A model of mortgage default : [Version Februar 2014]
- This paper solves a dynamic model of households' mortgage decisions incorporating labor income, house price, inflation, and interest rate risk. It uses a zero-profit condition for mortgage lenders to solve for equilibrium mortgage rates given borrower characteristics and optimal decisions. The model quantifies the effects of adjustable vs. fixed mortgage rates, loan-to-value ratios, and mortgage affordability measures on mortgage premia and default. Heterogeneity in borrowers' labor income risk is important for explaining the higher default rates on adjustable-rate mortgages during the recent US housing downturn, and the variation in mortgage premia with the level of interest rates.
| Verfasserangaben: | John Y. Campbell, João F. Cocco |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-333206 |
| Titel des übergeordneten Werkes (Deutsch): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 452 |
| Schriftenreihe (Bandnummer): | CFS working paper series (452) |
| Verlag: | Center for Financial Studies |
| Verlagsort: | Frankfurt, M. |
| Dokumentart: | Arbeitspapier |
| Sprache: | Englisch |
| Jahr der Fertigstellung: | 2014 |
| Jahr der Erstveröffentlichung: | 2014 |
| Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Datum der Freischaltung: | 21.03.2014 |
| Freies Schlagwort / Tag: | Household finance; Loan to income ratio; Loan to value ratio; Mortgage affordability; Mortgage premia; Negative home equity |
| Ausgabe / Heft: | Version Febr. 2014 |
| Erste Seite: | 1 |
| Bemerkung: | This version: February 2014 ; First draft: November 2010 |
| HeBIS-PPN: | 349979227 |
| Institute: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
| DDC-Klassifikation: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Lizenz (Deutsch): |  Deutsches Urheberrecht |
