IDEAS home Printed from https://ideas.repec.org/e/c/pke193.html
   My authors  Follow this author

Donald Keenan

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Donald C. Keenan & Nadeem Naqvi & Gerald Pech, 2011. "A Theory of Dynamic Tariff and Quota Retaliation," MAGKS Papers on Economics 201144, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).

    Cited by:

    1. Safet KURTOVIC & Blerim HALILI & Nehat MAXHUNI, 2017. "The effect of preferential tariffs of the EU: Some evidence from B&H," Journal of Economics and Political Economy, KSP Journals, vol. 4(3), pages 247-262, September.

Articles

  1. Keenan, Donald C. & Snow, Arthur, 2022. "Reversibly greater downside risk aversion by a prudence-based measure," Economics Letters, Elsevier, vol. 210(C).

    Cited by:

    1. De Donno, Marzia & Menegatti, Mario, 2022. "On the relationship between comparisons of risk aversion of different orders," Journal of Mathematical Economics, Elsevier, vol. 102(C).

  2. Donald C. Keenan & Arthur Snow, 2022. "Reversibly greater downside risk aversion," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 47(2), pages 327-338, September.

    Cited by:

    1. De Donno, Marzia & Menegatti, Mario, 2022. "On the relationship between comparisons of risk aversion of different orders," Journal of Mathematical Economics, Elsevier, vol. 102(C).

  3. Andréas Heinen & James B. Kau & Donald C. Keenan & Mi Lim Kim, 2021. "Spatial Dependence in Subprime Mortgage Defaults," The Journal of Real Estate Finance and Economics, Springer, vol. 62(1), pages 1-24, January.

    Cited by:

    1. Arunav Das, 2021. "Visual Analytics approach for finding spatiotemporal patterns from COVID19," Papers 2101.06476, arXiv.org.

  4. Donald C. Keenan & Arthur Snow, 2018. "Direction And Intensity Of Risk Preference At The Third Order," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 85(2), pages 355-378, June.

    Cited by:

    1. Donald C. Keenan & Arthur Snow, 2022. "Reversibly greater downside risk aversion," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 47(2), pages 327-338, September.
    2. Richard Peter, 2024. "The economics of self-protection," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 49(1), pages 6-35, March.
    3. Richard Peter, 2021. "A fresh look at primary prevention for health risks," Health Economics, John Wiley & Sons, Ltd., vol. 30(5), pages 1247-1254, May.

  5. Keenan, Donald C. & Snow, Arthur, 2018. "Bringing order to rankings of utility functions by strong increases in nth order aversion to risk," Journal of Mathematical Economics, Elsevier, vol. 78(C), pages 35-44.

    Cited by:

    1. De Donno, Marzia & Menegatti, Mario, 2022. "On the relationship between comparisons of risk aversion of different orders," Journal of Mathematical Economics, Elsevier, vol. 102(C).

  6. Keenan, Donald C. & Snow, Arthur, 2017. "Greater parametric downside risk aversion," Journal of Mathematical Economics, Elsevier, vol. 71(C), pages 119-128.

    Cited by:

    1. Keenan, Donald C. & Snow, Arthur, 2018. "Bringing order to rankings of utility functions by strong increases in nth order aversion to risk," Journal of Mathematical Economics, Elsevier, vol. 78(C), pages 35-44.
    2. Keenan, Donald C. & Snow, Arthur, 2022. "Reversibly greater downside risk aversion by a prudence-based measure," Economics Letters, Elsevier, vol. 210(C).
    3. Liqun Liu & William S. Neilson, 2019. "Alternative Approaches to Comparative n th-Degree Risk Aversion," Management Science, INFORMS, vol. 65(8), pages 3824-3834, August.

  7. Donald C. Keenan & Arthur Snow, 2016. "Strong Increases in Downside Risk Aversion," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 41(2), pages 149-161, September.

    Cited by:

    1. Liqun Liu & Nicolas Treich, 2021. "Optimality of winner-take-all contests: the role of attitudes toward risk," Post-Print hal-03722083, HAL.
    2. Donald C. Keenan & Arthur Snow, 2022. "Reversibly greater downside risk aversion," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 47(2), pages 327-338, September.
    3. De Donno, Marzia & Menegatti, Mario, 2022. "On the relationship between comparisons of risk aversion of different orders," Journal of Mathematical Economics, Elsevier, vol. 102(C).
    4. Keenan, Donald C. & Snow, Arthur, 2018. "Bringing order to rankings of utility functions by strong increases in nth order aversion to risk," Journal of Mathematical Economics, Elsevier, vol. 78(C), pages 35-44.
    5. Liqun Liu & Jack Meyer & Andrew J. Rettenmaier & Thomas R. Saving, 2018. "Risk and risk aversion effects in contests with contingent payments," Journal of Risk and Uncertainty, Springer, vol. 56(3), pages 289-305, June.
    6. Keenan, Donald C. & Snow, Arthur, 2022. "Reversibly greater downside risk aversion by a prudence-based measure," Economics Letters, Elsevier, vol. 210(C).
    7. Liqun Liu & William S. Neilson, 2019. "Alternative Approaches to Comparative n th-Degree Risk Aversion," Management Science, INFORMS, vol. 65(8), pages 3824-3834, August.

