This paper analyzes the performance of low income and minority mortgages (LIMMs) from a large sample of fixed rate conventional conforming mortgages. We test the extent to which exercise of prepayment and default options differ across groups. In particular, we test the extent to which options...

This paper presents a simple version of the application of option based pricing models to mortgage credit risk. The approach is based on the notion that default can be viewed as exercising a put option, and that the place to look in modelling default is the extent to which the option is in the...

About half of the money that finances housing in the U.S comes from three government-related quot;Agencies:quot; two government-sponsored enterprises (GSEs): Fannie Mae and Freddie Mac, and a government owned enterprise, Ginnie Mae, that buy mortgages and securitize them and sell the securities...

The paper provides a framework for analyzing the development of securitization as a vehicle for funding loans. Broadly speaking there are two models for funding loans: the portfolio lender model, which typically involves banks or other intermediaries originating and holding the loans and funding...

Much of the attention regarding the role of housing and the economy has been concerned with traditional macroeconomic business cycle problems, such as the role of housing as a stabilizer or destabilizer in the macro economy in the quot;short run.quot; Here the focus is on the periods beyond...

We examine the history of U.S. mortgage as a means of illustrating the influence of different aspects of the U.S. common law system on financial development. We hypothesize that the value of common law to financial development is with respect to the flexibility that the system provides market...

It has been widely assumed that there was a bubble in the U.S. housing market after 1999. This paper analyzes the extent to which that was true. We define a bubble as: (1) a regime shift that is characterized by a change in the properties of deviations from the fundamentals of house price...

This paper analyzes the risk-taking behavior of financial intuitions that have guarantees (e.g., banks with deposit insurance or Government Sponsored Enterprises with implicit guarantees) and/or institutions that find it beneficial to develop a reputation for not taking risk. For instance, banks...

This paper analyzes the risk-taking behavior of financial intuitions that have guarantees (e.g., banks with deposit insurance or Government Sponsored Enterprises with implicit guarantees) and/or institutions that find it beneficial to develop a reputation for not taking risk. For instance, banks...