TY  - UNPD
A1  - Campbell, John Y.
A1  - Cocco, João F.
T1  - A model of mortgage default : [Version Februar 2014]
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 452
N2  - 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.
T3  - CFS working paper series - 452 
KW  - Household finance
KW  - Loan to value ratio
KW  - Loan to income ratio
KW  - Mortgage affordability
KW  - Negative home equity
KW  - Mortgage premia
Y1  - 2014
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/33320
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-333206
N1  - This version: February 2014 ; First draft: November 2010
IS  - Version Febr. 2014
SP  - 1
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -