This study analyzes the impact of contemporaneous loan stress on the termination of loans in the commercial mortgage-backed securities pool using a novel measure, based on changes in net operating incomes and property values at the MSA-property type-year level. Employing a semi-parametric...

Not so long ago, the US housing finance system was arguably the best in the world. Consumers had access to products that were not available elsewhere, and the market was able to sustain major economic disruptions with relatively little impact on either the cost or availability of mortgage...

While there has been considerable research empirically quantifying and simulating the roleof borrowing constraints on homeownership rates, the primary focus of this work has been onmeasuring the relative importance of income and wealth constraints with respect to ownershipoutcomes. An important...

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...

This paper estimates an option-based hazard model of the competing risks of FHA mortgage termination. Results indicate that the elevated default risks of loans originated among lower credit quality and minority borrowers are more than offset by the damped prepayment speeds of those loans, so as...