  8. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Donald Keenan, 2015. "Cornish-Fisher Expansion for Commercial Real Estate Value at Risk," The Journal of Real Estate Finance and Economics, Springer, vol. 50(4), pages 439-464, May.

    Cited by:

    1. Candelon, Bertrand & Fuerst, Franz & Hasse, Jean-Baptiste, 2021. "Diversification Potential in Real Estate Portfolios," LIDAM Discussion Papers LFIN 2021001, Université catholique de Louvain, Louvain Finance (LFIN).
    2. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Jean-Luc Prigent & Donald Keenan & Mahdi Mokrane, 2017. "Modified Sharpe Ratios in Real Estate Performance Measurement: Beyond the Standard Cornish Fisher Expansion," THEMA Working Papers 2017-20, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    3. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy, 2015. "Ex-ante real estate Value at Risk calculation method," ERES eres2015_56, European Real Estate Society (ERES).
    4. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy, 2022. "Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion," Annals of Operations Research, Springer, vol. 313(2), pages 691-712, June.
    5. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Didier Maillard, 2019. "Computation of the corrected Cornish–Fisher expansion using the response surface methodology: application to VaR and CVaR," Annals of Operations Research, Springer, vol. 281(1), pages 423-453, October.
    6. Carnero, M. Angeles & León, Angel & Ñíguez, Trino-Manuel, 2023. "Skewness in energy returns: estimation, testing and retain-->implications for tail risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 178-189.

  9. James Kau & Donald Keenan & Constantine Lyubimov, 2014. "First Mortgages, Second Mortgages, and Their Default," The Journal of Real Estate Finance and Economics, Springer, vol. 48(4), pages 561-588, May.

    Cited by:

    1. Kelly, Robert & O'Malley, Terence & O'Toole, Conor, 2015. "Designing Macro-prudential Policy in Mortgage Lending: Do First Time Buyers Default Less?," Research Technical Papers 02/RT/15, Central Bank of Ireland.
    2. Stefano Colonnello & Mariela Dal Borgo, 2024. "Raising Household Leverage: Evidence from Co-Financed Mortgages," Working Papers 2024: 01, Department of Economics, University of Venice "Ca' Foscari".
    3. Darren K. Hayunga & R. Kelley Pace & Shuang Zhu, 2019. "Borrower Risk and Housing Price Appreciation," The Journal of Real Estate Finance and Economics, Springer, vol. 58(4), pages 544-566, May.

  10. Calistus N Ngonghala & Mateusz M Pluciński & Megan B Murray & Paul E Farmer & Christopher B Barrett & Donald C Keenan & Matthew H Bonds, 2014. "Poverty, Disease, and the Ecology of Complex Systems," PLOS Biology, Public Library of Science, vol. 12(4), pages 1-9, April.

    Cited by:

    1. Christopher B. Barrett & Michael R. Carter & Jean-Paul Chavas, 2017. "Introduction to "The Economics of Poverty Traps"," NBER Chapters, in: The Economics of Poverty Traps, pages 1-20, National Bureau of Economic Research, Inc.
    2. Zhenshan Yang & Ding Yang & Dongqi Sun & Linsheng Zhong, 2023. "Ecological and social poverty traps: Complex interactions moving toward sustainable development," Sustainable Development, John Wiley & Sons, Ltd., vol. 31(2), pages 853-864, April.
    3. Garg, Teevrat, 2014. "Public Health Effects of Natural Resource Degradation: Evidence from Indonesia," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 169822, Agricultural and Applied Economics Association.
    4. Rodrigo A. Estévez & Stefan Gelcich, 2021. "Public Officials’ Knowledge of Advances and Gaps for Implementing the Ecosystem Approach to Fisheries in Chile," Sustainability, MDPI, vol. 13(5), pages 1-17, March.
    5. Daniel Rondeau & Brianna Perry & Franque Grimard, 2020. "The Consequences of COVID-19 and Other Disasters for Wildlife and Biodiversity," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 76(4), pages 945-961, August.
    6. Molly J Doruska & Christopher B Barrett & Jason R Rohr, 2024. "Modeling how and why aquatic vegetation removal can free rural households from poverty-disease traps," Papers 2401.17384, arXiv.org.

  11. Keenan, Donald C. & Kim, Taewon, 2013. "Diagonal dominance and global stability," Mathematical Social Sciences, Elsevier, vol. 65(3), pages 217-221.

    Cited by:

    1. Jean-Sébastien Lenfant, 2018. "Substitutability and the Quest for Stability," Working Papers hal-01764115, HAL.

  12. Michael D. Eriksen & James B. Kau & Donald C. Keenan, 2013. "The Impact of Second Loans on Subprime Mortgage Defaults," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 41(4), pages 858-886, December.

    Cited by:

    1. Kelly, Robert & O'Malley, Terence & O'Toole, Conor, 2015. "Designing Macro-prudential Policy in Mortgage Lending: Do First Time Buyers Default Less?," Research Technical Papers 02/RT/15, Central Bank of Ireland.
    2. Andra C. Ghent & Kristian R. Miltersen & Walter N. Torous, 2020. "Second Mortgages: Valuation and Implications for the Performance of Structured Financial Products," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 48(4), pages 1234-1273, December.
    3. Stefano Colonnello & Mariela Dal Borgo, 2024. "Raising Household Leverage: Evidence from Co-Financed Mortgages," Working Papers 2024: 01, Department of Economics, University of Venice "Ca' Foscari".
    4. Alexandru V. Asimit & Ioannis Kyriakou & Simone Santoni & Salvatore Scognamiglio & Rui Zhu, 2022. "Robust Classification via Support Vector Machines," Risks, MDPI, vol. 10(8), pages 1-25, August.
    5. Steinbuks, Jevgenijs, 2015. "Effects of prepayment regulations on termination of subprime mortgages," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 445-456.
    6. James Kau & Donald Keenan & Constantine Lyubimov, 2014. "First Mortgages, Second Mortgages, and Their Default," The Journal of Real Estate Finance and Economics, Springer, vol. 48(4), pages 561-588, May.
    7. Yaseen Ghulam & Sophie Hill, 2017. "Distinguishing between Good and Bad Subprime Auto Loans Borrowers: The Role of Demographic, Region and Loan Characteristics," Review of Economics & Finance, Better Advances Press, Canada, vol. 10, pages 49-62, November.

  13. James Kau & Donald Keenan & Constantine Lyubimov & V. Slawson, 2012. "Asymmetric Information in the Subprime Mortgage Market," The Journal of Real Estate Finance and Economics, Springer, vol. 44(1), pages 67-89, January.

    Cited by:

    1. Ciprian MatiÅŸ & Eugenia MatiÅŸ, 2013. "Asymmetric Information In Insurance Field: Some General Considerations," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(15), pages 1-17.
    2. Tirtiroglu, Dogan & Tirtiroglu, Ercan, 2020. "Seller Financing: Contracting Out of the Lemons and Moral Hazard Problems When They May Co-Exist," American Business Review, Pompea College of Business, University of New Haven, vol. 23(2), pages 335-357, November.
    3. David Downs & Lan Shi, 2015. "The Impact of Reversing Regulatory Arbitrage on Loan Originations: Evidence from Bank Holding Companies," The Journal of Real Estate Finance and Economics, Springer, vol. 50(3), pages 307-338, April.

  14. Matthew H Bonds & Andrew P Dobson & Donald C Keenan, 2012. "Disease Ecology, Biodiversity, and the Latitudinal Gradient in Income," PLOS Biology, Public Library of Science, vol. 10(12), pages 1-12, December.

    Cited by:

    1. Yigit Aydede & Jan Ditzen, 2022. "Identifying the regional drivers of influenza-like illness in Nova Scotia with dominance analysis," Papers 2212.06684, arXiv.org.
    2. Anand Sahasranaman & Henrik Jeldtoft Jensen, 2020. "Poverty in the time of epidemic: A modelling perspective," PLOS ONE, Public Library of Science, vol. 15(11), pages 1-16, November.
    3. Serge Morand & Sathaporn Jittapalapong & Yupin Suputtamongkol & Mohd Tajuddin Abdullah & Tan Boon Huan, 2014. "Infectious Diseases and Their Outbreaks in Asia-Pacific: Biodiversity and Its Regulation Loss Matter," PLOS ONE, Public Library of Science, vol. 9(2), pages 1-7, February.
    4. Gaddy, Hampton Gray, 2020. "Using local knowledge in emerging infectious disease research," Social Science & Medicine, Elsevier, vol. 258(C).
    5. Calistus N Ngonghala & Mateusz M Pluciński & Megan B Murray & Paul E Farmer & Christopher B Barrett & Donald C Keenan & Matthew H Bonds, 2014. "Poverty, Disease, and the Ecology of Complex Systems," PLOS Biology, Public Library of Science, vol. 12(4), pages 1-9, April.
    6. Donal Bisanzio & Elisa Martello & Katherine Izenour & Kelly Stevens & Ramandeep Kaur & Benjamin A McKenzie & Moritz Kraemer & Richard Reithinger & Sarah Zohdy, 2021. "Arboviral diseases and poverty in Alabama, 2007–2017," PLOS Neglected Tropical Diseases, Public Library of Science, vol. 15(7), pages 1-13, July.
    7. Bevis, Leah & Kim, Kichan & Guerena, David, 2023. "Soil zinc deficiency and child stunting: Evidence from Nepal," Journal of Health Economics, Elsevier, vol. 87(C).

  15. Keenan, Donald C. & Snow, Arthur, 2012. "Ross risk vulnerability for introductions and changes in background risk," Journal of Mathematical Economics, Elsevier, vol. 48(4), pages 197-206.

    Cited by:

    1. Wang, Jianli & Li, Jingyuan, 2014. "Decreasing Ross risk aversion: Higher-order generalizations and implications," Journal of Mathematical Economics, Elsevier, vol. 55(C), pages 136-142.
    2. Maddalena Ferranna, 2017. "Does Inefficient Risk Sharing Increase Public Self-Protection?," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 42(1), pages 59-85, March.
    3. Denuit, M. & Eeckhoudt, L. & Schlesinger, H., 2011. "When Ross meets Bell: the linex utility function," LIDAM Discussion Papers ISBA 2011014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    4. Maddalena Ferranna, 2017. "Does Inefficient Risk Sharing Increase Public Self-Protection?," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 42(1), pages 59-85, March.
    5. Heinzel, Christoph, 2023. "Comparing utility derivative premia under additive and multiplicative risks," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 23-40.

