a house in coastal areas may be at increasing risk of defaulting on their mortgage. Commercial banks have the ability to … Mortgage Association, commonly known as Fannie Mae, and the Federal Home Loan Mortgage Corporation, known as Freddie Mac. In … or default. A structurally estimated model of mortgage pricing with asymmetric information suggests that bunching at 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 …

In the U.S. mortgage market, private mortgage insurance (PMI) is mandated for high-leverage mortgages purchased by … research regarding house price risk. Using three detailed sources of mortgage and insurance data, we examine PMI application … underprice risk and be undercapitalized. Our results suggest that rather than providing discipline, private mortgage insurers …

We document the portfolio activity of federal housing agencies and provide evidence on its impact on mortgage markets … in agency mortgage holdings. Based on those regulatory events that we classify as unrelated to short-run cyclical or … credit market shocks, we find that an increase in mortgage purchases by the agencies boosts mortgage lending, in particular …

Mortgage cramdown enabled bankruptcy judges to discharge the underwater portion of a mortgage during Chapter 13 …

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 …

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 …

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 …