(1) McGowan, D., & Nguyen, H. (2023). To securitize or to price credit risk? Journal of Financial and Quantitative Analysis, 58(1), 289-323.
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.
(2) McGowan, D., Nguyen, H., Schaeck, K. (2024): Deposit Competition and Mortgage Securitization, Journal of Money, Credit, and Banking (Forthcoming)
We study how deposit competition affects a bank's decision to securitize mortgages. Exploiting the state-specific removal of deposit market caps across the US 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.
(3) Mueller, I., Nguyen, H., Nguyen, T. (2025): Carbon Transition Risk and Corporate Loan Securitization. Journal of Financial Intermediation (Forthcoming)
Media coverage: Loan Securitization during the transition to a low- carbon economy, VoxEU, May 2 2023.
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 transition risk, we find that banks engage in regulatory arbitrage and use brown loan securitization to manage their exposure to carbon transition risk. Banks are more likely to securitize brown loans when carbon transition risk is high but keep these loans on their balance sheets when the risk is reduced. In addition, 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 banks with low levels of capitalization, domestic banks, and banks that do not display green lending preferences. We discuss how securitization can weaken the effectiveness of bank climate policies.
(4) Fuchs, L., Nguyen, H., Nguyen, T., Schaeck, K. (2023): Climate Stress Tests, Bank Lending, and the Transition to the Carbon-Neutral Economy. (Submitted) SSRN 4427729
Best Paper Award at the Banking Research Workshop, University of Muenster, Best Paper Award at the VSCT.
Presentation: click here
Does banking supervision affect bank borrowers’ transition to the carbon-neutral economy? We use a unique identification strategy that combines the French bank climate pilot exercise with a proxy that measures borrowers’ transition risk to present two novel findings. First, climate stress tests actively facilitate borrowers’ transition to a low-carbon economy via a lending channel. Stress tested banks increase loan volumes but simultaneously charge higher interest rates for borrowers with high-transition risk. Second, the additional lending is associated with some improvements in environmental performance. While borrowers commit more to carbon emission reduction targets 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.
(5) Lee, J, Nguyen, D.D., Nguyen, H (2023): Regulating zombie properties. (R&R Review of Finance)
Best seminar paper award, University of Magdeburg. Best paper award for female researcher, IWH.
We evaluate how zombie property law affects mortgage supply, interest rates, and the renegotiation between lenders and borrowers. Exploiting exogenous differences in zombie property law along several US state borders, we document that the law, by imposing a higher cost of post-foreclosure for lenders, causes them to reduce mortgage acceptance rates, raise interest rates, and strategically keep delinquent loans alive. The results are much stronger for non-banks due to their reliance on riskier mortgages. Our findings inform the debate on policy responses to eliminate zombie properties and enhance mortgage lending practices.
(6) Nguyen, H., Uzonwanne, S. (2024): Environmental Incidents and Sustainability Pricing Provisions. IWH Discussion Papers, No. 17, 2024
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.
(7) Cho, R., Farag, H., Görtz, C., McGowan, D., Nguyen, H., Schroeder, M. (2025): What's the Melting Pot Worth? Multiculturalism and House Prices.
Media coverage: BBC, Economics Observatory, SUERF Policy Brief
We analyze how multicultural neighborhoods influence residential property prices using plausibly exogenous variation in neighborhood composition due to British colonization of Northern Ireland during the 1600s. A standard deviation increase in multiculturalism raises house prices by 9.6\%, reflecting an increase in demand and asset liquidity. Analysis of property deeds shows that in heterogeneous markets a wider spectrum of society demands housing and there is a higher probability of inter-group matching in housing transactions. The findings and mechanism contrast sharply with prior evidence showing negative relationships due to homophily, social networks, and discrimination.
Koetter, M., Nguyen, H. (2024) European banking in transformational times: Regulation, crises, and challenges . In The Oxford Handbook of Banking, Berger A., Moyneux P., Wilson J. (eds). Oxford University Press: Oxford.
