We assess nonparametric kernel-density regression as a technique for estimating mortgage loan prepayments--one of the key components in pricing highly volatile mortgage-backed securities and their derivatives. The highly nonlinear and so-called irrational behavior of the prepayment function...

We empirically examine the role of appraisal in the residential mortgage lending process--in particular, the incidence, consequences, and determinants of appraisal below contract purchase price. Using the Boston Federal Reserve Study data set, we find that, as expected, low appraised value...

We empirically examine the effect of appraisal quality on subsequent mortgage loan performance using data from the high volatility housing market of Alaska in the 1980s. We develop measures of appraisal quality by computing the residual between a hedonic estimate of house value using available...