Recent studies have found that banks with low capital ratios have significantly decreased their lending to the real estate sector. This correlation between real estate lending and bank capital could be the result of voluntary decisions by banks to recapitalize, or it could be the result of...

We investigate the role of disruptions to the structure of the homebuilding industry due to fluctuations in the availability of bank credit. We find a sustained decline in the large private homebuilder market share series over the period from 1988 to 1993 when many banks with deteriorated health...

We assess the conceptual and empirical features of a number of house price series for the United States. We then calculate a measure of the net up-grading of the existing stock of houses that took place during the 1950-1989 period and adjust price indexes for this net increase in quality....

This study considers the case of two overlapping categories in the context of recent category models. Specifically, we examine whether investor sentiment and market frictions specific to one category can affect the returns on assets belonging to the other category. With recent additions of...

The stock of real estate loans held by New England banks has declined dramatically. Given the limited potential for real estate investments, weak demand for real estate loans is to be expected. However, supply as well as demand factors may account for some of the decline in bank real estate...

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 1-month rate. However, the cap value is not sensitive to...

This paper computes how coupon rates on hypothetical default-free 1- 3- and 5-year adjustable rate mortgages with various caps and teaser rates issued during the 1970-76 period would have had to be set in order for the ARMs to have earned the market rate of return over a 7 1/2-year holding...

This paper makes two contributions. First, an internally consistent annual data set is constructed for the housing-units identity. For the 1961-85 period, data are computed for completions, mobile home placements, the change in households, the change in vacancies, and, residually, net other...

We analyze monthly returns on an equally weighted index of eighteen to twenty-three equity (real property) real estate investment trusts (REITs) that were traded on major stock exchanges over the 1973-87 period. We employ a multifactor Arbitrage Pricing Model using prespecified macroeconomic...

Spreads between yields on different mortgage instruments and comparable maturity portfolios of Treasury securities have been computed and compared with quoted yields over the 1974-82 period for three different mortgage instruments: GNMA pass-throughs, FHLMC participation certificates, and...