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Pricing home mortgages and bank collateral: A rational expectations approach

  • Ebrahim, M. Shahid
  • Mathur, Ike

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File URL: http://www.sciencedirect.com/science/article/B6V85-4KB14JM-1/2/9b0890f3dbd05235e09c78f70459e461
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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 31 (2007)
Issue (Month): 4 (April)
Pages: 1217-1244

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Handle: RePEc:eee:dyncon:v:31:y:2007:i:4:p:1217-1244
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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  1. Kearl, J R, 1979. "Inflation, Mortgages, and Housing," Journal of Political Economy, University of Chicago Press, vol. 87(5), pages 1115-38, October.
  2. DiPasquale, Denise, 1999. "Why Don't We Know More about Housing Supply?," The Journal of Real Estate Finance and Economics, Springer, vol. 18(1), pages 9-23, January.
  3. Myers, Stewart C., 1977. "Determinants of corporate borrowing," Journal of Financial Economics, Elsevier, vol. 5(2), pages 147-175, November.
  4. Auerbach, Alan J & King, Mervyn A, 1983. "Taxation, Portfolio Choice, and Debt-Equity Ratios: A General Equilibrium Model," The Quarterly Journal of Economics, MIT Press, vol. 98(4), pages 587-609, November.
  5. Maddock, Rodney & Carter, Michael, 1982. "A Child's Guide to Rational Expectations," Journal of Economic Literature, American Economic Association, vol. 20(1), pages 39-51, March.
  6. Jaffee, Dwight & Stiglitz, Joseph, 1990. "Credit rationing," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 2, chapter 16, pages 837-888 Elsevier.
  7. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
  8. Titman, Sheridan D, 1982. " The Effects of Anticipated Inflation on Housing Market Equilibrium," Journal of Finance, American Finance Association, vol. 37(3), pages 827-42, June.
  9. Myers, Stewart C., 1984. "Capital structure puzzle," Working papers 1548-84., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  10. Stulz, ReneM. & Johnson, Herb, 1985. "An analysis of secured debt," Journal of Financial Economics, Elsevier, vol. 14(4), pages 501-521, December.
  11. Fu, Yuming, 1995. "Uncertainty, liquidity, and housing choices," Regional Science and Urban Economics, Elsevier, vol. 25(2), pages 223-236, April.
  12. Crowder, William J & Hoffman, Dennis L, 1996. "The Long-Run Relationship between Nominal Interest Rates and Inflation: The Fisher Equation Revisited," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 102-18, February.
  13. Varian, Hal R, 1987. "The Arbitrage Principle in Financial Economics," Journal of Economic Perspectives, American Economic Association, vol. 1(2), pages 55-72, Fall.
  14. Narayana R. Kocherlakota, 1995. "The equity premium: it's still a puzzle," Discussion Paper / Institute for Empirical Macroeconomics 102, Federal Reserve Bank of Minneapolis.
  15. Stewart C. Myers, 1984. "Capital Structure Puzzle," NBER Working Papers 1393, National Bureau of Economic Research, Inc.
  16. Zhou, Chunsheng, 1999. "Informational Asymmetry and Market Imperfections: Another Solution to the Equity Premium Puzzle," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(04), pages 445-464, December.
  17. Arcelus, Francisco & Meltzer, Allan H, 1973. "The Markets for Housing and Housing Services: Reply," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 5(4), pages 973-78, November.
  18. M. Shahid Ebrahim & Ike Mathur, 2000. "Optimal Entrepreneurial Financial Contracting," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 27(9&10), pages 1349-1374.
  19. Aykut Kibritcioglu, 2001. "Causes of Inflation in Turkey: A Literature Survey with Special Reference to Theories of Inflation," Economics Bulletin, AccessEcon, vol. 28(21), pages A0.
  20. Stephen Malpezzi & Susan M. Wachter, . "The Role of Speculation in Real Estate Cycles," Zell/Lurie Center Working Papers 401, Wharton School Samuel Zell and Robert Lurie Real Estate Center, University of Pennsylvania.
  21. Van Order, Robert & Dougherty, Ann, 1991. "Housing demand and real interest rates," Journal of Urban Economics, Elsevier, vol. 29(2), pages 191-201, March.
  22. Myers, Stewart C, 1984. " The Capital Structure Puzzle," Journal of Finance, American Finance Association, vol. 39(3), pages 575-92, July.
  23. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
  24. Leonard V. Zumpano & Patricia M. Rudolph & David C. Cheng, 1986. "The Demand and Supply of Mortgage Funds and Mortgage Loan Terms," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 14(1), pages 91-109.
  25. R. Mehra & E. Prescott, 2010. "The equity premium: a puzzle," Levine's Working Paper Archive 1401, David K. Levine.
  26. Milton Friedman & L. J. Savage, 1948. "The Utility Analysis of Choices Involving Risk," Journal of Political Economy, University of Chicago Press, vol. 56, pages 279.
  27. Robert E. Litan, 1992. "Banks and real estate: regulating the unholy alliance," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, vol. 36, pages 187-229.
  28. Richard J. Herring & Susan Wachter, 1999. "Real Estate Booms and Banking Busts: An International Perspective," Center for Financial Institutions Working Papers 99-27, Wharton School Center for Financial Institutions, University of Pennsylvania.
  29. Miller, Merton H, 1977. "Debt and Taxes," Journal of Finance, American Finance Association, vol. 32(2), pages 261-75, May.
  30. Edelstein, Robert & Urosevic, Branko, 2003. "Optimal Loan Interest Rate Contract Design," The Journal of Real Estate Finance and Economics, Springer, vol. 26(2-3), pages 127-56, March-May.
  31. Mills, Edwin S, 1990. "Housing Tenure Choice," The Journal of Real Estate Finance and Economics, Springer, vol. 3(4), pages 323-31, December.
  32. Topel, Robert H & Rosen, Sherwin, 1988. "Housing Investment in the United States," Journal of Political Economy, University of Chicago Press, vol. 96(4), pages 718-40, August.
  33. Arcelus, Francisco & Meltzer, Allan H, 1973. "The Markets for Housing and Housing Services," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 5(1), pages 78-99, Part I Fe.
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