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- Title
Housing Finance in a Stochastic Economy: Contract Pricing and Choice.
- Authors
Buist, Henry; Yang, Tyler T.
- Abstract
An empirical analysis of macroeconomic time series from the mortgage, housing, capital and labor markets is based on life-cycle consumption and mortgage option pricing considerations. Vector autoregression techniques characterize the long-run equilibrium and short-run dynamics of the mortgage market as it relates to the other sectoral markets. A simultaneous-equations model characterizes the partial equilibrium in the differentiated products market for fixed- and adjustable-rate mortgage contracts. The empirical results reveal the impacts that market conditions have on mortgage volumes and prices, and they generally support the implications of the consumption and pricing theories.
- Subjects
MACROECONOMICS; ECONOMIC models; ECONOMIC policy; CONSUMPTION (Economics); PRICES; LABOR; PRICING; MORTGAGE loans; REGRESSION analysis
- Publication
Real Estate Economics, 2000, Vol 28, Issue 1, p117
- ISSN
1080-8620
- Publication type
Article
- DOI
10.1111/1540-6229.00795