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Our study uses a multinomial logit model to analyze the concurrent termination experience of adjustable-rate and fixed-rate mortgages. A new set of ARM-specific interactive determinants expands the conventional FRM specification to isolate the unique termination behavior of ARMs. We find that expected rate adjustments and large lifetime caps are positively related to ARM termination probabilities while long adjustment frequencies are inversely related. Caps, both periodic and lifetime, have a secondary, inverse effect on termination probabilities when interest-rate movements exceed cap limits. The model also shows that interest-rate expectations affect FRM terminations more strongly than ARM terminations. [ABSTRACT FROM AUTHOR]

This paper examines the contrasting influence of portfolio lending and securitization in the resolution of distressed commercial real estate. The empirical analysis utilizes a large and unique data set of distressed commercial mortgages. The data set is constructed based on the recent financial crisis and includes portfolio and securitized loans. The main hypotheses address the marginal impact of portfolio versus securitized loans on the likelihood of resolution, resolution outcome, time to resolution and capital recovery rates. Conditional on a loan becoming troubled, we find that distressed commercial real estate loans held in a portfolio are more likely to be resolved and experience higher foreclosure rates compared to those that are securitized. Furthermore, portfolio loans experience shorter time to resolution and higher capital recovery rates when resolution is relatively swift. Our study is intended to contribute to the growing literature on distressed asset resolution and to provide new perspectives on how different lending options impact the financial resolution and workout process in a distressed commercial mortgage market. [ABSTRACT FROM AUTHOR]

Examines the relationship between mortgage current coupons, Treasury rates and swap rates. Usage of regression-based approaches; Prediction of mortgage rates of Treasury rates; Reliability of swaps rates in predicting mortgage rates.

Comments on the article on effects of Fannie Mae and Freddie Mac on mortgage markets. Influence on mortgage rates; Discussion on public-policy issues; Structure of the mortgage market.

Presents a test of integration and cointegration of commercial mortgage rates. Cyclical turning points and movements in mortgage rates; Unit root and cointegration tests; Long-run equilibrium and short-run dynamic relationships between mortgage and capital markets.

Discusses the operation of capital market in the United States during the late nineteenth century. Argument on the persistence of a substantial regional differentials in farm and home mortgage rates throughout the postbellum period; Reason for favoring a more substantial market imperfections in the analysis of farm mortgage interest rates; Relationship between land values and mortgage interest rates.

Abstract. Using tax-qualified mortgage REITs over three periods (1976-79, 1980-82, and 1983-90), this paper investigates the pricing of interest-rate risk for mortgage REITs at equilibrium. A system of nonlinear equations is estimated to determine the monthly interest-rate risk premium over each of the three time intervals. There is evidence to support the hypothesis that interest-rate risk is not diversifiable and hence commands a risk premium. [ABSTRACT FROM AUTHOR]

Abstract. This paper analyzes determinants of the fifteen- versus thirty-year fixed-rate mortgage (FRM) loan term decision. Because the thirty-year FRM may be converted (by partial prepayment) to the shorter term, the thirty-year instrument provides the implicit option to extend repayment. Relative rates measure the price (cost) of this option to the consumer. The results indicate that the term decision of consumers is highly sensitive to relative rates: probit estimates using data from a large national lending institution for the 1987 to 1990 period indicate that a 1% increase in the ratio of fifteen- to thirty-year rates lowers the probability of fifteen-year term choice by 20%. The results also indicate that expected housing price appreciation, which measures investment determinants of housing demand, is negatively related to the fifteen-year FRM term choice. [ABSTRACT FROM AUTHOR]

Abstract. This paper investigates relative pricing determinants of the fixed-rate mortgage (FRM) versus adjustable-rate mortgage (ARM) decision. A probit model is estimated using data from a national sample of residential housing transactions for the 1986 to 1988 period. The results suggest that the probability of ARM choice is highly sensitive to ARM initial rate ("teaser") discounts and differences in the ratio of FRM to ARM points. In addition, the findings indicate that the level of local housing prices is an important determinant of ARM choice. [ABSTRACT FROM AUTHOR]

Examines the literature of applying option pricing models to mortgages in the United States. Definition of mortgage; Classification of mortgage options into prepayment and default options; Application of continuous-time stock and bond option-pricing methodology in mortgage pricing research.

The increase in U.S. mortgage rates from nine per cent in 1976 to fifteen per cent in 1982 raised monthly mortgage payments by about sixty per cent, even before rising house prices in the United States over this period are taken into account. Not surprisingly, attention has been focused on ways and means of counteracting spiralling housing costs. One proposed solution is land leasing. Under such an arrangement, the homebuyer purchases the house but leases the land. (There may be an option to buy the land at some time in the future.) Land leasing reduces the overall purchase price, and hence lowers the minimum down-payment and the initial monthly mortgage payment. In Hawaii, land leasing has been a readily available alternative to land owning throughout the postwar period. The analysis of residential housing prices in Hawaii provides some quantitative estimates of the relative prices of leasehold versus fee simple properties. The average price differential is surprisingly small. One explanation of these small price differentials, for which a model is developed and tested here, is that borrowing-constrained households use high discount rates to calculate the present value of the future land price that they will, in effect, have to pay at the expiration of the lease. These discount rates are estimated in a nonlinear hedonic property price equation. The results are then employed to answer the question: Under what conditions would a leaseholder buy the land outright before the expiration of the lease? [ABSTRACT FROM AUTHOR]

It is claimed that mortgages are at present cheap so that people can afford higher mortgages, and hence more expensive houses, than previously. But that claim is based on money illusion. Nominal interest rates are at present 'low' primarily because of relatively low inflation. People contemplating mortgages should look at real values or they may face an unexpectedly large debt burden in the future. [ABSTRACT FROM AUTHOR]