Finance and Economics Discussion Series: Data for paper 2014-91 ♣

# The ins and outs of mortgage debt during the housing boom and bust

Neil Bhutta

#### Figure 1: Stock of mortgage debt over time ($ billions real)

Year | Total mortgage debt outstanding
--- | ---
1999 | 4.76
2000 | 5.12
2001 | 5.61
2002 | 6.26
2003 | 7.00
2004 | 7.98
2005 | 8.75
2006 | 9.79
2007 | 10.52
2008 | 10.77
2009 | 10.35
2010 | 9.82
2011 | 9.30
2012 | 8.80
2013 | 8.54

This graph shows the stock of mortgage each year (in 2013q3 dollars) as of the end of the 3rd quarter since 1999 as estimated from a five percent sample of the CCP. Joint mortgages are assumed to be held by two borrowers and are weighted at one-half to avoid double-counting their balances.

Return to Figure 1

#### Appendix figure 1: Alternative measures of stock of mortgage debt

Year | Total mortgage debt outstanding (CCP) | Total mortgage debt outstanding (Flow of Funds)
--- | --- | ---
1999 | 4.76 | 5.88
2000 | 5.12 | 6.23
2001 | 5.61 | 6.78
2002 | 6.26 | 7.44
2003 | 7.00 | 8.38
2004 | 7.98 | 9.22
2005 | 8.75 | 10.17
2006 | 9.79 | 11.26
2007 | 10.52 | 11.73
2008 | 10.77 | 11.72
2009 | 10.35 | 11.38
2010 | 9.82 | 10.86
2011 | 9.30 | 10.21
2012 | 8.80 | 9.82
2013 | 8.54 | 9.61

This graph shows the stock of mortgage each year as of the end of the 3rd quarter since 1999 as estimated from a five percent sample of the CCP alongside data on household mortgage debt from the Federal Reserve Flow of Funds. Mortgage debt estimated from the CCP is adjusted to avoid double-counting balances of jointly-held mortgages. The two series are somewhat different in their levels but they move over time in parallel.

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#### Figure 2: Inflows and outflows ($ billions real)

| 1999-01 | 2001-03 | 2003-05 | 2005-07 | 2007-09 | 2009-11 | 2011-13
--- | --- | --- | --- | --- | --- | --- | ---
Entrant inflows | 1.348 | 1.657 | 1.831 | 1.753 | 1.087 | 0.812 | 0.825
Increaser inflows | 0.605 | 1.084 | 1.468 | 1.692 | 0.866 | 0.491 | 0.497
Exiter outflows | -0.612 | -0.851 | -0.846 | -0.827 | -1.103 | -1.158 | -1.018
Decreaser outflows | -0.487 | -0.504 | -0.696 | -0.850 | -1.013 | -1.186 | -1.070

The top panel shows mortgage inflows and outflows over seven two-year periods spanning 1999q3 to 2013q3 adjusted to 2013q3 dollars estimated from a five percent sample of the CCP. Inflows reflect the aggregate change in mortgage debt across consumers who increased their mortgage debt in a given period with "entrants" starting the period with no mortgage debt (including those who did not have a credit record at the start of the period). Outflows reflect the aggregate change across those who decreased their mortgage debt in a given period with "exiters" ending the period with no mortgage debt (including those who disappear from the credit record system). The bottom panel shows the number of consumers in each flow group. For jointly-held mortgages there is more than one consumer (usually two); dollar inflows and outflows are adjusted to avoid double-counting balances from joint mortgages by giving such mortgages a weight of one-half.

