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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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  1. 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.
  2. 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.
  3. Archer, Wayne R. & Ling, David C. & McGill, Gary A., 1996. "The effect of income and collateral constraints on residential mortgage terminations," Regional Science and Urban Economics, Elsevier, vol. 26(3-4), pages 235-261, June.
  4. John M. Quigley., 1993. "Explicit Tests of Contingent Claims Models of Mortgage Defaults," Economics Working Papers 93-221, University of California at Berkeley.
  5. 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.
  6. 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.
  7. Boehm, Thomas P., 1981. "Tenure choice and expected mobility: A synthesis," Journal of Urban Economics, Elsevier, vol. 10(3), pages 375-389, November.
  8. 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.
  9. 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.
  10. Deng, Yongheng & Quigley, John M. & Van Order, Robert, 1999. "Mortgage Terminations, Heterogeneity, and the Exercise of Mortgage Options," Berkeley Program on Housing and Urban Policy, Working Paper Series qt96r560pg, Berkeley Program on Housing and Urban Policy.
  11. 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.
  12. Deng, Yongheng & Quigley, John M. & Van Order, Robert & Mac, Freddie, 1996. "Mortgage default and low downpayment loans: The costs of public subsidy," Regional Science and Urban Economics, Elsevier, vol. 26(3-4), pages 263-285, June.
  13. Kenneth Train, 2003. "Discrete Choice Methods with Simulation," Online economics textbooks, SUNY-Oswego, Department of Economics, number emetr2, Spring.
  14. 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.
  15. Krumm, Ronald J., 1984. "Household tenure choice and migration," Journal of Urban Economics, Elsevier, vol. 16(3), pages 259-271, November.
  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. 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.
  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. 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.
  20. Mahlon R. Straszheim, 1975. "An Econometric Analysis of the Urban Housing Market," NBER Books, National Bureau of Economic Research, Inc, number stra75-1, July.
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Cited by:
  1. 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.
  2. 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.

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