Mortgage timing

• 成果类型: Article
• 署名作者: Koijen, Ralph S. J.; Van Hemert, Otto; Van Nieuwerburgh, Stijn
• 署名单位: New York University; University of Chicago; Tilburg University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2008.09.005
• 发表日期: 2009
• 页码: 292-324
• 关键词: Mortgage choice; household finance; Bond risk premia

摘要

We study how the term structure of interest rates relates to mortgage choice at both household and aggregate levels. A simple utility framework of mortgage choice points to the long-term bond risk premium as distinct from the yield spread and the long yield as a theoretical determinant of mortgage choice: when the bond risk premium is high, fixed-rate mortgage payments are high, making adjustable-rate mortgages more attractive. We confirm empirically that the bulk of the time variation in both aggregate and loan-level mortgage choice can be explained by time variation in the bond risk premium, whether bond risk premia are measured using forecasters' data, a vector autoregressive (VAR) term structure model, or a simple household decision rule based on adaptive expectations. The household decision rule moves in lock-step with mortgage choice. lending credibility to a theory of strategic mortgage timing by households. (C) 2009 Elsevier B.V. All rights reserved.