Nguyen, H., Sfrappini, E. (2024) Banking in the Age of Climate Risks. In Encyclopedia of Monetary Policy, Financial Markets and Banking. Elsevier.
Global Financial Stability Report, Anniversary Chapter, 10 years after the Financial crisis, October 2018, International Monetary Fund. (Joint with economists at the Global Stability Division, Monetary Capital Market Department, IMF)
Nguyen, H., Kick, T., Schaeck, K. (2019): Interest rate risk regulation and bank lending: A regression discontinuity approach.
2025: ASSA*, University of Augsburg, WIMFEH (Scheduled, Discussion), Responsible Finance Workshop (University of Strathclyde, scheduled), Social and Sustainable Finance JMCB Conference (Brunel University of London, scheduled).
2024: OU-RFS Climate and Energy Conference (Oklahoma), VSCT, ECB Banking Supervision and Research Conference (Frankfurt, Discussion), CERP BIS ECB Bank of Spain WE_ARE_IN Macroeconomics and Finance (Madrid), CEBRA International Finance and Monetary Economics* (Luxembourg), Bundesbank Research Seminar (Frankfurt), Central Bank of Ireland (Dublin), Women in Finance Workshop* (Warwick), IWH Transfer Conference, Brunel Banking Conference* (London), S-Hochschule* (Bonn), ACPR* (Paris), EBA* (Paris).
2023: EFI Research Network Central Bank of Belgium (Brussels), Bank of England Research Seminar (Virtual), Banking Workshop University of Muenster (Muenster, Discussion), FED Boston Stress testing conference* (Boston), ECB/IMF Conference on Macroprudential Policies (Frankfurt), SURF Virtual Seminar*, EFA (Amsterdam, Discussion); WinE EEA (Barcelona), Swiss Winter Finance Conference on Financial Intermediation (Gerzensee); ECB Banking Supervision Research Conference (Frankfurt), Swiss Society for Financial Market Research (Zürich), FINEST (Rome), WIMEFH* (Berlin); IBEFA* (San Diego), Tuebingen University Seminar* (Tuebingen); FIW-Research Conference on International Economics* (Wien).
2022: KWC SNEE Sustainable Finance (Lund, Presentation and Discussion), DGF (Marburg, Presentation and Discussion), ENRI-COMPNET (Luxembourg), IWH Brown Bag Seminar, FRBSF Climate Risk* (Virtual/ Federal Reserve Bank of San Francisco), Australasian Finance and Banking Conference* (Virtual / Sydney).
2021: WEAI (Virtual); IWH (Halle); DGF (Innsbruck, Presentation and Discussion); IFABS (Oxford); Muenster Banking Workshop.
2020: FIRS (canceled), FSU Jena (Jena), FIN-FIRE IWH (Halle); Muenster Banking Workshop.
2019: FIRS (Georgia, US); FMA Europe (Glasgow, Presentation and Discussion); FMA Asia (Ho Chi Minh); IWH Halle (Halle).
2018: Bank of England One Bank Seminar (London), IMF brown bag seminar (Washington DC); EFI Research Network* (Brussels); FINEST Spring Workshop* (Rome); Southern Finance Association* (Atlanta); IBEFA 2018 (Vancouver); FEBS 2018 (Rome); Nottingham University PhD Seminars (Nottingham); University of Birmingham Seminars* (Birmingham); University of Leeds Seminars* (Leeds).
2017: Annual Royal Economic Society Conference; Royal Economic Society Junior Symposium; Deutsche Bundesbank Seminars; Nottingham University Brown Bag Seminars; 2017 Bank Colloquium for Junior Researchers (Limoges, France); British Accounting and Finance Association (BAFA) Northern Area Group*; Groningen University Banking Seminars*.
2016: 43th Annual Conference of the European Association for Research in Industrial Economics* (Lisbon, Portugal); 6th Network of Industrial Economists (Nottingham, UK); Annual Midlands Regional Doctoral Colloquium (Aston, UK).
* denotes presentation by co-author