Observed mortgage prepayment and default rates have been far different than the ruthless option exercise rates predicted by contingent claims models of mortgage pricing. The discrepancies have been attributed to both the competing risk nature of prepayment and default and to transactions costs....

Observed mortgage prepayment and default rates have been far different than the ruthless option exercise rates predicted by contingent claims models of mortgage pricing. The discrepancies have been attributed to both the competing-risk nature of prepayment and default and to transactions costs....

The Boston Federal Reserve study (Munnell et al. 1996) concluded that illegal discrimination is a statistically significant contributor to the observed gap between white and minority residential-mortgage rejection rates. The Boston study speculated that discrimination arises because lenders do...

The Boston Federal Reserve study (Munnell et al. 1996) concluded that illegal discrimination is a statistically significant contributor to the observed gap between white and minority residential-mortgage rejection rates. The Boston study speculated that discrimination arises because lenders do...

Deep, complex interdependencies exist between the capital, mortgage, housing, and labor markets. A life cycle consumption model of durable housing and mortgage demand and an option pricing model of mortgage supply capture the macroeconomic relationships among the markets. A vector autoregressive...