  16. Donald Keenan & Arthur Snow, 2012. "The Schwarzian derivative as a ranking of downside risk aversion," Journal of Risk and Uncertainty, Springer, vol. 44(2), pages 149-160, April.

    Cited by:

    1. Donald C. Keenan & Arthur Snow, 2022. "Reversibly greater downside risk aversion," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 47(2), pages 327-338, September.
    2. Paan Jindapon & Liqun Liu & William S. Neilson, 2021. "Comparative risk apportionment," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 9(1), pages 91-112, April.
    3. Liqun Liu & Jack Meyer, 2012. "Decreasing absolute risk aversion, prudence and increased downside risk aversion," Journal of Risk and Uncertainty, Springer, vol. 44(3), pages 243-260, June.
    4. Richard Peter, 2021. "Who should exert more effort? Risk aversion, downside risk aversion and optimal prevention," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(4), pages 1259-1281, June.
    5. Keenan, Donald C. & Snow, Arthur, 2022. "Reversibly greater downside risk aversion by a prudence-based measure," Economics Letters, Elsevier, vol. 210(C).
    6. James Huang & Richard Stapleton, 2017. "Higher-order risk vulnerability," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(2), pages 387-406, February.

  17. James Kau & Donald Keenan & Henry Munneke, 2012. "Racial Discrimination and Mortgage Lending," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 289-304, August.

    Cited by:

    1. Tian, Geran & Wu, Weixing, 2023. "Big data pricing in marketplace lending and price discrimination against repeat borrowers: Evidence from China," China Economic Review, Elsevier, vol. 78(C).
    2. David H Chae & Sean Clouston & Mark L Hatzenbuehler & Michael R Kramer & Hannah L F Cooper & Sacoby M Wilson & Seth I Stephens-Davidowitz & Robert S Gold & Bruce G Link, 2015. "Association between an Internet-Based Measure of Area Racism and Black Mortality," PLOS ONE, Public Library of Science, vol. 10(4), pages 1-12, April.
    3. Doris Neuberger & Udo Reifner, 2020. "Systemic Usury and the European Consumer Credit Directive," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 89(1), pages 115-132.
    4. Fang, Lu & Munneke, Henry J., 2021. "A spatial analysis of borrowers’ mortgage termination decision – A nonparametric approach," Regional Science and Urban Economics, Elsevier, vol. 86(C).
    5. Reza Tajaddini & Hassan F. Gholipour, 2017. "National Culture and Default on Mortgages," International Review of Finance, International Review of Finance Ltd., vol. 17(1), pages 107-133, March.
    6. Okechukwu D. Anyamele, 2018. "Racial Ethnic differences in Household Loan Delinquency Rate in recent financial crisis: Evidence from 2007 and 2010 Survey of Consumer Finances," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(3), pages 1-4.
    7. Brent C Smith & Kenneth N. Daniels, 2018. "Unintended Consequences of Risk Based Pricing: Racial Differences in Mortgage Costs," Journal of Financial Services Research, Springer;Western Finance Association, vol. 54(3), pages 323-343, December.
    8. Lu Fang & Henry J. Munneke, 2020. "Gender Equality in Mortgage Lending," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 48(4), pages 957-1003, December.
    9. Steven Malliaris & Daniel A. Rettl & Ruchi Singh, 2022. "Is competition a cure for confusion? Evidence from the residential mortgage market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(1), pages 206-246, March.
    10. David Nickerson, 2022. "Credit Risk, Regulatory Costs and Lending Discrimination in Efficient Residential Mortgage Markets," JRFM, MDPI, vol. 15(5), pages 1-17, April.
    11. James Conklin & Kristopher Gerardi & Lauren Lambie-Hanson, 2023. "Can Everyone Tap into the Housing Piggy Bank? Racial Disparities in Access to Home Equity," Working Papers 23-25, Federal Reserve Bank of Philadelphia.
    12. Ken B. Cyree & Drew B. Winters, 2023. "Investigating bank lending discrimination in the US using CRA-rated banks’ HMDA loan data," Public Choice, Springer, vol. 197(3), pages 371-395, December.
    13. James B. Kau & Lu Fang & Henry J. Munneke, 2019. "An Unintended Consequence of Mortgage Financing Regulation – a Racial Disparity," The Journal of Real Estate Finance and Economics, Springer, vol. 59(4), pages 549-588, November.

  18. James Kau & Donald Keenan & Xiaowei Li, 2011. "An Analysis of Mortgage Termination Risks: A Shared Frailty Approach with MSA-Level Random Effects," The Journal of Real Estate Finance and Economics, Springer, vol. 42(1), pages 51-67, January.

