We study how the term structure of interest rates relates to mortgage choice, both at the household and the aggregate … level. A simple utility framework of mortgage choice points to the long-term bond risk premium as theoretical determinant …: when the bond risk premium is high, fixed-rate mortgage payments are high, making adjustable-rate mortgages more attractive …

exhibits a surprising amount of time variation. A simple utility framework of mortgage choice points to the bond risk premium … confirm empirically that the bulk of the time variation in household mortgage choice can be explained by time variation in the … mortgage choice, thereby lending further credibility to a theory of strategic mortgage timing by households …

exhibits a surprising amount of time variation. A simple utility framework of mortgage choice points to the bond risk premium … confirm empirically that the bulk of the time variation in household mortgage choice can be explained by time variation in the … mortgage choice, thereby lending further credibility to a theory of strategic mortgage timing by households …

We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied … actual prepayments, providing direct evidence of significant prepayment risk premia in mortgage-backed security prices. We … risk. We also find evidence that mortgage-backed security prices were significantly affected by Fannie Mae credit risk and …

We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied … actual prepayments, providing direct evidence of significant prepayment risk premia in mortgage-backed security prices. We … risk. We also find evidence that mortgage-backed security prices were significantly affected by Fannie Mae credit risk and …