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Real Estate Economics articles from December 2005
This journal publishes articles on real estate related topics, including covering homes loans and economic reports for developers, builders, finance companies or homeowners.
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Real Estate Economics archives from December 2005
Innovations in mortgage modeling: an introduction.
December 22, 2005... This special issue presents a selection of recent methodological advances in the academic literature on mortgage performance and valuation. The articles include a range of modeling techniques from rational structural models applied to...
The effect of refinancing costs and market imperfections on the optimal call strategy and the pricing of debt contracts.
December 22, 2005... This article, which was originally written in 1986, develops a methodology for valuing mortgage-backed securities with refinancing costs. We solve simultaneously for the valuation of the mortgage-backed security (loan) and the borrower's...
Borrower credit and the valuation of mortgage-backed securities.
December 22, 2005... We study the valuation of mortgage-backed securities when borrowers may have to refinance at premium rates because of their credit. The optimal refinancing strategy often results in prepayment being delayed significantly relative to traditional...
Valuing the defeasance option in securitized commercial mortgages.
December 22, 2005... To protect the interests of investors, commercial mortgage loans pooled for the issuance of commercial mortgage-backed securities (CMBS) have restrictive covenants that discourage the borrower from refinancing. Such restrictions limit the...
An empirical test of a two-factor mortgage valuation model: how much do house prices matter?
December 22, 2005... This article develops a two-factor structural mortgage pricing model in which rational mortgage-holders choose when to prepay and default in response to changes in both interest rates and house prices. We estimate the model using comprehensive...
Determinants of credit spreads in commercial mortgages.
December 22, 2005... This article examines the cross-sectional and time-series determinants of commercial mortgage credit spreads as well as the terms of the mortgages. Consistent with theory, our empirical evidence indicates that mortgages on property types that...
Spatial heterogeneity in mortgage terminations by refinance, sale and default.
December 22, 2005... This article investigates the impact of spatially correlated unobservable variables on the refinancing, selling and default decisions of mortgage borrowers. Virtually the entire mortgage literature acknowledges that borrower-specific...
A note on hybrid mortgages.
December 22, 2005... We extend previous research on traditional one-year adjustable-rate mortgages (ARMs) by analyzing the performance of 3/27 hybrid instruments. Under this contract innovation, which first appeared in the mid-1990s, note rates are fixed for three...