MARC Record from Scriblio

LEADER: 02145cam 22003257a 4500
001 2005616478
003 DLC
005 20050217154059.0
007 cr |||||||||||
008 050203s1998 nyu sb f000 0 eng
010 $a 2005616478
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aBennett, Paul.
245 10 $aImplied mortgage refinancing thresholds$h[electronic resource] /$cPaul Bennett, Richard Peach, and Stavros Peristiani.
260 $a[New York, N.Y.] :$bFederal Reserve Bank of New York,$c[1998]
490 1 $aStaff reports ;$vno. 49
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 2/3/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"The optimal prepayment model asserts that rational homeowners would refinance if they can reduce the current value of their liabilities by an amount greater than the refinancing threshold, defined as the cost of carrying the transaction plus the time value of the embedded call option. To compute the notional value of the refinancing threshold, researchs have traditionally relied on a discrete option-pricing model. Using a unique loan level dataset that links homeowner attributes with property and loan characteristics, this study proposes an alternative approach of estimating the implied value of the refinancing threshold. This empirical method enables us to measure the minimum interest rate differential needed to justify refinancing conditional on the borrower's creditworthiness, remaining maturity, and other observable characteristics"--Federal Reserve Bank of New York web site.
650 0 $aMortgage loans$zUnited States$xRefinancing$xEconometric models.
650 0 $aHousing$zUnited States$xFinance$xEconometric models.
700 1 $aPeach, Richard Wilson,$d1951-
700 1 $aPeristiani, Stavros.
710 2 $aFederal Reserve Bank of New York.
830 0 $aStaff reports (Federal Reserve Bank of New York : Online) ;$vno. 49.
856 40 $uhttp://www.ny.frb.org/research/staff_reports/sr49.html