    Cited by:

    1. Luis Alberiko Gil-Alana & Carlos Pestana Barros, 2011. "Housing Sales In Urban Beijing," Post-Print hal-00719480, HAL.
    2. Barros, Carlos Pestana & Gil-Alana, Luis A. & Chen, Zhongfei, 2014. "The housing market in Beijing and delays in sales: A fractional polynomial survival model," Economic Modelling, Elsevier, vol. 42(C), pages 296-300.
    3. Calabrese, Raffaella & Crook, Jonathan, 2020. "Spatial contagion in mortgage defaults: A spatial dynamic survival model with time and space varying coefficients," European Journal of Operational Research, Elsevier, vol. 287(2), pages 749-761.
    4. Luong, Thi Mai & Scheule, Harald, 2022. "Benchmarking forecast approaches for mortgage credit risk for forward periods," European Journal of Operational Research, Elsevier, vol. 299(2), pages 750-767.
    5. Sui Sui & Matthias Baum & Shavin Malhotra, 2019. "How Home-Peers Affect the Export Market Exit of Small Firms: Evidence From Canadian Exporters," Entrepreneurship Theory and Practice, , vol. 43(5), pages 1018-1045, September.
    6. Babii, Andrii & Chen, Xi & Ghysels, Eric, 2019. "Commercial and Residential Mortgage Defaults: Spatial Dependence with Frailty," Journal of Econometrics, Elsevier, vol. 212(1), pages 47-77.
    7. Liang, Te-Hsin & Lin, Jian-Bang, 2014. "A two-stage segment and prediction model for mortgage prepayment prediction and management," International Journal of Forecasting, Elsevier, vol. 30(2), pages 328-343.

  19. Kau, James B. & Keenan, Donald C. & Lyubimov, Constantine & Carlos Slawson, V., 2011. "Subprime mortgage default," Journal of Urban Economics, Elsevier, vol. 70(2-3), pages 75-87, September.

    Cited by:

    1. Fernando Ferreira & Joseph Gyourko, 2015. "A New Look at the U.S. Foreclosure Crisis: Panel Data Evidence of Prime and Subprime Borrowers from 1997 to 2012," NBER Working Papers 21261, National Bureau of Economic Research, Inc.
    2. Andréas Heinen & Mi Lim Kim & Alfonso Valdesogo, 2015. "Regime switching House price dependence: Evidence from MSAs in the US," ERES eres2015_201, European Real Estate Society (ERES).
    3. Kelly, Robert & McCann, Fergal, 2015. "Some defaults are deeper than others: Understanding long-term mortgage arrears," Research Technical Papers 05/RT/15, Central Bank of Ireland.
    4. Kusum Mundra, 2020. "Immigrant and Minority Homeownership Experience: Evidence from the 2009 American Housing Survey," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 46(1), pages 53-81, January.
    5. Mundra, Kusum, 2013. "Minority and Immigrant Homeownership Experience: Evidence from the 2009 American Housing Survey," IZA Discussion Papers 7131, Institute of Labor Economics (IZA).
    6. MeiChi Huang, 2021. "Regime switches and permanent changes in impacts of housing risk factors on MSA‐level housing returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 310-342, January.
    7. Matthew B. Gross & Maximilian D. Schmeiser, 2015. "The Determinants of Subprime Mortgage Performance Following a Loan Modification," Finance and Economics Discussion Series 2015-6, Board of Governors of the Federal Reserve System (U.S.).
    8. Andréas Heinen & James B. Kau & Donald C. Keenan & Mi Lim Kim, 2021. "Spatial Dependence in Subprime Mortgage Defaults," The Journal of Real Estate Finance and Economics, Springer, vol. 62(1), pages 1-24, January.
    9. Tahsin, Salman, 2022. "Home price growth and minority access to mortgage credit," Journal of Economics and Business, Elsevier, vol. 120(C).

  20. James Kau & Donald Keenan & Alexey Smurov, 2011. "Leverage and Mortgage Foreclosures," The Journal of Real Estate Finance and Economics, Springer, vol. 42(4), pages 393-415, May.

    Cited by:

    1. Jou, Jyh-Bang & Lee, Tan (Charlene), 2016. "How does statutory redemption affect a buyer's decision at the foreclosure sale?," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 263-272.

  21. Keenan, Donald C. & Snow, Arthur, 2010. "Greater prudence and greater downside risk aversion," Journal of Economic Theory, Elsevier, vol. 145(5), pages 2018-2026, September.

    Cited by:

    1. Pierre Chaigneau & Nicolas Sahuguet & Bernard Sinclair-Desgagné, 2017. "Prudence and the convexity of compensation contracts," Post-Print halshs-02292785, HAL.
    2. Donald Keenan & Arthur Snow, 2012. "The Schwarzian derivative as a ranking of downside risk aversion," Journal of Risk and Uncertainty, Springer, vol. 44(2), pages 149-160, April.
    3. Chaigneau, Pierre & Eeckhoudt, Louis, 2016. "Downside risk neutral probabilities," LSE Research Online Documents on Economics 118980, London School of Economics and Political Science, LSE Library.
    4. Gollier, Christian & Kimball, Miles S., 2018. "Toward a Systematic Approach to the Economic Effects of Risk: Characterizing Utility Functions"," TSE Working Papers 18-909, Toulouse School of Economics (TSE).
    5. Christian Gollier & James Hammitt & Nicolas Treich, 2013. "Risk and choice: A research saga," Journal of Risk and Uncertainty, Springer, vol. 47(2), pages 129-145, October.
    6. Pierre Chaigneau, 2012. "The Effect of Risk Preferences on the Valuation and Incentives of Compensation Contracts," Cahiers de recherche 1209, CIRPEE.
    7. Chaigneau, Pierre, 2012. "The effect of risk preferences on the valuation and incentives of compensation contracts," LSE Research Online Documents on Economics 119055, London School of Economics and Political Science, LSE Library.
    8. Jindapon, Paan, 2010. "Prudence probability premium," Economics Letters, Elsevier, vol. 109(1), pages 34-37, October.
    9. Liqun Liu & Jack Meyer, 2012. "Decreasing absolute risk aversion, prudence and increased downside risk aversion," Journal of Risk and Uncertainty, Springer, vol. 44(3), pages 243-260, June.
    10. Pierre Chaigneau, 2012. "The effect of risk preferences on the valuation and incentives of compensation contracts," FMG Discussion Papers dp697, Financial Markets Group.
    11. Richard Peter, 2021. "Who should exert more effort? Risk aversion, downside risk aversion and optimal prevention," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(4), pages 1259-1281, June.
    12. Keenan, Donald C. & Snow, Arthur, 2022. "Reversibly greater downside risk aversion by a prudence-based measure," Economics Letters, Elsevier, vol. 210(C).
    13. Richard Peter, 2021. "A fresh look at primary prevention for health risks," Health Economics, John Wiley & Sons, Ltd., vol. 30(5), pages 1247-1254, May.
    14. James Huang & Richard Stapleton, 2017. "Higher-order risk vulnerability," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(2), pages 387-406, February.
    15. Richard Watt & Francisco J. Vazquez, 2010. "Allocative Downside Risk Aversion," Working Papers in Economics 10/61, University of Canterbury, Department of Economics and Finance.

