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Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities

Longstaff, Francis A. - 2010

We study the optimal recursive refinancing problem where a borrower minimizes his lifetime mortgage costs by repeatedly refinancing when rates drop sufficiently. Key factors affecting the optimal decision are the cost of refinancing and the possibility that the mortgagor may have to refinance at...

Persistent link: https://www.econbiz.de/10012762654

Concentration in Mortgage Lending, Refinancing Activity and Mortgage Rates

Scharfstein, David S. - 2013

We present evidence that high concentration in local mortgage lending reduces the sensitivity of mortgage rates and refinancing activity to mortgage-backed security (MBS) yields. A decrease in MBS yields is typically associated with greater refinancing activity and lower rates on new mortgages....

Persistent link: https://www.econbiz.de/10013080199

Owning, Using and Renting : Some Simple Economics of the "Sharing Economy"

Horton, John J. - 2016

New Internet-based markets enable consumer/owners to rent out their durable goods when not using them. Such markets are modeled to determine ownership, rental rates, quantities, and surplus generated. Both the short run, before consumers can revise their ownership decisions, and the long run, in...

Persistent link: https://www.econbiz.de/10012997898

Liquidation Values and the Credibility of Financial Contract Renegotiation : Evidence from U.S. Airlines

Benmelech, Efraim - 2008

How do liquidation values affect financial contract renegotiation? While the amp;apos;incomplete contractingamp;apos; theory of financial contracting predicts that liquidation values determine the allocation of bargaining power between creditors and debtors, there is little empirical evidence on...

Persistent link: https://www.econbiz.de/10012771713

The Role of Leasing Under Adverse Selection

Hendel, Igal - 2008

Leasing contracts specify a rental rate and an option price at which the used good can be bought at the termination of … prices. In contrast, under adverse selection, leasing contracts affect equilibrium allocations in a way that matches observed … behavior in the car market. We show that a social planner can use leasing contracts to improve welfare but they are imperfect …

Persistent link: https://www.econbiz.de/10012774893

The Economics of Time-Limited Development Options : The Case of Oil and Gas Leases

Herrnstadt, Evan; Kellogg, Ryan; Lewis, Eric - 2022

Oil and gas leases between mineral owners and extraction firms ubiquitously include royalty and primary term clauses. The royalty denotes the share of revenue that is paid to the mineral owner, and the primary term specifies the date by which the firm must complete a well, lest it lose the...

Persistent link: https://www.econbiz.de/10013296175

Houses as Atms? Mortgage Refinancing and Macroeconomic Uncertainty

Chen, Hui - 2016

We estimate a structural model of household liquidity management in the presence of long-term mortgages. Households face counter-cyclical idiosyncratic labor income uncertainty and borrowing constraints, which affect optimal choices of leverage, precautionary saving in liquid assets and illiquid...

Persistent link: https://www.econbiz.de/10013007166

A Model of Safe Asset Determination

He, Zhiguo - 2016

What makes an asset a “safe asset”? We study a model where two countries each issue sovereign bonds to satisfy investors' safe asset demands. The countries differ in the float of their bonds and their resources/fundamentals available to rollover debts. A sovereign's debt is more likely to be...

Persistent link: https://www.econbiz.de/10012991680

Failure to Refinance

Keys, Benjamin J. - 2015

Households that fail to refinance their mortgage when interest rates decline can lose out on substantial savings. Based on a large random sample of outstanding U.S. mortgages in December of 2010, we estimate that approximately 20% of households for whom refinancing would be optimal and who...

Persistent link: https://www.econbiz.de/10013032782

How Quantitative Easing Works : Evidence on the Refinancing Channel

Di Maggio, Marco - 2018

Despite massive large-scale asset purchases (LSAPs) by central banks around the world since the global financial crisis, there is a lack of empirical evidence on whether and how these programs affect the real economy. Using rich borrower-linked mortgage-market data, we document that there is a...

Persistent link: https://www.econbiz.de/10012935530