Mortgages are priced alone two dimensions – the interest rate and the leverage. This paper develops a simple model of a mortgage contract, in which differences in the borrower and the lender's risk preference jointly determine the equilibrium interest rate and leverage. This model provides...

Analysis of data from the HMDA loan data base and LoanPerformance.com at the MSA level and at the loan level substantiates both supply and demand effects of past price trends in housing markets, particularly with respect to subprime mortgage applications and approvals. At the MSA level, past...

This paper argues that econometric analysis of housing price indexes before 2006 generated forecasts of future long-term price growth and low estimated probabilities of extreme price decreases. These forecasts of future increases in home-loan collateral values may have affected both the demand...

This paper provides strong evidence for a positive feedback loop between property prices and mortgage supply, using data from the U.S. commercial property and mortgage markets over the 1991 to 2011 period. The empirical analyses control for the endogeneity of property prices, mortgage flows,...

This paper argues that econometric analysis of housing price indexes before 2006 generated forecasts of future long-term price growth and low estimated probabilities of extreme price decreases. These forecasts of future increases in home-loan collateral values may have affected both the demand...

This paper hypothesizes and analyzes a positive feedback loop between commercial real estate capital appreciation and commercial mortgage capital supply. Using quarterly U.S. data from 1978 to 2008, this paper finds that past real estate investment performance positively affects mortgage fund...