  22. James Kau & Donald Keenan & Yildiray Yildirim, 2009. "Estimating Default Probabilities Implicit in Commercial Mortgage Backed Securities (CMBS)," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 107-117, August.

    Cited by:

    1. Gianluca Marcato & Giovanni Alberto Tira, 2009. "Driving Factors in Pricing European CMBS: Bond, Mortgage and Real Estate Characteristics," Real Estate & Planning Working Papers rep-wp2009-04, Henley Business School, University of Reading.
    2. Gang-Zhi Fan & Tien Sing & Seow Ong, 2012. "Default Clustering Risks in Commercial Mortgage-Backed Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 110-127, June.
    3. Christopoulos, Andreas D. & Jarrow, Robert A., 2018. "CMBS market efficiency: The crisis and the recovery," Journal of Financial Stability, Elsevier, vol. 36(C), pages 159-186.
    4. Christopoulos, Andreas D., 2017. "The composition of CMBS risk," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 215-239.
    5. Darren K. Hayunga & R. Kelley Pace & Shuang Zhu, 2019. "Borrower Risk and Housing Price Appreciation," The Journal of Real Estate Finance and Economics, Springer, vol. 58(4), pages 544-566, May.
    6. Michele Leonardo Bianchi & Agostino Chiabrera, 2012. "Italian real estate investment funds: market structure and risk measurement," Questioni di Economia e Finanza (Occasional Papers) 120, Bank of Italy, Economic Research and International Relations Area.
    7. Driessen, Joost & Van Hemert, Otto, 2012. "Pricing of commercial real estate securities during the 2007–2009 financial crisis," Journal of Financial Economics, Elsevier, vol. 105(1), pages 37-61.
    8. Samit Ahlawat, 2019. "Evaluation of Mortgage Default Characteristics Using Fannie Mae’s Loan Performance Data," The Journal of Real Estate Finance and Economics, Springer, vol. 59(4), pages 589-616, November.
    9. Gróf, Gyula & Várgedő, Bálint & Sárvári, Balázs, 2024. "Az energiahatékonyság szerepe a jelzáloghitelek csődvalószínűségében és a tőkekövetelmények meghatározásában [The role of mortgage energy efficiency in the probability of default and in determining," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 653-670.

  23. Keenan, Donald C. & Snow, Arthur, 2009. "Greater downside risk aversion in the large," Journal of Economic Theory, Elsevier, vol. 144(3), pages 1092-1101, May.

    Cited by:

