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 …

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

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

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 …

This paper investigates the impact of lower mortgage rates on household balance sheets and other economic outcomes … loans, which constitute the vast majority of U.S. mortgage borrowers. Relying on variation in the timing of resets of … adjustable rate mortgages, we find that a sizable decline in mortgage payments ($150 per month on average) induces a significant …

Empirical models of mortgage default typically find that the influence of unemployment is negligible compared to other … assigns a critical role to unemployment status in the decision to stop payment on a mortgage. We help reconcile this …