Return to Figure 2

#### Appendix Figure 2: Growth in household mortgage debt

Year | ln(Real household mortgage debt) | Trendline for ln(real household mortgage debt) | Average annual rate of growth in real household mortgage debt over rolling eight-year periods |
--- | --- | --- | --- | ---
1945 | 5.49 | 6.03 |  |
1946 | 5.62 | 6.08 |  |
1947 | 5.69 | 6.14 |  |
1948 | 5.78 | 6.19 |  |
1949 | 5.91 | 6.24 |  |
1950 | 6.08 | 6.29 |  |
1951 | 6.14 | 6.34 |  |
1952 | 6.24 | 6.39 |  |
1953 | 6.36 | 6.45 | 0.114 |
1954 | 6.48 | 6.50 | 0.114 |
1955 | 6.64 | 6.55 | 0.126 |
1956 | 6.74 | 6.60 | 0.128 |
1957 | 6.79 | 6.65 | 0.116 |
1958 | 6.85 | 6.70 | 0.101 |
1959 | 6.95 | 6.76 | 0.106 |
1960 | 7.01 | 6.81 | 0.101 |
1961 | 7.09 | 6.86 | 0.096 |
1962 | 7.17 | 6.91 | 0.090 |
1963 | 7.25 | 6.96 | 0.079 |
1964 | 7.33 | 7.01 | 0.076 |
1965 | 7.39 | 7.06 | 0.078 |
1966 | 7.42 | 7.12 | 0.074 |
1967 | 7.45 | 7.17 | 0.064 |
1968 | 7.47 | 7.22 | 0.059 |
1969 | 7.48 | 7.27 | 0.050 |
1970 | 7.45 | 7.32 | 0.036 |
1971 | 7.48 | 7.37 | 0.030 |
1972 | 7.56 | 7.43 | 0.029 |
1973 | 7.60 | 7.48 | 0.027 |
1974 | 7.59 | 7.53 | 0.021 |
1975 | 7.59 | 7.58 | 0.019 |
1976 | 7.66 | 7.63 | 0.023 |
1977 | 7.75 | 7.68 | 0.034 |
1978 | 7.84 | 7.74 | 0.050 |
1979 | 7.88 | 7.79 | 0.051 |
1980 | 7.87 | 7.84 | 0.040 |
1981 | 7.85 | 7.89 | 0.031 |
1982 | 7.82 | 7.94 | 0.029 |
1983 | 7.87 | 7.99 | 0.035 |
1984 | 7.93 | 8.05 | 0.035 |
1985 | 8.05 | 8.10 | 0.039 |
1986 | 8.16 | 8.15 | 0.041 |
1987 | 8.23 | 8.20 | 0.044 |
1988 | 8.31 | 8.25 | 0.056 |
1989 | 8.35 | 8.30 | 0.065 |
1990 | 8.40 | 8.35 | 0.075 |
1991 | 8.43 | 8.41 | 0.072 |
1992 | 8.46 | 8.46 | 0.068 |
1993 | 8.48 | 8.51 | 0.055 |
1994 | 8.51 | 8.56 | 0.045 |
1995 | 8.53 | 8.61 | 0.039 |
1996 | 8.57 | 8.66 | 0.033 |
1997 | 8.60 | 8.72 | 0.032 |
1998 | 8.66 | 8.77 | 0.034 |
1999 | 8.73 | 8.82 | 0.039 |
2000 | 8.78 | 8.87 | 0.041 |
2001 | 8.85 | 8.92 | 0.047 |
2002 | 8.96 | 8.97 | 0.058 |
2003 | 9.08 | 9.03 | 0.070 |
2004 | 9.18 | 9.08 | 0.080 |
2005 | 9.27 | 9.13 | 0.087 |
2006 | 9.35 | 9.18 | 0.089 |
2007 | 9.39 | 9.23 | 0.085 |
2008 | 9.35 | 9.28 | 0.073 |
2009 | 9.33 | 9.34 | 0.062 |
2010 | 9.27 | 9.39 | 0.039 |
2011 | 9.21 | 9.44 | 0.017 |
2012 | 9.17 | 9.49 | -0.001 |
2013 | 9.15 | 9.54 | -0.015 |

Top panel shows the natural log of real total household mortgage debt (in billions) since 1945 using data from the Federal Reserve's Flow of Funds along with a trendline. The bottom panel shows the average annual rate of growth over rolling eight year periods and reveals that growth from 1999-2007 was higher than at any other time since the early 1960's while the current growth rate is weaker than at any other time.

Return to Figure a2

#### Figure 3: Inflows and outflows as a fraction of initial stock of mortgage debt ($ billions real)

| 1999-01 | 2001-03 | 2003-05 | 2005-07 | 2007-09 | 2009-11 | 2011-13
--- | --- | --- | --- | --- | --- | --- | ---
Inflows | 0.411 | 0.489 | 0.472 | 0.394 | 0.186 | 0.126 | 0.142
Outflows | -0.231 | -0.242 | -0.221 | -0.192 | -0.201 | -0.226 | -0.224

The figure shows mortgage inflows and outflows over seven two-year periods spanning 1999q3 to 2013q3 estimated from a five percent sample of the CCP as a fraction of mortgage debt outstanding at the beginning of each two-year period. Inflows reflect the aggregate change in mortgage debt across consumers who increased their mortgage debt in a given period; outflows reflect the aggregate change across those who decreased their mortgage debt in a given period.

