Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/wiley/the-relative-termination-experience-of-adjustable-to-fixed-rate-3SEpb9INIP
References (28)
-
Epperson Epperson, Kau Kau, Keenan Keenan, Muller Muller (1985)
Pricing default risk in mortgagesJournal of the American Real Estate and Urban Economics Association, 13
-
Kerry Vandell, T. Thibodeau (1985)
Estimation of Mortgage Defaults Using Disaggregate Loan History DataReal Estate Economics, 13
-
Sa‐Aadu Sa‐Aadu (1988)
Legal restrictions, credit allocation and default risk under fixed and adjustable rate mortgagesHousing Finance Review, 7
-
Swan Swan (1982)
Pricing private mortgage insuranceJournal of American Real Estate and Urban Economics Association, 10
-
Lea Lea, Zorn Zorn (1986)
Adjustable rate mortgages, fluctuations in the economic environment and lender portfolio changeJournal of American Real Estate and Urban Economics Association, 14
-
Jerry Green, J. Shoven (1983)
The Effects of Interest Rates on Mortgage PrepaymentsReal Estate
-
Field Field, Cassidy Cassidy (1977)
Simulation analysis of alternative mortgage instrumentsJournal of the American Real Estate and Urban Economics Association, 5
-
Donald Cunningham, P. Hendershott (1984)
Pricing FHA Mortgage Default InsuranceNBER Working Paper Series
-
Vandell Vandell, Thibodeau Thibodeau (1985)
Estimation of mortgage defaults using disaggregate loan history dataJournal of the American Real Estate and Urban Economics Association, 13
-
G. Maddala (1983)
Limited-dependent and qualitative variables in econometrics: Discriminant analysis -
Furstenberg Furstenberg (1969)
The default risk on FHA‐insured home mortgagesJournal of Finance, 24
-
Andrew Chen, David Ling (1989)
Optimal Mortgage Refinancing with Stochastic Interest RatesReal Estate Economics, 17
-
Chester Foster, R. Order (1985)
FHA Terminations: A Prelude to Rational Mortgage PricingReal Estate Economics, 13
-
G. Furstenberg (1969)
Default risk on FHA-insured home mortgages as a function of the terms of financing : a quantitative analysisJournal of Finance, 24
-
Kerry Vandell (1978)
DEFAULT RISK UNDER ALTERNATIVE MORTGAGE INSTRUMENTSJournal of Finance, 33
-
Allan Field, H. Cassidy (1977)
Simulation Analysis of Alternative Mortgage InstrumentsReal Estate Economics, 5
-
George Gau (1978)
A Taxonomic Model for the Risk-Rating of Residential MortgagesThe Journal of Business, 51
-
M. Lea, P. Zorn (1986)
Adjustable-Rate Mortgages, Economic Fluctuations, and Lender Portfolio ChangeReal Estate Economics, 14
-
Bruce Webb (1982)
Borrower Risk under Alternative Mortgage InstrumentsJournal of Finance, 37
-
J. Jackson, D. Kaserman (1980)
Default Risk on Home Mortgage Loans: A Test of Competing HypothesesJournal of Risk and Insurance, 47
-
C. Swan (1982)
Pricing Private Mortgage InsuranceReal Estate Economics, 10
-
Tim Campbell, J. Dietrich (1983)
The Determinants of Default on Insured Conventional Residential Mortgage LoansJournal of Finance, 38
-
Foster Foster, Order Order (1984)
An option‐based model of mortgage defaultHousing Finance Review, 3
-
James Epperson, J. Kau, Donald Keenan, W. Muller (1985)
Pricing Default Risk in MortgagesReal Estate Economics, 13
-
Cunningham Cunningham, Hendershott Hendershott (1984)
Pricing FHA mortgage default insuranceHousing Finance Review, 3
-
Green Green, Shoven Shoven (1986)
The effects of interest rates on mortgage prepaymentsJournal of Money, Credit and Banking, 18
-
Peters Peters, Pinkus Pinkus, Askin Askin (1984)
Figuring the odds: A model of prepaymentsSecondary Mortgage Markets, 1
-
Foster Foster, Order Order (1985)
FHA terminations: A prelude to rational mortgage pricingJournal of the American Real Estate and Urban Economics Association, 13
- Publisher
- Wiley
- Copyright
- 1990 The American Finance Association
- ISSN
- 0022-1082
- eISSN
- 1540-6261
- DOI
- 10.1111/j.1540-6261.1990.tb03737.x
- Publisher site
- See Article on Publisher Site
Abstract
ABSTRACT Our study uses a multinomial logit model to analyze the concurrent termination experience of adjustable‐rate and fixed‐rate mortgages. A new set of ARM‐specific interactive determinants expands the conventional FRM specification to isolate the unique termination behavior of ARMs. We find that expected rate adjustments and large lifetime caps are positively related to ARM termination probabilities while long adjustment frequencies are inversely related. Caps, both periodic and lifetime, have a secondary, inverse effect on termination probabilities when interest‐rate movements exceed cap limits. The model also shows that interest‐rate expectations affect FRM terminations more strongly than ARM terminations.
Journal
The Journal of Finance – Wiley
Published: Dec 1, 1990