During the Last three years mortgage rates have risen relative to yields on comparable maturity bonds. The questions … between early 198 and early 1981 in coupon rates on GNMA mortgage pools relative to ''the" rate on a comparable portfolio of … Treasury bonds to be about 100 basis points. We attribute the increase to a rise in the terminations premia built into mortgage …

exhibits a surprising amount of time variation. A simple utility framework of mortgage choice points to the bond risk premium … confirm empirically that the bulk of the time variation in household mortgage choice can be explained by time variation in the … mortgage choice, thereby lending further credibility to a theory of strategic mortgage timing by households …

We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns in which …

We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied … actual prepayments, providing direct evidence of significant prepayment risk premia in mortgage-backed security prices. We … risk. We also find evidence that mortgage-backed security prices were significantly affected by Fannie Mae credit risk and …

In this paperwe examine the household's option to prepay or call a standard fixed-rate mortgage. Results based on … in mortgage contract design on the value of the prepayment option are encouraging. For example, our estimate of the …

economic value of these assets in savings and loan associations' portfolios varies from one form of mortgage to another. For … either of the fixed interest rate contracts, the cash flow from the mortgage is constant as long as it has not been prepaid … mortgage holders resulting from interest rate changes. Our estimate is based on a sample of 4,000 mortgages issued in …

The paper begins with the development of models explaining the mortgage refinancing and assumption decisions of … results for: (1) the impact of a decline in mortgage rates on the asset portfolio yields of mortgage lending institutions and … (2) the effect of the observed rise in interest rate volatility, including the optimal terminations response of mortgage …

This paper measures the impact of nonassumable, fixed-rate, long-term mortgage financing on household mobility and …, fixed-rate mortgage is largely responsible for bath sluggish housing demand in the l967-79 period and its surge in the 1976 … between current mortgage rates and those existing in the19705 and the resultant huge capital gains on existing mortgages does …

-to-value levels and permissive mortgage approvals. We revisit the standard user cost model of housing prices and conclude that the …