freely adjust outstanding debt (refinancing) and (ii) dominant mortgage type in the economy (fixed or adjustable rate). I … their disposable income (hand-to-mouth) net of payments on long-term mortgage. I find that the optimal simple policy rule … significantly depends on the ability to adjust debt and on mortgage type. Policy prescriptions based on models not accounting for …

We offer a continuous-time contingent claims valuation framework to quantify the tax shield value of US mortgage … MID, and discuss the implications for optimal mortgage purchase decisions. The model provides insights regarding the … relationship between the effective MID and a set of underlying variables, including income level, house price, mortgage size, and …

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 …

We study the determinants of the subprime mortgage loan spread, with a particular focus on funding liquidity and …

We document the emergence of a disconnect between mortgage and Treasury interest rates in the summer of 2003. Following … the end of the Federal Reserve's expansionary cycle in June 2003, mortgage rates failed to rise according to their … historical relationship with Treasury yields, leading to significantly and persistently easier mortgage credit conditions. We …

We document the emergence of a disconnect between mortgage and Treasury interest rates in the summer of 2003. Following … the end of the Federal Reserve's expansionary cycle in June 2003, mortgage rates failed to rise according to their … historical relationship with Treasury yields, leading to significantly and persistently easier mortgage credit conditions. We …