Narrow search
Showing 1 - 10 of 840
Cover Image
Florida (Un)Chained
Calomiris, Charles W.; Jaremski, Matthew S. - National Bureau of Economic Research - 2023
To understand a price boom, it is helpful to take account of: (1) observable indicators of changes in ex ante risk tolerance, (2) what information exists and when, and (3) the incentives lenders face. This paper takes such an approach to the Florida land boom of the mid-1920s, the U.S.' first...
Persistent link: https://www.econbiz.de/10014226111
Cover Image
An IV Hazard Model of Loan Default with an Application to Subprime Mortgage Cohorts
Palmer, Christopher J. - National Bureau of Economic Research - 2023
asymptotically normal. Applying my estimator to the subprime mortgage crisis, I quantify what caused the foreclosure rate to triple … standards, with a 10% decline in home prices increasing subprime mortgage default rates by 50% …
Persistent link: https://www.econbiz.de/10014447321
Cover Image
Bank Funding Risk, Reference Rates, and Credit Supply
Cooperman, Harry; Duffie, Darrell; Luck, Stephan; Wang, … - National Bureau of Economic Research - 2023
Corporate credit lines are drawn more heavily when funding markets are more stressed. This covariance elevates expected bank funding costs. We show that credit supply is dampened by the associated debt-overhang cost to bank shareholders. Until 2022, this impact was reduced by linking the...
Persistent link: https://www.econbiz.de/10014226104
Cover Image
Pricing Rate Caps on Default-Free Adjustable-Rate Mortgages
Buser, Stephen A. - 1984
A model is developed and utilized in this paper to value a life of loan interest rate cap on an ARM that reprices monthly. The value of the cap is seen to depend importantly on both the slope of the term structure and the variance of the one month rate. However, the cap value is not sensitive to...
Persistent link: https://www.econbiz.de/10012477561
Cover Image
The Pricing of Default-Free Mortgages
Buser, Stephen A. - 1984
In this paperwe examine the household's option to prepay or call a standard fixed-rate mortgage. Results based on … in mortgage contract design on the value of the prepayment option are encouraging. For example, our estimate of the …
Persistent link: https://www.econbiz.de/10012477681
Cover Image
The Effects of Interest Rates on Mortgage Prepayments
Green, Jerry - 1983
economic value of these assets in savings and loan associations' portfolios varies from one form of mortgage to another. For … either of the fixed interest rate contracts, the cash flow from the mortgage is constant as long as it has not been prepaid … mortgage holders resulting from interest rate changes. Our estimate is based on a sample of 4,000 mortgages issued in …
Persistent link: https://www.econbiz.de/10012477851
Cover Image
The Economics of Mortgage Terminations : Implications for Mortgage Lenders and Mortgage Terms
Hendershott, Patric H. - 1982
The paper begins with the development of models explaining the mortgage refinancing and assumption decisions of … results for: (1) the impact of a decline in mortgage rates on the asset portfolio yields of mortgage lending institutions and … (2) the effect of the observed rise in interest rate volatility, including the optimal terminations response of mortgage …
Persistent link: https://www.econbiz.de/10012478190
Cover Image
Accelerating Inflation, Nonassumable Fixed-Rate Mortgages, and Consumer Choice and Welfare
Hendershott, Patric H. - 1981
This paper measures the impact of nonassumable, fixed-rate, long-term mortgage financing on household mobility and …, fixed-rate mortgage is largely responsible for bath sluggish housing demand in the l967-79 period and its surge in the 1976 … between current mortgage rates and those existing in the19705 and the resultant huge capital gains on existing mortgages does …
Persistent link: https://www.econbiz.de/10012478360
Cover Image
The Terminations Premium in Mortgage Coupon Rates : Evidence on the Integration of Mortgage and Bond Markets
Hendershott, Patric H. - 1981
During the Last three years mortgage rates have risen relative to yields on comparable maturity bonds. The questions … between early 198 and early 1981 in coupon rates on GNMA mortgage pools relative to ''the" rate on a comparable portfolio of … Treasury bonds to be about 100 basis points. We attribute the increase to a rise in the terminations premia built into mortgage …
Persistent link: https://www.econbiz.de/10012478377
Cover Image
Can Cheap Credit Explain the Housing Boom?
Glaeser, Edward L. - 2010
-to-value levels and permissive mortgage approvals. We revisit the standard user cost model of housing prices and conclude that the …
Persistent link: https://www.econbiz.de/10012462425