novel evidence that regulatory-induced deposit market competition provoked banks to enter the securitisation market. Exploiting the state-specific removal of interstate bank branching restrictions across U.S states between 1994 and 2006 as an exogenous source of deposit competition, we document four key results. First, the interstate branching deregulation leads to an intensification of deposit market competition. Second, this rise in the cost of deposits increases the probability that a bank operates an ‘originate-to-distribute’ model by 6%. Third, the securitisation effect holds across bank asset classes but is most pronounced for mortgages. Finally, the results are strongest among small and single state banks owing to their reliance on deposit funding. The evidence is consistent with theories where increasing the cost of deposits creates incentives for banks to use securitisation as a cheaper loan funding model. The findings highlight a hitherto neglected supply-side explanation for the rapid expansion in securitisation before the financial crisis and speak to the debate about banking competition policy.

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To Securitise or to Price Credit Default Risk?

Huyen Nguyen Danny McGowan

in: IWH Discussion Papers, No. 10, 2020

Abstract

We evaluate if lenders price or securitise mortgages to mitigate credit risk. Exploiting exogenous variation in regional credit risk created by differences in foreclosure law along US state borders, we find that financial institutions respond to the law in heterogeneous ways. In the agency market where Government Sponsored Enterprises (GSEs) provide implicit loan guarantees, lenders transfer credit risk using securitisation and do not price credit risk into mortgage contracts. In the non-agency market, where there is no such guarantee, lenders increase interest rates as they are unable to shift credit risk to loan purchasers. The results inform the debate about the design of loan guarantees, the common interest rate policy, and show that underpricing regional credit risk leads to an increase in the GSEs‘ debt holdings by $79.5 billion per annum, exposing taxpayers to preventable losses in the housing market.

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