Here are the model results for the economic indicators when modeled against commercial banks, saving institutions, credit unions, government sponsored, agency and government sponsored, asset backed, finance corporations, non-agency MBS, and total U.S. government MBS mortgages.
Foreclosure Rate
R2 0.99
Adjusted R2 0.98
SE 0.087
Term Coefficient 95% CI SE t statistic DF p
Intercept 0.8404 -0.4088 to 2.0896 0.55222 1.52 9 0.1624
Commercial Banking -0.001989 -0.004591 to 0.000613 0.0011501 -1.73 9 0.1178
Savings Institutions 0.0006746 -0.0014666 to 0.0028159 0.00094655 0.71 9 0.4941
Credit Unions 0.009413 -0.008600 to 0.027427 0.0079630 1.18 9 0.2674
Government sponsored -0.0006434 -0.0022507 to 0.0009639 0.00071051 -0.91 9 0.3888
Agency and Government Sponsored 0.0003073 -0.0006934 to 0.0013079 0.00044233 0.69 9 0.5048
Asset Backed 0.001188 -0.000392 to 0.002768 0.0006984 1.70 9 0.1231
Finance Corporation -0.0007006 -0.0031269 to 0.0017257 0.00107256 -0.65 9 0.5299
Non Agency MBS (B) -0.001926 -0.003387 to -0.000465 0.0006458 -2.98 9 0.0154
Total U.S. Gov MBS (B) 0.0004141 0.0000832 to 0.0007451 0.00014629 2.83 9 0.0197
Home Ownership Rate
R2 0.96
Adjusted R2 0.93
SE 0.5043
Term Coefficient 95% CI SE t statistic DF p
Intercept 57.73 53.61 to 61.85 1.850 31.20 10 <0.0001
Commercial Banking 0.000874 -0.013267 to 0.015015 0.0063465 0.14 10 0.8932
Savings Institutions 0.005253 -0.001309 to 0.011815 0.0029451 1.78 10 0.1048
Credit Unions -0.04506 -0.10476 to 0.01464 0.026793 -1.68 10 0.1235
Government sponsored 0.0001896 -0.0080783 to 0.0084576 0.00371069 0.05 10 0.9602
Agency and Government Sponsored 0.004247 0.000013 to 0.008480 0.0019002 2.23 10 0.0494
Asset Backed -0.001434 -0.006488 to 0.003621 0.0022685 -0.63 10 0.5416
Finance Corporation 0.004906 -0.008873 to 0.018685 0.0061841 0.79 10 0.4460
Non Agency MBS (B) 0.001022 -0.004012 to 0.006056 0.0022593 0.45 10 0.6606
Total U.S. Gov MBS (B) -0.001057 -0.002855 to 0.000740 0.0008066 -1.31 10 0.2192
Home Vacancy Rate
R2 0.98
Adjusted R2 0.96
SE 0.0846
Term Coefficient 95% CI SE t statistic DF p
Intercept 1.161 0.470 to 1.853 0.3103 3.74 10 0.0038
Commercial Banking 0.001398 -0.000973 to 0.003770 0.0010643 1.31 10 0.2183
Savings Institutions 0.00136 0.00026 to 0.00246 0.000494 2.75 10 0.0204
Credit Unions 0.001868 -0.008143 to 0.011879 0.0044930 0.42 10 0.6863
Government sponsored -0.001912 -0.003298 to -0.000525 0.0006223 -3.07 10 0.0118
Agency and Government Sponsored -0.0006303 -0.0013403 to 0.0000797 0.00031864 -1.98 10 0.0761
Asset Backed 0.0006792 -0.0001684 to 0.0015268 0.00038041 1.79 10 0.1045
Finance Corporation -0.002279 -0.004590 to 0.000032 0.0010370 -2.20 10 0.0527
Non Agency MBS (B) -0.0009889 -0.0018330 to -0.0001447 0.00037887 -2.61 10 0.0260
Total U.S. Gov MBS (B) 0.0005488 0.0002475 to 0.0008502 0.00013525 4.06 10 0.0023
Mortgage Delinquency Rate
R2 0.93
Adjusted R2 0.87
SE 0.239
Term Coefficient 95% CI SE t statistic DF p
Intercept 3.886 0.459 to 7.313 1.5147 2.57 9 0.0304
Commercial Banking -0.003408 -0.010544 to 0.003729 0.0031548 -1.08 9 0.3082
Savings Institutions 0.003294 -0.002580 to 0.009167 0.0025964 1.27 9 0.2364
Credit Unions 0.007254 -0.042158 to 0.056665 0.0218426 0.33 9 0.7474
Government sponsored -0.002348 -0.006757 to 0.002061 0.0019489 -1.20 9 0.2590
Agency and Government Sponsored 6.1360E-05 -2.6834E-03 to 2.8061E-03 1.2133E-003 0.05 9 0.9608
Asset Backed 0.002569 -0.001765 to 0.006903 0.0019158 1.34 9 0.2128
Finance Corporation 0.002907 -0.003748 to 0.009563 0.0029420 0.99 9 0.3489
Non Agency MBS (B) -0.004429 -0.008436 to -0.000421 0.0017715 -2.50 9 0.0339
Total U.S. Gov MBS (B) 0.001141 0.000233 to 0.002049 0.0004013 2.84 9 0.0193
These are strong predictions models with high R² values and they are consistent with the results in Part I of this blog. The strongest correlation exists between Non Agency MBS and Total U.S. Gov. MBS with the economic indicators. While Non Agency MBS works to drive down foreclosure rates, home vacancy rates, delinquency rates, and increase home ownership rates; Total U.S. Gov. MBS works to do the opposite. This would lead me to believe that toxic mortgage assets from the government were the prime culprit in the meltdown and not so much those toxic assets from the private sector. In these economic indicator models savings institutions and credit union mortgages had a positive effect on economic variables; whereas commercial banking and finance corporations were mostly negative. The results for government sponsored and agency and government sponsored mortgages were mixed (in some cases improved and in other cases decreased results) on the economic indicators.
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