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Adjustable and Fixed Rate Mortgages as a Screening Mechanism for Default Risk

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  • Posey, Lisa L.
  • Yavas, Abdullah

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  • Posey, Lisa L. & Yavas, Abdullah, 2001. "Adjustable and Fixed Rate Mortgages as a Screening Mechanism for Default Risk," Journal of Urban Economics, Elsevier, vol. 49(1), pages 54-79, January.
    • Handle: RePEc:eee:juecon:v:49:y:2001:i:1:p:54-79
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    References listed on IDEAS

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    1. Jan K. Brueckner, 1993. "Why Do We Have ARMs?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(3), pages 333-345, September.
    2. Timothy J. Riddiough & Howard E. Thompson, 1993. "Commercial Mortgage Pricing with Unobservable Borrower Default Costs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(3), pages 265-291, September.
    3. Dhillon, Upinder S & Shilling, James D & Sirmans, C F, 1987. "Choosing between Fixed and Adjustable Rate Mortgages: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 19(2), pages 260-267, May.
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    5. Anjan V. Thakor, 1991. "Game Theory in Finance," Financial Management, Financial Management Association, vol. 20(1), Spring.
    6. Dhillon, Upinder & Sa-Aadu, J & Shilling, James D, 1996. "Choosing between Fixed- and Adjustable-Rate Mortgages: The Case of Commercial Mortgages," The Journal of Real Estate Finance and Economics, Springer, vol. 12(3), pages 265-277, May.
    7. Baesel, Jerome B. & Biger, Nahum, 1980. "The Allocation of Risk: Some Implications of Fixed versus Index-Linked Mortgages," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(2), pages 457-468, June.
    8. T. L. Tyler Yang, 1992. "Self‐Selection in the Fixed‐Rate Mortgage Market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 20(3), pages 359-391, September.
    9. Jones, Steven T. & Miller, Norman G. & Riddiough, Timothy J., 1995. "Residential Mortgage Choice: Does the Supply Side Matter?," Journal of Housing Economics, Elsevier, vol. 4(1), pages 71-90, March.
    10. Brueckner, Jan K., 1992. "Borrower mobility, self-selection, and the relative prices of fixed- and adjustable-rate mortgages," Journal of Financial Intermediation, Elsevier, vol. 2(4), pages 401-421, December.
    11. Alm, James & Follain, James R., 1984. "Alternative Mortgage Instruments, the Tilt Problem, and Consumer Welfare," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(1), pages 113-126, March.
    12. Schwartz, Eduardo S & Torous, Walter N, 1992. "Prepayment, Default, and the Valuation of Mortgage Pass-through Securities," The Journal of Business, University of Chicago Press, vol. 65(2), pages 221-239, April.
    13. Bester, Helmut, 1985. "Screening vs. Rationing in Credit Markets with Imperfect Information," American Economic Review, American Economic Association, vol. 75(4), pages 850-855, September.
    14. Dwight M. Jaffee & Thomas Russell, 1976. "Imperfect Information, Uncertainty, and Credit Rationing," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 90(4), pages 651-666.
    15. Hellmuth Milde & John G. Riley, 1988. "Signaling in Credit Markets," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 103(1), pages 101-129.
    16. Titman, Sheridan, 1992. "Interest Rate Swaps and Corporate Financing Choices," Journal of Finance, American Finance Association, vol. 47(4), pages 1503-1516, September.
    17. Brueckner, Jan K & Follain, James R, 1988. "The Rise and Fall of the ARM: An Econometric Analysis of Mortgage Choice," The Review of Economics and Statistics, MIT Press, vol. 70(1), pages 93-102, February.
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    20. Kau, James B & Keenan, Donald C & Muller, Walter J, III & Epperson, James F, 1993. "Option Theory and Floating-Rate Securities with a Comparison of Adjustable- and Fixed-Rate Mortgages," The Journal of Business, University of Chicago Press, vol. 66(4), pages 595-618, October.
    21. Brueckner Jan K., 1994. "Borrower Mobility, Adverse Selection, and Mortgage Points," Journal of Financial Intermediation, Elsevier, vol. 3(4), pages 416-441, September.
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    23. Guedes, Jose & Thompson, Rex, 1995. "Tests of a Signaling Hypothesis: The Choice between Fixed- and Adjustable-Rate Debt," The Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 605-636.
    24. Campbell, Tim S & Dietrich, J Kimball, 1983. "The Determinants of Default on Insured Conventional Residential Mortgage Loans," Journal of Finance, American Finance Association, vol. 38(5), pages 1569-1581, December.
    25. Mester, Loretta J, 1994. "Why Are Credit Card Rates Sticky?," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 4(4), pages 505-530, May.
    26. Vandell, Kerry D, 1978. "Default Risk under Alternative Mortgage Instruments," Journal of Finance, American Finance Association, vol. 33(5), pages 1279-1296, December.
    27. LeRoy, Stephen F, 1996. "Mortgage Valuation under Optimal Prepayment," The Review of Financial Studies, Society for Financial Studies, vol. 9(3), pages 817-844.
    28. Kau, James B. & Keenan, Donald C. & Muller, Walter III & Epperson, James F., 1987. "The valuation and securitization of commercial and multifamily mortgages," Journal of Banking & Finance, Elsevier, vol. 11(3), pages 525-546, September.
    29. Michael Spence, 1973. "Job Market Signaling," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 87(3), pages 355-374.
    30. Sa-Aadu, J & Sirmans, C F, 1995. "Differentiated Contracts, Heterogeneous Borrowers, and the Mortgage Choice Decision," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(2), pages 498-510, May.
    31. Kau, James B, et al, 1992. "A Generalized Valuation Model for Fixed-Rate Residential Mortgages," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 24(3), pages 279-299, August.
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