Bias in estimates of discrimination and default in mortgage lending: The effects of simultaneity and self-selection

The common practices of estimating single-equation models of mortgage rejection to test for discrimination in mortgage markets or single-equation ex ante mortgage default equations to validate underwriting criteria produce biased and inconsistent parameter estimates. This is due to problems of simultaneous equations bias which arise because, in a world of imperfect information, mortgage terms are not exogenous to the rejection or default decision. In addition, mortgage default estimates are also subject to selection bias. Monte Carlo experiments are used to study the nature and extent of likely bias in single-equation estimation results. We find that rejection equation estimates indicate discrimination when none exists and that estimated coefficients of mortgage terms, such as the loan-to-value ratio, are also subject to significant bias in both rejection and default equations.     

论我国住房抵押贷款证券化

本文以借鉴和运用资产证券化这一金融创新工具为出发点，论证我国实行住房抵押贷款证券化的必要性，并提出应采取的对策选择。     

Determinants of the ARM share of national and regional lending

We model the ARM share of mortgage lending and provide several unique contributions to the mortgage choice literature. First, we motivate the use of the price spread between fixed- and adjustable-rate credit as a regressor by constraining the effect of FRM and ARM prices to be symmetric and show that the data support this restriction. Second, our data span a far longer time period (six years) than previous research. Third, we estimate separate share equations by region, allowing us to contrast geographic variation in ARM shares. Fourth, we examine the effect of convertible ARMs—which became prevalent in mid-1987—on overall ARM lending.     

最高额抵押权决算与实现问题探析

抵押权是债权的重要担保方式之一,最高额抵押权则是抵押权中的一种。我国担保法对决算与实现的规范相当简陋,实践中缺乏具体的可操作性依据。我国应借鉴日本民法的相关规范来完善我国的最高额抵押权制度。     

基于美国次贷危机视角的我国资产证券化发展

2007年2月,美国次贷危机爆发。随着其对全球金融的影响不断扩大和深化,对资产证券化质疑的声音随之增加。本文通过深入分析美国房贷证券化的发展过程及次级贷款危机的原因,结合我国资产证券化实践,得出资产证券化工具运用本身并不是导致次贷危机的根本原因。对我国的资产证券化的稳定推进提出了政策性建议。     

经济危机对我国经济的影响及政策建议

从2006年春李开始逐步显现并在2007年席卷美国的次贷危机给中国经济造成了很大的影响，首当其冲的是金融领域。2008年中国经济虽在国民经济的各个领域都有所下滑，但纵观全局，此次金融危机给金融领域造成的冲击更为严重，而对中国实体经济尚未造成严重的影响，通过对上市公司业绩的实证分析，来说明这一观点。由此提出政策性建议，政府 关键词：     

我国商业银行资产证券化发展分析

我国商业银行资产证券化正面临着不完善的监管体系和法律制度、供给不足、需求不足等问题，不利于进一步推进资产证券化的发展要求，但是应该认识到当前我们具有开展资产证券化的良好机遇。本文回顾和分析了我国商业银行资产证券化的发展历程及存在的主要问题，并在此基础上对我国商业银行进一步推进资产证券化提出了可行性建议。     

On the determinants of yield spreads between mortgage pass-through and Treasury securities

Yield spreads between mortgage pass-through and U.S. Treasury securities may reflect differences in taxation, phenomena affecting relative supply and demand, and compensation for default, call, and marketability risks on mortgage instruments. Our research empirically models differences in yields between pass-throughs and comparable-maturity Treasuries. We find that interest-rate volatility and the term structure of rates, factors often cited in the mortgage pricing literature as affecting the mortgage call premium, are the primary determinants of movements in these spreads. Moreover, these effects have grown in importance in recent years as exercise of the prepayment option has increased. We also find evidence that liquidity and credit concerns affect the pricing of pass-through securities.     

Controlling for Burnout in Estimating Mortgage Prepayment Models

Burnout is a consequence of unobservable predictive variables. This paper describes a methodology for estimating mortgage prepayment models which corrects for burnout. The paper generalizes the approach of Deng, Quigley, and Van Order (Econometrica, 68, 275–307, 1998) and Stanton (Rev. Finan. Stud.8, 677–708, 1995) in modeling the impact of unobservable variables as a probability distribution. The estimator is applied to a sample of loan histories and the results compared to a conventional logit analysis of the data. Predictions and simulations from both models are compared to illustrate the properties of the new estimator.     

INTENSITY-BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL

This paper presents an analytically tractable valuation model for residential mortgages. The random mortgage prepayment time is assumed to have an intensity process of the form h _t = h ₀( t ) +γ ( k − r _t )⁺ , where h ₀( t ) is a deterministic function of time, r _t is the short rate, and γ and k are scalar parameters. The first term models exogenous prepayment independent of interest rates (e.g., a multiple of the PSA prepayment function). The second term models refinancing due to declining interest rates and is proportional to the positive part of the distance between a constant threshold level and the current short rate. When the short rate follows a CIR diffusion, we are able to solve the model analytically and find explicit expressions for the present value of the mortgage contract, its principal-only and interest-only parts, as well as their deltas. Mortgage rates at origination are found by solving a non-linear equation. Our solution method is based on explicitly constructing an eigenfunction expansion of the pricing semigroup, a Feynman-Kac semigroup of the CIR diffusion killed at an additive functional that is a linear combination of the integral of the CIR process and an area below a constant threshold and above the process sample path (the so-called area functional). A sensitivity analysis of the term structure of mortgage rates and calibration of the model to market data are presented.