摘要:

This paper integrates two fundamentally important parameters into a theory of optimal mortgage design: the proportion of inflation risk borne by the lender / investor and the borrower and the amortization‐graduation schedule for loan repayments. Equations are derived for a family of innovative mortgages, termed hybrid PLAMs, which offer advantages to borrowers and lenders over either the standard fixed rate mortgage (FRM) or the price level adjusted mortgage (PLAM). The superiority of the hybrid PLAMs lies in their ability to simultaneously and independently accommodate differing degrees of inflation‐risk sharing and payment affordability. Inflation‐risk sharing is represented by an indexation parameter set over a continuum of values such that the FRM has zero index variability and the PLAM has unit index variability. Similarly, payment tilt is represented by a tilt parameter such that the FRM has zero tilt and the PLAM has unit tilt. We demonstrate that these two parameters are independent and can each be continuously varied in a two‐dimensional family of self‐amortizing mortgages. A specific hybrid PLAM can be designed to partition inflation risk in any proportion between the borrower and the lender and to simultaneously prescribe any level of payment tilt between the extremes of the FRM and PLAM. The behavior of representative hybrid PLAMs is simulated and compared to FRMs and PLAMs for three different inflation scenarios, one of which uses actual market data from the period of

ISSN:1080-8620    

DOI:10.1111/1540-6229.00601

出版商:Blackwell Publishing Ltd    

年代:1993

数据来源: WILEY

摘要:

The length of time that residential mortgages remain in delinquency prior to foreclosure is examined using an Accelerated Failure Time (AFT) model and a database of 207 foreclosed conventional and Veteran's Administration (VA) mortgages. The results suggest that the primary factors influencing the timing of the lender's foreclosure decision are the borrower's equity position and the erosion of that position with continuing delinquency. Borrower bankruptcy and VA guarantees also lengthen the delinquency period. Delinquency periods for fixed rate mortgages (FRM) decrease when the market interest rate increases.

ISSN:1080-8620    

DOI:10.1111/1540-6229.00602

出版商:Blackwell Publishing Ltd    

年代:1993

数据来源: WILEY

摘要:

This paper empirically tests valuation models for the mortgage‐backed futures‐options contracts that traded on the Chicago Board of Trade (CBOT) from June of 1989 until March of 1992. A simple contingent‐claim model is shown to produce call option values on mortgage‐backed futures (MBF) contracts that are unbiased estimates of actual futures‐options prices. The ability of the MBF contract to hedge positions in current coupon Government National Mortgage Association (GNMA) securities relative to the effectiveness of cross‐hedging GNMA positions with T‐note and T‐bond futures contracts i

ISSN:1080-8620    

DOI:10.1111/1540-6229.00598

出版商:Blackwell Publishing Ltd    

年代:1993

数据来源: WILEY

摘要:

How do landlords provide credible signals to tenants that they will maintainthe building when the needed upkeep over the contract period is uncertain at the time that rental decisions are made? In this paper, we develop a model of credible commitment under uncertainty wherein owner tenancy serves as the commitment signal to the market. In comparing completely tenant‐occupied (absentee landlord) to partially owner‐occupied buildings, the model predicts that in the latter case, the equilibrium rent is higher. We test this prediction using rental data for a sample of office buildings, some of which are completely tenant‐occupied while others are partially owner‐occupied. The results indicate that, as predicted by the model, rents are significantly higher when landlords can signal a commitment to high‐performance

ISSN:1080-8620    

DOI:10.1111/1540-6229.00599

出版商:Blackwell Publishing Ltd    

年代:1993

数据来源: WILEY

摘要:

An expanded inventory demand framework is developed that focuses on the impacts of changes in the local leasing environment. We model the lease‐up process as a lottery in which changes in turnover or absorption affect the probability of winning the leasing lottery. In this context, builders rationally respond to transitory, not just permanent, changes in the local market. Hence, factors such as temporary shocks to tenant turnover affect the decision to build. The magnitude of turnover‐induced cycles can vary across markets depending upon the vintage of the existing building stock, the local absorption rate and the rent elasticity of demand for space. This framework, which refocuses attention on the local determinants of the developer's decision to build, hopefully will prove fruitful in future empirical efforts to explain development and vacancy behavior during the past dec

ISSN:1080-8620    

DOI:10.1111/1540-6229.00600

出版商:Blackwell Publishing Ltd    

年代:1993

数据来源: WILEY