    1. Keenan, Donald C. & Snow, Arthur, 2017. "Greater parametric downside risk aversion," Journal of Mathematical Economics, Elsevier, vol. 71(C), pages 119-128.
    2. Donald Keenan & Arthur Snow, 2012. "The Schwarzian derivative as a ranking of downside risk aversion," Journal of Risk and Uncertainty, Springer, vol. 44(2), pages 149-160, April.
    3. Keenan, Donald C. & Snow, Arthur, 2010. "Greater prudence and greater downside risk aversion," Journal of Economic Theory, Elsevier, vol. 145(5), pages 2018-2026, September.
    4. Jouini, Elyès & Napp, Clotilde & Nocetti, Diego, 2013. "On multivariate prudence," Journal of Economic Theory, Elsevier, vol. 148(3), pages 1255-1267.
    5. Emmanuelle Augeraud‐Véron & Marc Leandri, 2024. "Optimal self‐protection and health risk perceptions: Exploring connections between risk theory and the Health Belief Model," Health Economics, John Wiley & Sons, Ltd., vol. 33(7), pages 1565-1583, July.
    6. Donald C. Keenan & Arthur Snow, 2022. "Reversibly greater downside risk aversion," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 47(2), pages 327-338, September.
    7. Liu, Liqun & Meyer, Jack, 2013. "Substituting one risk increase for another: A method for measuring risk aversion," Journal of Economic Theory, Elsevier, vol. 148(6), pages 2706-2718.
    8. De Donno, Marzia & Menegatti, Mario, 2022. "On the relationship between comparisons of risk aversion of different orders," Journal of Mathematical Economics, Elsevier, vol. 102(C).
    9. Keenan, Donald C. & Snow, Arthur, 2018. "Bringing order to rankings of utility functions by strong increases in nth order aversion to risk," Journal of Mathematical Economics, Elsevier, vol. 78(C), pages 35-44.
    10. Jindapon, Paan, 2010. "Prudence probability premium," Economics Letters, Elsevier, vol. 109(1), pages 34-37, October.
    11. Liqun Liu & Jack Meyer, 2012. "Decreasing absolute risk aversion, prudence and increased downside risk aversion," Journal of Risk and Uncertainty, Springer, vol. 44(3), pages 243-260, June.
    12. Richard Peter, 2024. "The economics of self-protection," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 49(1), pages 6-35, March.
    13. Richard Peter, 2021. "Who should exert more effort? Risk aversion, downside risk aversion and optimal prevention," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(4), pages 1259-1281, June.
    14. Donald C. Keenan & Arthur Snow, 2016. "Strong Increases in Downside Risk Aversion," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 41(2), pages 149-161, September.
    15. Keenan, Donald C. & Snow, Arthur, 2022. "Reversibly greater downside risk aversion by a prudence-based measure," Economics Letters, Elsevier, vol. 210(C).
    16. Liqun Liu & William S. Neilson, 2019. "Alternative Approaches to Comparative n th-Degree Risk Aversion," Management Science, INFORMS, vol. 65(8), pages 3824-3834, August.
    17. Richard Peter, 2021. "A fresh look at primary prevention for health risks," Health Economics, John Wiley & Sons, Ltd., vol. 30(5), pages 1247-1254, May.
    18. James Huang & Richard Stapleton, 2017. "Higher-order risk vulnerability," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(2), pages 387-406, February.
    19. Richard Watt & Francisco J. Vazquez, 2010. "Allocative Downside Risk Aversion," Working Papers in Economics 10/61, University of Canterbury, Department of Economics and Finance.

  24. Donald Keenan & Donald Rudow & Arthur Snow, 2008. "Risk preferences and changes in background risk," Journal of Risk and Uncertainty, Springer, vol. 36(2), pages 139-152, April.

    Cited by:

    1. Wang, Jianli & Li, Jingyuan, 2014. "Decreasing Ross risk aversion: Higher-order generalizations and implications," Journal of Mathematical Economics, Elsevier, vol. 55(C), pages 136-142.
    2. Friedson, Andrew I. & Kniesner, Thomas J., 2011. "Losers and Losers: Some Demographics of Medical Malpractice Tort Reforms," IZA Discussion Papers 5921, Institute of Labor Economics (IZA).
    3. Gollier, Christian & Kimball, Miles S., 2018. "Toward a Systematic Approach to the Economic Effects of Risk: Characterizing Utility Functions"," TSE Working Papers 18-909, Toulouse School of Economics (TSE).
    4. Octave Jokung, 2013. "Changes in multiplicative background risk and risk-taking behavior," Theory and Decision, Springer, vol. 74(1), pages 127-149, January.
    5. Keenan, Donald C. & Snow, Arthur, 2012. "Ross risk vulnerability for introductions and changes in background risk," Journal of Mathematical Economics, Elsevier, vol. 48(4), pages 197-206.
    6. Denuit, M. & Eeckhoudt, L. & Schlesinger, H., 2011. "When Ross meets Bell: the linex utility function," LIDAM Discussion Papers ISBA 2011014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    7. Heinzel, Christoph, 2023. "Comparing utility derivative premia under additive and multiplicative risks," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 23-40.
    8. Octave Jokung & Sovan Mitra, 2020. "Health Care Investment: The Case of Multiple Sources of Risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(2), pages 231-255, June.
    9. Huang, James, 2014. "Convex and decreasing absolute risk aversion is proper," Economics Letters, Elsevier, vol. 125(1), pages 123-125.

  25. Donald C. Keenan & Iltae Kim & Ronald S. Warren, 2006. "The Private Provision of Public Goods under Uncertainty: A Symmetric‐Equilibrium Approach," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 8(5), pages 863-873, December.

    Cited by:

    1. Elyès Jouini & Clotilde Napp & Diego Nocetti, 2013. "Economic consequences of Nth-degree risk increases and Nth-degree risk attitudes," Journal of Risk and Uncertainty, Springer, vol. 47(2), pages 199-224, October.
    2. Maxime Agbo & Agnes Zabsonre, 2023. "Why and how a well-intended (local) government can hide information from citizens for their own good: The case of public goods provision in less developed areas," Economics Bulletin, AccessEcon, vol. 43(1), pages 484-499.
    3. Billette de Villemeur, Etienne & Cea-Echenique, Sebastián & Cuevas, Conrado, 2022. "Revisiting the impact of uncertainty in the private provision of public goods," MPRA Paper 114888, University Library of Munich, Germany.
    4. Matteo M. Marini & Aurora García-Gallego & Luca Corazzini, 2018. "Communication in a threshold public goods game with ambiguity: Anomalies and regularities," Working Papers 2018/03, Economics Department, Universitat Jaume I, Castellón (Spain).
    5. Nocetti, Diego & Smith, William T., 2015. "Changes in risk and strategic interaction," Journal of Mathematical Economics, Elsevier, vol. 56(C), pages 37-46.
    6. Fan-chin Kung & Haiyong Liu, 2019. "Underinsurance Caused by Uninsurable Losses in the Public Goods and Personal Assets," Review of Economics & Finance, Better Advances Press, Canada, vol. 15, pages 14-22, February.
    7. Anwesha Banerjee & Stefano Barbieri & Kai A. Konrad, 2022. "Climate Policy, Irreversibilities and Global Economic Shocks," Working Papers tax-mpg-rps-2022-11, Max Planck Institute for Tax Law and Public Finance.
    8. Shlomit Hon‐Snir & Benyamin Shitovitz & Menahem Spiegel, 2010. "Bayesian Equilibrium in a Public Good Economy," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 12(2), pages 387-398, April.

