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Housing Finance in a Stochastic Economy: Contract Pricing and Choice
Author(s) -
Buist Henry,
Yang Tyler T.
Publication year - 2000
Publication title -
real estate economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.064
H-Index - 61
eISSN - 1540-6229
pISSN - 1080-8620
DOI - 10.1111/1540-6229.00795
Subject(s) - economics , consumption (sociology) , incomplete markets , business cycle , financial economics , capital market , monetary economics , microeconomics , macroeconomics , finance , social science , sociology
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 adjustablerate 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.