抵押合同与水下违约
Mortgage Contracts and Underwater Default
摘要：
我们分析了最近提出的抵押贷款合同，旨在消除选择性借款人违约时，贷款余额超过房价（“水下”效应）。我们发现，在房价下跌的情况下，自动减少未偿余额的合同消除了违约激励，但可能会在低价格状态下诱导提前还款。然而，如果房屋所有权的收益足够高，那么低的国家预付款就会消失。我们还表明，资本收益共享功能，如在高房价国家的提前还款处罚，是无效的，因为他们几乎消除提前还款。对于所观察到的止赎成本，我们发现，自动平衡调整的合同变得更可取的传统固定利率合同在20-50个基点之间的抵押贷款利率差。我们得到这些结果的永久版本的合同使用美式期权定价方法，在一个连续时间模型与扩散的房价。合同的价值和最优决策规则与自由边界问题相关联，它允许半显式解。
英文摘要：
We analyze recently proposed mortgage contracts that aim to eliminate selective borrower default when the loan balance exceeds the house price (the ``underwater'' effect). We show contracts that automatically reduce the outstanding balance in the event of house price decline remove the default incentive, but may induce prepayment in low price states. However, low state prepayments vanish if the benefit from home ownership is sufficiently high. We also show that capital gain sharing features, such as prepayment penalties in high house price states, are ineffective as they virtually eliminate prepayment. For observed foreclosure costs, we find that contracts with automatic balance adjustments become preferable to the traditional fixed-rate contracts at mortgage rate spreads between 20-50 basis points. We obtain these results for perpetual versions of the contracts using American options pricing methodology, in a continuous-time model with diffusive home prices. The contracts' values and optimal decision rules are associated with free boundary problems, which admit semi-explicit solutions.
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