For nearly 30 years, the subject of mortgage default has claimed the attention of scholars,
policy analysts, and government officials. During this time, the principal purposes of these …

This article surveys theoretical work on the pricing of mortgages as derivative assets, often
termed the option-pricing approach to mortgage valuation. Emphasis is on the possibility of …

We examine the behavior of mortgage borrowers over several economic cycles using an
unprecedented dataset of origination and monthly performance records for over 120 million …

This paper studies how the impact of monetary policy depends on the distribution of savings
from refinancing mortgages. We show that the efficacy of monetary policy is state dependent …

This paper tests the effects of the level and length of unemployment insurance (UI) benefits
on unemployment durations. The paper particularly studies individual behavior during the …

Households that fail to refinance their mortgage when interest rates decline lose out on
substantial savings. Using a random sample of outstanding US mortgages in December …

How much ability does the Fed have to stimulate the economy by cutting interest rates? We
argue that the presence of substantial debt in fixed-rate, prepayable mortgages means that …

As applied to the behavior of homeowners with mortgages, option theory predicts that
mortgage prepayment or default will be exercised if the call or put option is 'in the money'by …

Applying a permanent income model with exogenous liquidity constraints and mortgage
behavior, household refinancing when mortgage interest rates are historically high and …

This paper puts forward a valuation framework for mortgage‐backed securities. Rather than
imposing an optimal, value‐minimizing call condition, we assume that at each point in time …