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 …

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 …

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 …

panel regressions, housing credit growth is significantly affected by changes in the maximum debt-service-to-income (DSTI … DSTI ratio limit has a significant effect on housing credit growth when we use mean group and panel event study methods …

mortgage and small business lending by 23% to 60% more in areas located inside their home-representative's district than …

Utilizing new panel micro data on the ownership sequences of all types of borrowers from 1997-2012 leads to a … mortgage default factors associated with the economic cycle, such as negative equity, completely account for the foreclosure …

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 …