A Dynamic Analysis of Fixed- and Adjustable-Rate Mortgage Terminations

Long range dependency and forecasting of housing price index and mortgage market rate: evidence of subprime crisis

“…Stanton (1995) studied the choice by FRM borrowers to refinance their credits. While Deng et al (2000) and Calhoun and Deng (2002), studied the fixed and the adjustable mortgage rate, respectively FRMs and ARMs loans providing evidence that empirically, households non-payment and refinancing results seem to be strongly influenced by the moneyless of the relation options. As noted in Deng et al (2000), while the real options difficulty which is faced by households is a complicated one, the situation under which they should exercise their choices can often be quite easy to decide if the household can examine the market See Pafenberg (2005) Pence (2006), Cutts and Merrill (2008) and others have tested the importance of situation s 4 learn of mortgage markets.…”

Payment Changes and Default Risk: The Impact of Refinancing on Expected Credit Losses

“…Calhoun and Deng (2002) provide a side-by-side comparison analysis of FRMs and ARMs using a comparable empirical specification. While FRMs and ARMs have similar baseline prepayment hazards, Calhoun and Deng show that ARMs have baseline default hazards that are higher over the first two years following origination.…”

Asymmetric Information and the Automobile Loan Market

“…That is, if the borrower exercises the prepayment option then this necessarily means that the borrower is unable to exercise the option to default and vice versa. In the mortgage literature, recent studies such as Deng et al (2000), Ambrose and Sanders (2005), and Calhoun and Deng (2002) use this competing-risks framework, while Heitfield and Sabarwal (2004) employ the same method in analyzing pool-level auto loan data.…”