Eres : Digital Library : Works

Paper eres2009_115:
Macroeconomic Environment and the Optimal Mortgage Contract Design

id eres2009_115
authors Sturm, Melanie
year 2009
title Macroeconomic Environment and the Optimal Mortgage Contract Design
source 16th Annual European Real Estate Society Conference in Stockholm, Sweden
summary We compare conventional mortgage contract designs like the adjustable rate mortgage and the ¯xed rate mortgage with an alternative mortgage contract design that allows the borrower to bene¯t from interest movements but secures him of any interest rate risk. We investigate the optimal mortgage contract design from both a macroeconomic and the borrower's perspective. Our analysis relies on Monte Carlo Simulations of a risky interest rate, house value and borrower income and distinguishes between di®erent economic trends. We also study the influence of surprising events in the economy on the optimal mortgage contract design."
series ERES:conference
content file.pdf (93,116 bytes)
discussion No discussions. Post discussion ...
session Doctoral sessions
last changed 2009/09/16 16:22
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