This paper presents a new method for solving mathematical programs with equilibrium constraints. The approach uses a transformation of the original problem via Schur’s decomposition coupled with two separate formulations for modeling related absolute value functions. The first formulation,...

Fluctuations in the stock market and in house values over the course of recent years have led to renewed macroeconomic policy debate as regards the effects of financial and housing wealth in the determination of consumer spending. This research assembles a unique matched sample of household data...

This research employs data from a natural experiment to assess the effects of behavioral heuristics on housing choice and public program management. The analysis focuses on programs designed to privatize public housing in Israel. The government programs provided the tenants with a call (real)...

While prior analyses have provided evidence of elevated default probabilities among mortgages originated to lower income, less credit worthy, and minority populations, those risks may be offset by the reduced prepayment probabilities of those loans. Such offsets could serve to reduce the total...

Fluctuations in the stock market and in house values over the course of recent years have led to renewed economic policy debate as regards the effects of financial and housing wealth in thedetermination of household consumption patterns. This research assembles a unique matched sample of...

Despite recent volatility and constraints in secondary market funding, analysts have ascribed substantial value creation to the securitization of commercial mortgages. Such value creation likely emanates from liquidity enhancements, regulatory arbitrage, price discrimination and risk...

Geographic diversification is fundamental to risk mitigation among investors and insurers of housing, mortgages, and mortgage-related derivatives. To characterize diversification potential, we provide estimates of integration, spatial correlation, and contagion among US metropolitan housing...

This study evaluates the effectiveness of geographic diversification in reducing housing investment risk. To characterize diversification potential, we estimate spatial correlation and integration among 401 US metropolitan housing markets. The 2000s boom brought a marked uptrend in housing...