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Juniorprofessorin Huyen Nguyen, Ph.D.

Juniorprofessorin Huyen Nguyen, Ph.D.
Aktuelle Position

seit 1/20

Leiterin der Forschungsgruppe Risikoverlagerung in Finanzmärkten und nachhaltige Finanzierung

Leibniz-Institut für Wirtschaftsforschung Halle (IWH)

seit 10/19

Juniorprofessorin

Friedrich-Schiller-Universität, Jena

seit 10/19

Mitglied der Abteilung Finanzmärkte

Leibniz-Institut für Wirtschaftsforschung Halle (IWH)

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Forschungsschwerpunkte
  • Wohnungsmärkte
  • nachhaltige Finanzierung
  • empirische Bankenforschung
  • Finanzökonomik

Huyen Nguyen ist seit Oktober 2019 als wissenschaftliche Mitarbeiterin in der Abteilung Finanzmärkte und als Juniorprofessorin an der Friedrich-Schiller-Universität Jena tätig. Ihre Forschungsinteressen liegen in den Bereichen Wohnungsmarkt, empirische Bankenforschung, nachhaltige Finanzierung sowie Finanzökonomik.

Huyen Nguyen studierte an der Foreign Trade University of Vietnam und der Bangor University. Sie promovierte an der University of Nottingham. Bevor Huyen Nguyen zum IWH kam, war sie unter anderem als Senior Research Associate an der University of Bristol tätig und besuchte als Gastwissenschaftlerin die Bank of England, die Deutsche Bundesbank und den Internationalen Währungsfonds.

Ihr Kontakt

Juniorprofessorin Huyen Nguyen, Ph.D.
Juniorprofessorin Huyen Nguyen, Ph.D.
- Abteilung Finanzmärkte
Nachricht senden +49 345 7753-756 Persönliche Seite LinkedIn Profil

Publikationen

Zitationen
35

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To Securitize or To Price Credit Risk?

Danny McGowan Huyen Nguyen

in: Journal of Financial and Quantitative Analysis, im Erscheinen

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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Deposit Competition and Mortgage Securitization

Danny McGowan Huyen Nguyen Klaus Schaeck

in: Journal of Money, Credit and Banking, im Erscheinen

Abstract

<p>We study how deposit competition affects a bank's decision to securitize mortgages. Exploiting the state-specific removal of deposit market caps across the U.S. as a source of competition, we find a 7.1 percentage point increase in the probability that banks securitize mortgage loans. This result is driven by an 11 basis point increase in deposit costs and corresponding reductions in banks' deposit holdings. Our results are strongest among banks that rely more on deposit funding. These findings highlight a hitherto undocumented and unintended regulatory cause that motivates banks to adopt the originate-to-distribute model.</p>

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Arbeitspapiere

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Environmental Incidents and Sustainability Pricing

Huyen Nguyen Sochima Uzonwanne

in: IWH Discussion Papers, Nr. 17, 2024

Abstract

<p>We investigate whether lenders employ sustainability pricing provisions to manage borrowers’ environmental risk. Using unexpected negative environmental incidents of borrowers as exogenous shocks that reveal information on environmental risk, we find that lenders manage borrowers’ environmental risk by conventional tools such as imposing higher interest rates, utilizing financial and net worth covenants, showing reluctance to refinance, and demanding increased collateral. In contrast, the inclusion of sustainability pricing provisions in loan agreements for high environmental risk borrowers is reduced by 11 percentage points. Our study suggests that sustainability pricing provisions may not primarily serve as risk management tools but rather as instruments to attract demand from institutional investors and facilitate secondary market transactions.</p>

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Regulating Zombie Mortgages

Jonathan Lee Duc Duy Nguyen Huyen Nguyen

in: IWH Discussion Papers, Nr. 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, Nr. 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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Themen

Finanzstabilität Finanzinstitutionen Immobilien Evaluierung von Politikmaßnahmen Regulierung
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