Return to Figure 3

#### Figure 4: Decomposition of inflows and outflows

| 1999-01 | 2001-03 | 2003-05 | 2005-07 | 2007-09 | 2009-11 | 2011-13 |
--- | --- | --- | --- | --- | --- | --- | --- | ---
Entrants - low score first-time borrowers | 0.360 | 0.424 | 0.483 | 0.503 | 0.225 | 0.150 | 0.145 |
Entrants - high score first-time borrowers | 0.266 | 0.393 | 0.449 | 0.422 | 0.300 | 0.285 | 0.293 |
Entrants - low score not-first-time borrowers | 0.356 | 0.320 | 0.325 | 0.347 | 0.221 | 0.112 | 0.120 |
Entrants - high score not-first-time borrowers | 0.366 | 0.521 | 0.575 | 0.482 | 0.341 | 0.265 | 0.267 |
Increasers - investors | 0.250 | 0.394 | 0.646 | 0.886 | 0.424 | 0.225 | 0.234 |
Increasers - others | 0.355 | 0.690 | 0.822 | 0.806 | 0.442 | 0.266 | 0.263 |
Exiters - Had mortgage default (90+) in period | -0.075 | -0.114 | -0.135 | -0.154 | -0.481 | -0.689 | -0.468 |
Exiters - others | -0.538 | -0.737 | -0.711 | -0.673 | -0.622 | -0.469 | -0.550 |
Decreasers - investor with mortgage default in period | -0.011 | -0.014 | -0.016 | -0.026 | -0.188 | -0.212 | -0.126 |
Decreasers - others | -0.476 | -0.490 | -0.680 | -0.823 | -0.826 | -0.974 | -0.944 |

Top and bottom panels show mortgage inflows and outflows decomposed into six and four mutually exclusive groups respectively over seven two-year periods spanning 1999q3 to 2013q3 adjusted to 2013q3 dollars estimated using a five percent sample of the CCP. Inflows reflect the aggregate change in mortgage debt across those who increased their mortgage debt in a given period while outflows reflect the aggregate change across those who decreased their mortgage debt in a given period. Investor increaser refers to those who increased debt and have at least two mortgaged properties at the end of a period; investor decreaser refers to those who reduced debt and have at least two mortgaged properties at the start of a period. Credit score refers to the Equifax risk score measured at the start of a given period. Low score is defined as under 680 and includes those without a credit score at the start of the period. Those entrants for whom first-time borrower status cannot be inferred are included in the high-score not-first-time group. Mortgage default is defined as having at least one mortgage account reported as at least 90 days past due.

Return to Figure 4

#### Figure 5: Inflow and outflow growth by state 2005-07 to 2009-11

State | Dln(inflows) 2005-07 to 2009-11 | Dln(outflows) 2005-07 to 2009-11
--- | --- | ---
FL | -1.60 | 0.57
NV | -1.48 | 0.89
AZ | -1.38 | 0.83
CA | -1.24 | 0.58
MI | -1.08 | 0.15
MD | -1.04 | 0.41
ID | -1.03 | 0.37
IL | -1.01 | 0.16
GA | -0.99 | 0.23
DE | -0.99 | 0.29
OR | -0.95 | 0.38
NY | -0.94 | 0.19
HI | -0.93 | 0.24
VA | -0.90 | 0.41
ME | -0.90 | 0.16
WA | -0.89 | 0.39
NJ | -0.88 | 0.23
RI | -0.87 | 0.20
MN | -0.85 | 0.25
NH | -0.82 | 0.30
CO | -0.81 | 0.23
NM | -0.80 | 0.17
OH | -0.78 | -0.03
DC | -0.77 | 0.21
IN | -0.71 | 0.06
SC | -0.71 | 0.13
TN | -0.71 | 0.17
CT | -0.70 | 0.18
NC | -0.70 | 0.12
MO | -0.69 | 0.11
AL | -0.69 | 0.08
MA | -0.68 | 0.14
PA | -0.66 | 0.18
UT | -0.66 | 0.30
MT | -0.66 | 0.28
WI | -0.63 | 0.10
KS | -0.62 | 0.07
MS | -0.61 | 0.06
VT | -0.61 | 0.31
AK | -0.61 | 0.12
NE | -0.55 | 0.19
KY | -0.55 | 0.08
TX | -0.55 | 0.12
SD | -0.47 | 0.16
WV | -0.46 | -0.01
AR | -0.46 | 0.08
OK | -0.46 | 0.08
IA | -0.46 | 0.19
LA | -0.46 | -0.13
WY | -0.40 | -0.04
ND | -0.40 | 0.18

