mortgage credit in the postwar era, supports the model. The results suggest that more recent mortgage market innovations have …

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 …

A typical household has a home mortgage as its most significant financial contract. The form of this contract is … correspondingly important. This paper studies the choice between a fixed-rate (FRM) and an adjustable-rate (ARM) mortgage. In an … about available mortgage contracts. While an ARM is generally an attractive form of mortgage, a household with a large …

depends not just on their current level but also on their previous path. Using a household model of mortgage prepayment …

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 …

affect housing investment and the economy through the cost of new mortgage borrowing and real payments on outstanding debt …

leverage, precautionary saving in liquid assets and illiquid home equity, debt repayment, mortgage refinancing, and default …

) cycle cannot be accounted for by the liberalization, and subsequent tightening, of credit standards in mortgage markets …

This paper solves a dynamic model of a household's decision to default on its mortgage, taking into account labor … income, house price, inflation, and interest rate risk. Mortgage default is triggered by negative home equity, which results … from declining house prices in a low inflation environment with large mortgage balances outstanding. Not all households …