The aim of this paper is twofold. First, I study how the proportion of …xed and variable-rate mortgages in an economy can a¤ect the way shocks are propagated. Second, I analyze optimal implementable simple monetary policy rules and the welfare implications of this proportion. I develop and solve a New Keynesian dynamic stochastic general equilibrium model that features a housing market and a gr...

We study mortgage design features aimed at stabilizing the macroeconomy. model overlapping generations of borrowers and an infinitely lived risk-averse representative lender. Mortgages are priced using equilibrium pricing kernel derived from lender's endogenous consumption. consider adjustable-rate with option that during recessions allows to pay only interest on their loan extend its maturity....

Texas is the only US state that limits home equity borrowing to 80 percent of home value. This paper exploits this policy discontinuity around the Texas’ interstate borders and uses a multidimensional regression discontinuity design framework to find that limits on home equity borrowing in Texas lowered the likelihood of mortgage default by about 1 percentage point for all mortgages and 2-4 per...

This paper analyzes credit risk for residential mortgages. Estimates of the hazard of mortgage default are presented, based upon a large sample of conventional loans issued in the late 1970s. Mean returns are estimated, together with variances and covariances for various loan-to-value (LTV) ratios and geographic groups. These results are then used to analyze capital requirements for institution...

collateralized mortgage obligations are derivatives securities based on mortgage loans which issued in different maturities, interest rates and credit ratings. in iran attention to decision authorities for the first time allowed iran melli bank and maskan bank to issue this kind of securities. one of the main questions in issuing this kind of securities is maximizing the issuer profit by choosi...

This paper proposes a novel approach for modeling prepayment rates of pools of mortgages. Our goal is to establish a model that will give a good prediction for prepayment rates for individual pools of mortgages. The model incorporates the empirical evidence that prepayment is past dependent via Bayesian methodology. There are many factors that influence the prepayment behavior and for many of t...