Figure shows the change in (log) total mortgage inflows and the change in (log) total mortgage outflows between the two-year period just before the Great Recession (2005q3-2007q3) and the two-year period when inflows were at their lowest (2009q3-2011q3) by state estimated from a 15 percent sample of the CCP. Inflows reflect the aggregate change in mortgage debt across consumers who increased their mortgage debt in a two-year period; outflows reflect the aggregate change across those who decreased their mortgage debt in a two-year period. Inflows and outflows are assigned according to the state of residence (mailing address) of consumers reported in the CCP.

Return to Figure 5

#### Figure 6: Growth in inflows by state boom versus bust

State | Dln(inflows) 1999-01 to 2005-07 | Dln(inflows) 2005-07 to 2009-11
--- | --- | ---
HI | 1.05548 | -0.9349334
NV | 1.028276 | -1.478236
FL | 1.009903 | -1.604769
AZ | 0.9817965 | -1.384448
ND | 0.8426523 | -0.3991444
CA | 0.8369586 | -1.239395
DC | 0.8302976 | -0.7700379
MD | 0.7711807 | -1.036366
VA | 0.7358412 | -0.9012645
AK | 0.7227648 | -0.6055621
SD | 0.6800763 | -0.4700754
WA | 0.6765234 | -0.8948469
DE | 0.6559272 | -0.9876926
ME | 0.646849 | -0.8963236
NJ | 0.6312714 | -0.8832563
NY | 0.6179993 | -0.9395344
RI | 0.5982592 | -0.8694034
ID | 0.5928454 | -1.030245
MT | 0.5839844 | -0.6574814
OR | 0.5526423 | -0.9518953
NH | 0.5288741 | -0.8239583
UT | 0.5223866 | -0.659328
VT | 0.5210397 | -0.6055657
IL | 0.498215 | -1.010191
WY | 0.4853231 | -0.4008656
NM | 0.463384 | -0.7981827
MA | 0.4493971 | -0.6842061
MN | 0.4067027 | -0.8490122
CT | 0.3906783 | -0.7035123
AR | 0.3803107 | -0.4606985
TX | 0.3686002 | -0.5480837
PA | 0.3664544 | -0.6601333
GA | 0.3543023 | -0.9937776
NE | 0.3399217 | -0.5507303
WI | 0.3330417 | -0.6328012
IA | 0.3329667 | -0.4596932
MO | 0.3296559 | -0.6937863
SC | 0.318728 | -0.7095323
OK | 0.3075874 | -0.4605092
TN | 0.3026525 | -0.7064359
AL | 0.2747445 | -0.6882005
LA | 0.2383497 | -0.4591839
NC | 0.2250091 | -0.6996245
MS | 0.2003408 | -0.6063743
KS | 0.1801893 | -0.6156818
KY | 0.1718877 | -0.5493287
CO | 0.1539546 | -0.8112624
IN | 0.0420056 | -0.7137235
WV | -0.0580341 | -0.4615358
MI | -0.0696579 | -1.079569
OH | -0.1229888 | -0.7792487

The figure shows the change in (log) total mortgage inflows from 2005q3-2007q3 to 2009q3-2011q3 and from 1999q3-2001q3 to 2005q3-2007q3 by state estimated from a 15 percent sample of the CCP and shows a negative correlation between inflow growth during the housing boom and inflow contractions during the housing bust. Inflows reflect the aggregate change in mortgage debt across consumers who increased their mortgage debt in a two-year period and are assigned according to the state of residence (mailing address) of consumers reported in the CCP.

Return to Figure 6
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