This paper presents a new method for solving mathematical programs with equilibrium constraints. The approach uses a transformation of the original problem via Schur’s decomposition coupled with two separate formulations for modeling related absolute value functions. The first formulation,...

Geographic diversification is fundamental to risk mitigation among investors and insurers of housing, mortgages, and mortgage-related derivatives. To characterize diversification potential, we provide estimates of integration, spatial correlation, and contagion among US metropolitan housing...

This study evaluates the effectiveness of geographic diversification in reducing housing investment risk. To characterize diversification potential, we estimate spatial correlation and integration among 401 US metropolitan housing markets. The 2000s boom brought a marked uptrend in housing...

This paper develops a new measure of "quality of the business environment" that complements existing measures of "quality of life". An annual panel of these measures is constructed and analyzed for 37 cities from 1977 to 1995. Findings indicate that many cities attractive to firms are...

While prior analyses have provided substantial evidence of elevated default probabilities among mortgages originated to lower income, less credit worthy and minority borrowers, those risks may be offset by the reduced prepayment probabilities of those loans. To the investor in FHA-insured...