An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?

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 data on the pool‐level termination rates for Freddie Mac...

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Veröffentlicht in:	Real estate economics 2005-12, Vol.33 (4), p.681-710
Hauptverfasser:	Downing, Chris, Stanton, Richard, Wallace, Nancy
Format:	Artikel
Sprache:	eng
Schlagworte:	Default Dwellings Economics Forecasts and trends Government sponsored enterprises Hedging Housing Housing prices Industry forecasts Interest rates Mortgage backed securities Mortgage companies Mortgages Prepayments Prices and rates Pricing policies Real estate industry Refinancing Studies Valuation
Online-Zugang:	Volltext
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