Structuring Mortgages for Macroeconomic Stability

• 成果类型: Article
• 署名作者: Campbell, John Y.; Clara, Nuno; Cocco, Joao F.
• 署名单位: Harvard University; National Bureau of Economic Research; Duke University; University of London; London Business School; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13056
• 发表日期: 2021
• 页码: 2525-2576
• 关键词: finance; RISK

摘要

We study mortgage design features aimed at stabilizing the macroeconomy. We model overlapping generations of borrowers and an infinitely lived risk-averse representative lender. Mortgages are priced using an equilibrium pricing kernel derived from the lender's endogenous consumption. We consider an adjustable-rate mortgage with an option that during recessions allows borrowers to pay only interest on their loan and extend its maturity. The option stabilizes consumption growth over the business cycle, shifts defaults to expansions, and enhances welfare. The cyclical properties of the contract are attractive to a risk-averse lender so that the mortgage can be provided at a relatively low cost.