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 …

depression, this paper embeds a trade-off theory of capital structure into a real business cycle model with a small, time …

Empirical models of mortgage default typically find that the influence of unemployment is negligible compared to other … well known risk factors such as high borrower leverage or low borrower FICO scores. This is at odds with theory, which … assigns a critical role to unemployment status in the decision to stop payment on a mortgage. We help reconcile this …

In this paper we examine the relationship between homeowners' bankruptcy decisions and their mortgage default decisions … and the relationship between homeowners' bankruptcy decisions and lenders' decisions to foreclose. In theory, both …

unique design reflecting the subprime mortgage design. Subprime securitization tranches were often sold to CDOs, which were …

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

Sponsored Enterprises (such as Fannie Mae and Freddy Mac) in the mortgage market. In order to do so we construct a model with … heterogeneous, infinitely lived households and competitive housing and mortgage markets. Households have the option to default on … provided and tax-financed mortgage interest rate subsidy. We find that eliminating this subsidy leads to substantially lower …

Surprisingly little is known about the importance of mortgage payment size for default, as efforts to measure the …