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Determinants of the ARM Share of National and Regional Lending

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  • Nothaft, Frank E
  • Wang, George H K

Abstract

The authors model the ARM share of mortgage lending and provide several unique contributions to the mortgage choice literature. First, they motivate the use of the price spread between fixed- and adjustable-rate credit as a regressor by constraining the effect of FRM and ARM prices to be symmetric and show that the data support this restriction. Second, their data span a far longer time period (six years) than previous research. Third, they estimate separate share equations by region, allowing them to contrast geographic variation in ARM shares. Fourth, they examine the effect of convertible ARMs--which became prevalent in mid-1987--on overall ARM lending. Copyright 1992 by Kluwer Academic Publishers

Suggested Citation

  • Nothaft, Frank E & Wang, George H K, 1992. "Determinants of the ARM Share of National and Regional Lending," The Journal of Real Estate Finance and Economics, Springer, vol. 5(2), pages 219-234, June.
  • Handle: RePEc:kap:jrefec:v:5:y:1992:i:2:p:219-34
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    References listed on IDEAS

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    1. Michelle H. Dreiman & Anthony Pennington-Cross, 2004. "Alternative Methods of Increasing the Precision of Weighted Repeat Sales House Prices Indices," The Journal of Real Estate Finance and Economics, Springer, pages 299-317.
    2. Englund, Peter & Quigley, John M. & Redfearn, Christian L., 1998. "Improved Price Indexes for Real Estate: Measuring the Course of Swedish Housing Prices," Journal of Urban Economics, Elsevier, vol. 44(2), pages 171-196, September.
    3. M. Baroni & F. Barthélémy & M. Mokrane, 2004. "Physical Real Estate: A Paris Repeat Sales Residential Index," THEMA Working Papers 2004-17, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    4. John M. Clapp & Carmelo Giaccotto, 1999. "Revisions in Repeat-Sales Price Indexes: Here Today, Gone Tomorrow?," Real Estate Economics, American Real Estate and Urban Economics Association, pages 79-104.
    5. Michel Baroni & Fabrice Barthélémy & Mahdi Mokrane, 2004. "Physical Real Estate. A Paris Repeat Sales Residential Index," ERES eres2004_105, European Real Estate Society (ERES).
    6. Goetzmann, William Nelson, 1992. "The Accuracy of Real Estate Indices: Repeat Sale Estimators," The Journal of Real Estate Finance and Economics, Springer, vol. 5(1), pages 5-53, March.
    7. Case, Karl E & Shiller, Robert J, 1989. "The Efficiency of the Market for Single-Family Homes," American Economic Review, American Economic Association, pages 125-137.
    8. Rosen, Sherwin, 1974. "Hedonic Prices and Implicit Markets: Product Differentiation in Pure Competition," Journal of Political Economy, University of Chicago Press, vol. 82(1), pages 34-55, Jan.-Feb..
    9. Robert J. Shiller, 1991. "Arithmetic Repeat Sales Price Estimators," Cowles Foundation Discussion Papers 971, Cowles Foundation for Research in Economics, Yale University.
    10. Baroni, Michel & Barthélémy, Fabrice & Mokrane, Mahdi, 2004. "Physical Real Estate: A Paris Repeat Sales Residential Index," ESSEC Working Papers DR 04007, ESSEC Research Center, ESSEC Business School.
    11. Steele, Marion & Goy, Richard, 1997. "Short Holds, the Distributions of First and Second Sales, and Bias in the Repeat-Sales Price Index," The Journal of Real Estate Finance and Economics, Springer, pages 133-154.
    12. Bourassa, Steven C. & Hoesli, Martin & Sun, Jian, 2006. "A simple alternative house price index method," Journal of Housing Economics, Elsevier, pages 80-97.
    13. Min Hwang & John M. Quigley, 2004. "Selectivity, Quality Adjustment and Mean Reversion in the Measurement of House Values," The Journal of Real Estate Finance and Economics, Springer, pages 161-178.
    14. Hoesli, Martin & Giaccotto, Carmelo & Favarger, Philippe, 1997. "Three New Real Estate Price Indices for Geneva, Switzerland," The Journal of Real Estate Finance and Economics, Springer, pages 93-109.
    15. Case, Karl E & Shiller, Robert J, 1989. "The Efficiency of the Market for Single-Family Homes," American Economic Review, American Economic Association, pages 125-137.
    16. John Clapp, 1998. "Revisions in Repeat Sales Price Indices: Here Today, Gone Tomorrow?," ERES eres1998_128, European Real Estate Society (ERES).
    17. Min Hwang & John M. Quigley, 2004. "Selectivity, Quality Adjustment and Mean Reversion in the Measurement of House Values," The Journal of Real Estate Finance and Economics, Springer, pages 161-178.
    18. Michelle H. Dreiman & Anthony Pennington-Cross, 2004. "Alternative Methods of Increasing the Precision of Weighted Repeat Sales House Prices Indices," The Journal of Real Estate Finance and Economics, Springer, pages 299-317.
    19. Jesse M. Abraham & William S. Schauman, 1991. "New Evidence on Home Prices from Freddie Mac Repeat Sales," Real Estate Economics, American Real Estate and Urban Economics Association, pages 333-352.
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    Cited by:

    1. Brahima Coulibaly & Geng Li, 2009. "Choice of Mortgage Contracts: Evidence from the Survey of Consumer Finances," Real Estate Economics, American Real Estate and Urban Economics Association, pages 659-673.
    2. Brahima Coulibaly & Geng Li, 2009. "Choice of Mortgage Contracts: Evidence from the Survey of Consumer Finances," Real Estate Economics, American Real Estate and Urban Economics Association, pages 659-673.
    3. Jan K. Brueckner & Kangoh Lee, 2014. "Optimal Risk-Sharing in Mortgage Contracts: The Effects of Potential Prepayment and Default," CESifo Working Paper Series 4979, CESifo Group Munich.
    4. Hancock, Diana & Passmore, Wayne, 2016. "Cost of funds indexed mortgage contracts with government-backed catastrophic insurance (COFI-Cats): A realistic alternative to the 30-year fixed-rate mortgage?," Journal of Economics and Business, Elsevier, pages 109-130.
    5. Zheng Liu & Feng Huang & Dongming Zhu & Hui He, 2014. "Breaking the "Iron Rice Bowl" and Precautionary Savings: Evidence from Chinese State-Owned Enterprises Reform," 2014 Meeting Papers 764, Society for Economic Dynamics.

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