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Liquidity Constraints, Home Equity and Residential Mortgage Losses
Do, Hung Xuan - 2020
) using the quarterly U.S. residential mortgage loan-level data observed from Q2 2005 to Q1 2015. We define defaulted loans … separate cure and non-cure loans in mortgage loss risk models …
Persistent link: https://www.econbiz.de/10012854717
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Liquidity Constraints, Home Equity and Residential Mortgage Losses
Do, Hung Xuan - 2018
) using the quarterly U.S. residential mortgage loan-level data observed from Q2 2005 to Q1 2015. We define defaulted loans … separate cure and non-cure loans in mortgage loss risk models …
Persistent link: https://www.econbiz.de/10012935614
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The cyclical dynamics of illiquid housing, debt, and foreclosures
Hedlund, Aaron - In: Quantitative economics : QE ; journal of the … 7 (2016) 1, pp. 289-328
This paper quantitatively accounts for the cyclical dynamics of key macroeconomic housing and mortgage market variables … using a tractable, searchtheoretic model of housing with equilibrium mortgage default. To explain these dynamics, the model …
Persistent link: https://www.econbiz.de/10011798986
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Supply and Demand in Residential Property Forecasts
Hardman, Matthew B. - 2012
This paper defines a measure of net housing demand or supply which allows the calculation of a long, high frequency time series, whose principal use is intended to be in a multivariate residential property price forecasting model. The series is easily and inexpensively replicable. We formulate...
Persistent link: https://www.econbiz.de/10013114615
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Location, location, location : extracting location value from house prices : conference paper
Kolbe, Jens; Schulz, Rainer; Wersing, Martin; Werwatz, Axel - 2013
We propose a novel semiparametric method to extract location values from house prices. After splitting house prices into building and land components, location values are estimated with adaptive weight smoothing. The adaptive estimator requires neither strong smoothness assumptions nor local...
Persistent link: https://www.econbiz.de/10010343771
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Location, location, location : extracting location value from house prices
Kolbe, Jens; Schulz, Rainer; Wersing, Martin; Werwatz, Axel - 2012
The price for a single-family house depends both on the characteristics of the building and on its location. We propose a novel semiparametric method to extract location values from house prices. After splitting house prices into building and land components, location values are estimated with...
Persistent link: https://www.econbiz.de/10009540136
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Location, location, location : extracting location value from house prices
Kolbe, Jens; Schulz, Rainer; Wersing, Martin; Werwatz, Axel - 2012
The price for a single-family house depends both on the characteristics of the building and on its location. We propose a novel semiparametric method to extract location values from house prices. After splitting house prices into building and land components, location values are estimated with...
Persistent link: https://www.econbiz.de/10009579297
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Time-geographically weighted regressions and residential property value assessment
Cohen, Jeffrey P.; Coughlin, Cletus Charles; Zabel, … - 2019
In this study, we develop and apply a new methodology for obtaining accurate and equitable property value assessments. This methodology adds a time dimension to the Geographically Weighted Regressions (GWR) framework, which we call Time-Geographically Weighted Regressions (TGWR). That is, when...
Persistent link: https://www.econbiz.de/10011997942
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The demand for long-term mortgage contracts and the role of collateral
Liu, Lu - 2023
Long-term fixed-rate mortgage contracts protect households against interest rate risk, yet most countries have … fixation length tracks the life-cycle decline of credit risk in the mortgage market: the loan-to-value (LTV) ratio decreases … using shorter-term contracts. To quantify demand for long-term contracts, I develop a life-cycle model of optimal mortgage …
Persistent link: https://www.econbiz.de/10014309040
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Mortgage lock-in, lifecycle migration, and the welfare effects of housing market liquidity
Gerardi, Kristopher; Qian, Franklin; Zhang, David - 2024
mortgage lock-in over the lifecycle. We find that younger home buyers are disproportionately affected by mortgage lock … that on average mortgage lock-in reduces household listing probabilities by 21 percent to 23 percent, increases time on the …
Persistent link: https://www.econbiz.de/10015080986