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Contents Preface 1 An Introduction to Mortgage Market Economics General Background The Different Mortgage Markets The Secondary Mortgage Market Why Study Household Behaviour: The Rationale of the Book The Structure of the Book Reading the Book Summary and Conclusions Guide to Further Reading 2 The Demand for Mortgage Finance: Theory Introduction The Theoretical Basis of Mortgage Demand Modelling Mortgage Demand Under Conditions of Certainty Modelling Mortgage Demand Under Conditions of Uncertainty Down payment Constraints and Mortgage Demand Mortgage Demand, Other Mortgage Choices and the Nature of the Economic Environment Summary and Conclusions Guide to Further Reading 3 The Demand for Mortgage Finance: Empirical Evidence Introduction Some General Issues Encountered In Estimating Mortgage Demand Equations The General Findings of United States Research Empirical Research In the United Kingdom A Comparison of United States and United Kingdom Research Summary and Conclusions Guide to Further Reading 4 The 'Tilt', Mortgage Designs and the Amortisation of Debt Introduction The Tilt and Cash Constraints Mortgage Instruments for Dealing with the Tilt The Role of the Flexibility of Mortgage Debt Perspectives on the Maturity of Mortgage Debt Empirical Studies of Amortisation Behaviour Summary and Conclusions Guide to Further Reading 5 Rationing, Mortgage Market Adjustment and Separating Equilibrium Introduction A Classification of Credit Rationing in the Mortgage Market Disequilibrium Rationing Market Adjustment and Dynamic Rationing Asymmetric Information and Equilibrium Credit Market Rationing Summary and Conclusions Guide to Further Reading 6 Credit Rationing, Mortgage Market Adjustment and Separating Equilibrium: Empirical Evidence Introduction United Kingdom (Disequilibrium) Mortgage Credit Rationing Research United States (Disequilibrium) Mortgage Credit Rationing Research Modelling Mortgage Demand under Credit Rationing Mortgage Market Adjustment and Dynamic Credit Rationing Equilibrium Rationing Separating Equilibrium and Liquidity Constraints Mortgage Credit Rationing In Other Economies Summary and Conclusions Guide to Further Reading 7 The Households Choice of Mortgage Design: Theory Introduction Theoretical Determinants of the Choice of Mortgage Instrument and Contract Heterogeneity Payment Scheduling and Mortgage Contract Heterogeneity Mortgage demand Under Uncertainty and Mortgage Contract Heterogeneity Information Asymmetry and Mortgage contract Heterogeneity Interest Rate Expectations and Mortgage Contract Heterogeneity Summary and Conclusions Guide to Further Reading 8 The Households Choice of Mortgage design: Empirical Evidence Introduction Choice of Mortgage Instrument in the United States Mortgage Contract Heterogeneity in the United States The Simultaneous Determination of Mortgage Demand and Choice of Mortgage Instrument (US) Choice of Mortgage Instrument in the United Kingdom Mortgage Contract Heterogeneity In the United Kingdom The Simultaneous Determination of Mortgage Demand and Choice of Mortgage Instrument (UK) A Comparison of United States and United Kingdom Research An Overview of Empirical Work on the Choice of Mortgage Instrument Summary and Conclusions Guide to Further Reading 9 The Risky Mortgage Contract and Embedded Options: Mortgage Valuation and Household Behaviour Introduction An Overview of the Option Theoretic Approach to Mortgage Valuation The Stochastic Economic Environment Valuing a Mortgage: The General Framework The Prepayment Behaviour of the Wealth Maximising Borrower The Default Behaviour of the Wealth Maximising Borrower The Links Between Prepayment and Default Behaviour The Valuation of Alternative Mortgage Instruments and Household Behavior Summary and Conclusions Guide to Further Reading 10 Prepayment and Default Behavior: Empirical Evidence Introduction The Study of Mortgage Termination Behavior Approaches to the Econometric Modeling of Mortgage Termination Behavior Default Specific Studies Prepayment Specific Studies Default and Prepayment Behavior as Competing Risks Mortgage termination Behavior and Alternative Mortgage Instruments Summary and Conclusions Guide to Further Reading 11 Conclusion: The 'Field' of Mortgage Market Economics Introduction The State of the Art of Mortgage Market Economics: Retrospect and Prospect Revisiting the Themes of the Book Where to Mortgage Markets and Mortgage Market Economics? Other Issues Final Thoughts Bibliography
Library of Congress Subject Headings for this publication: Mortgage loans, Mortgages, Housing Finance