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Omitted Mobility Characteristics and Property Market Dynamics: Application to Mortgage Termination

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Author Info

  • Xudong An

    ()

  • John Clapp

    ()

  • Yongheng Deng

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s11146-008-9157-8
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Bibliographic Info

Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

Volume (Year): 41 (2010)
Issue (Month): 3 (October)
Pages: 245-271

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Handle: RePEc:kap:jrefec:v:41:y:2010:i:3:p:245-271

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Web page: http://www.springerlink.com/link.asp?id=102945

Related research

Keywords: Housing Market; Mobility; Mortgage termination; Multinomial Logit Model (MNL); Nested Logit Model (NMNL); Refinance; Default;

References

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  1. John M. Clapp & Gerson M. Goldberg & John P. Harding & Michael LaCour-Little, 2001. "Movers and Shuckers: Interdependent Prepayment Decisions," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 29(3), pages 411-450.
  2. Quigley, John M & Van Order, Robert, 1995. "Explicit Tests of Contingent Claims Models of Mortgage Default," The Journal of Real Estate Finance and Economics, Springer, vol. 11(2), pages 99-117, September.
  3. Collin-Dufresne, P & Harding, John P, 1999. "A Closed Form Formula for Valuing Mortgages," The Journal of Real Estate Finance and Economics, Springer, vol. 19(2), pages 133-46, September.
  4. Krumm, Ronald J., 1984. "Household tenure choice and migration," Journal of Urban Economics, Elsevier, vol. 16(3), pages 259-271, November.
  5. Boehm, Thomas P., 1981. "Tenure choice and expected mobility: A synthesis," Journal of Urban Economics, Elsevier, vol. 10(3), pages 375-389, November.
  6. Calhoun, Charles A & Deng, Yongheng, 2002. "A Dynamic Analysis of Fixed- and Adjustable-Rate Mortgage Terminations," The Journal of Real Estate Finance and Economics, Springer, vol. 24(1-2), pages 9-33, Jan.-Marc.
  7. Deng, Yongheng & Gabriel, Stuart, 2006. "Risk-Based Pricing and the Enhancement of Mortgage Credit Availability among Underserved and Higher Credit-Risk Populations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(6), pages 1431-1460, September.
  8. Yongheng Deng & Andrey D. Pavlov & Lihong Yang, 2005. "Spatial Heterogeneity in Mortgage Terminations by Refinance, Sale and Default," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 33(4), pages 739-764, December.
  9. Archer, Wayne R. & Ling, David C. & McGill, Gary A., 1997. "Demographic versus Option-Driven Mortgage Terminations," Journal of Housing Economics, Elsevier, vol. 6(2), pages 137-163, June.
  10. Craig A Watkins, 2001. "The definition and identification of housing submarkets," Environment and Planning A, Pion Ltd, London, vol. 33(12), pages 2235-2253, December.
  11. Wayne Archer & David C. Ling & Gary A. McGill, 1995. "The Effect of Income and Collateral Constraints on Residential Mortgage Terminations," NBER Working Papers 5180, National Bureau of Economic Research, Inc.
  12. Yongheng Deng & John M. Quigley & Robert Van Order, 1995. "Mortgage Default and Low Downpayment Loans: The Costs of Public Subsidy," NBER Working Papers 5184, National Bureau of Economic Research, Inc.
  13. Yongheng Deng & John M. Quigley & Robert Van Order, . "Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options," Zell/Lurie Center Working Papers 322, Wharton School Samuel Zell and Robert Lurie Real Estate Center, University of Pennsylvania.
  14. Paul Bennett & Richard Peach & Stavros Peristiani, 1998. "Structural change in the mortgage market and the propensity to refinance," Staff Reports 45, Federal Reserve Bank of New York.
  15. Small, Kenneth A & Hsiao, Cheng, 1985. "Multinomial Logit Specification Tests," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(3), pages 619-27, October.
  16. Schnare, Ann B. & Struyk, Raymond J., 1976. "Segmentation in urban housing markets," Journal of Urban Economics, Elsevier, vol. 3(2), pages 146-166, April.
  17. Mahlon R. Straszheim, 1975. "An Econometric Analysis of the Urban Housing Market," NBER Books, National Bureau of Economic Research, Inc, number stra75-1, May.
  18. John M. Clapp & Yongheng Deng & Xudong An, 2006. "Unobserved Heterogeneity in Models of Competing Mortgage Termination Risks," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 34(2), pages 243-273, 06.
  19. Ihlanfeldt, Keith & Silberman, Jonathon, 1985. "Differential response to change: The case of home purchase," Journal of Urban Economics, Elsevier, vol. 17(2), pages 127-144, March.
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Citations

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Cited by:
  1. Xudong An & Yongheng Deng & Eric Rosenblatt & Vincent Yao, 2012. "Model Stability and the Subprime Mortgage Crisis," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 545-568, October.
  2. Liang, Te-Hsin & Lin, Jian-Bang, 2014. "A two-stage segment and prediction model for mortgage prepayment prediction and management," International Journal of Forecasting, Elsevier, vol. 30(2), pages 328-343.

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