conventional commitment mortgage coupon rates in terms of current and lagged values of this perfect-market coupon rate. Finally, we …

This paper analyzes the performance of the commercial mortgage-backed security (CMBS) market before and during the … mortgage market) the loans underlying CMBS did not significantly change their characteristics during this period, commercial …

credit scores, in contrast to the low income population targeted by subprime mortgages. Complex mortgage borrowers have … significantly higher delinquency rates than traditional mortgage borrowers even after controlling for leverage, payment resets, and …

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 …

This paper explores the practice of mortgage refinancing in a dynamic competitive lending model with risky borrowers … prevents the mortgage pools from becoming disproportionately composed of the riskiest borrowers over time. Mortgages with … prepayment penalties allow lenders to lower mortgage rates and extend credit to the least creditworthy, with the largest benefits …

We derive the first closed-form optimal mortgage refinancing rule. The expression is derived by using the Lambert …-W function to solve a tractable class of mortgage refinancing problems. We calibrate our solution and show that our quantitative …

We study the optimal recursive refinancing problem where a borrower minimizes his lifetime mortgage costs by repeatedly … results in prepayment being delayed significantly relative to traditional models. Furthermore, mortgage values can exceed par … by much more than the cost of refinancing. Applying the recursive model to an extensive sample of mortgage …

The prepayment behavior of home mortgage borrowers has been widely observed to be inconsistent with behavior implied by … classical option theory. A substantial literature has emerged examining the problem, focusing on the characteristics of the … mortgage and on the historic path of interest rates in attempting to explain the anomaly. This paper offers contributions to …

allow households to select the optimal LTV and mortgage type (adjustable or fixed-rate with Federal Housing Administration …