论文标题
抵押合同和水下违约
Mortgage Contracts and Underwater Default
论文作者
论文摘要
我们分析了最近提出的抵押合同，该合同旨在消除贷款余额超过房价的选择性借款人违约（``水下''效应）。我们显示的合同可以自动降低房价下降的未偿余额，从而消除了违约激励措施，但可能会在低价状态下预付预付款。但是，如果房屋所有权的利益足够高，则低国家预付款消失了。我们还表明，资本收益共享功能，例如高价价格状况的预付款，因为它们实际上消除了预付款，因此无效。对于观察到的止赎费用，我们发现具有自动余额调整的合同比传统的固定利率合同可比抵押贷款利率的传统合同优于20-50个基点之间。我们在具有扩散房价的连续时间模型中使用American Option定价方法来为合同的永久版本获得这些结果。合同的价值观和最佳决策规则与自由边界问题有关，这些问题承认了半明确的解决方案。
We analyze recently proposed mortgage contracts that aim to eliminate selective borrower default when the loan balance exceeds the house price (the ``underwater'' effect). We show contracts that automatically reduce the outstanding balance in the event of house price decline remove the default incentive, but may induce prepayment in low price states. However, low state prepayments vanish if the benefit from home ownership is sufficiently high. We also show that capital gain sharing features, such as prepayment penalties in high house price states, are ineffective as they virtually eliminate prepayment. For observed foreclosure costs, we find that contracts with automatic balance adjustments become preferable to the traditional fixed-rate contracts at mortgage rate spreads between 20-50 basis points. We obtain these results for perpetual versions of the contracts using American options pricing methodology, in a continuous-time model with diffusive home prices. The contracts' values and optimal decision rules are associated with free boundary problems, which admit semi-explicit solutions.
