Shiller, Robert J.; Wojakowski, Rafal M.; Ebrahim, M. Shahid - Cowles Foundation for Research in Economics, Yale University - 2011
This paper models Continuous Workout Mortgages (CWMs) in an economic environment with refinancings and prepayments by employing a market-observable variable such as the house price index of the pertaining locality. Our main results include: (a) explicit modelling of repayment and interest-only...