  26. James Kau & Donald Keenan & Alexey Smurov, 2006. "Reduced Form Mortgage Pricing as an Alternative to Option-Pricing Models," The Journal of Real Estate Finance and Economics, Springer, vol. 33(3), pages 183-196, November.

    Cited by:

    1. Ming Pu & Gang-Zhi Fan & Chunsheng Ban, 2016. "The Pricing of Mortgage Insurance Premiums Under Systematic and Idiosyncratic Shocks," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(2), pages 447-474, June.
    2. Matteo Bissiri & Riccardo Cogo, 2017. "Behavioral Value Adjustments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-37, December.
    3. Haimei Shao & Jiongmin Yong, 2017. "Implied prepayment in agency passing-through mortgage backed securities," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-16, June.
    4. Chang-Chih Chen & Chia-Chien Chang, 2019. "How Big are the Ambiguity-Based Premiums on Mortgage Insurances?," The Journal of Real Estate Finance and Economics, Springer, vol. 58(1), pages 133-157, January.
    5. Jean-David Fermanian, 2013. "A Top-Down Approach for Asset-Backed Securities: A Consistent Way of Managing Prepayment, Default and Interest Rate Risks," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 480-515, April.
    6. Steinbuks, Jevgenijs, 2015. "Effects of prepayment regulations on termination of subprime mortgages," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 445-456.
    7. James Kau & Donald Keenan & Xiaowei Li, 2011. "An Analysis of Mortgage Termination Risks: A Shared Frailty Approach with MSA-Level Random Effects," The Journal of Real Estate Finance and Economics, Springer, vol. 42(1), pages 51-67, January.
    8. Chiang, Shu Ling & Yang, Tyler T. & Tsai, Ming Shann, 2016. "Assessing mortgage servicing rights using a reduced-form model: Considering the effects of interest rate risks, prepayment and default risks, and random state variables," Journal of Housing Economics, Elsevier, vol. 32(C), pages 29-46.

  27. Donald C. Keenan & Arthur Snow, 2003. "Locally Greater Vulnerability to Background Risk," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 28(2), pages 161-172, December.

    Cited by:

    1. Franke, Günter & Stapleton, Richard C. & Subrahmanyam, Marti G., 2005. "Incremental risk vulnerability," CoFE Discussion Papers 05/08, University of Konstanz, Center of Finance and Econometrics (CoFE).
    2. Liu, Liqun & Rettenmaier, Andrew J., 2007. "Effects of mortality risk on risk-taking behavior," Economics Letters, Elsevier, vol. 94(1), pages 49-55, January.
    3. Donald C., Rudow, 2005. "Preferences and Increased Risk Aversion under a General Framework of Stochastic Dominance," MPRA Paper 41191, University Library of Munich, Germany, revised 07 Jun 2005.

  28. Keenan, Donald C & Snow, Arthur, 2002. "Greater Downside Risk Aversion," Journal of Risk and Uncertainty, Springer, vol. 24(3), pages 267-277, May.

    Cited by:

    1. Liqun Liu & Andrew Rettenmaier & Thomas Saving, 2009. "Conditional payments and self-protection," Journal of Risk and Uncertainty, Springer, vol. 38(2), pages 159-172, April.
    2. Keenan, Donald C. & Snow, Arthur, 2009. "Greater downside risk aversion in the large," Journal of Economic Theory, Elsevier, vol. 144(3), pages 1092-1101, May.
    3. Keenan, Donald C. & Snow, Arthur, 2017. "Greater parametric downside risk aversion," Journal of Mathematical Economics, Elsevier, vol. 71(C), pages 119-128.
    4. Donald Keenan & Arthur Snow, 2012. "The Schwarzian derivative as a ranking of downside risk aversion," Journal of Risk and Uncertainty, Springer, vol. 44(2), pages 149-160, April.
    5. Haar, Lawrence & Gregoriou, Andros, 2021. "Risk management and market conditions," International Review of Financial Analysis, Elsevier, vol. 78(C).
    6. Keenan, Donald C. & Snow, Arthur, 2010. "Greater prudence and greater downside risk aversion," Journal of Economic Theory, Elsevier, vol. 145(5), pages 2018-2026, September.
    7. Bernard Sinclair-Desgagné & Sandrine Spaeter, 2018. "Incentive Contracts and Downside Risk Sharing," Post-Print halshs-02292797, HAL.
    8. David Crainich & Louis Eeckhoudt, 2008. "On the intensity of downside risk aversion," Journal of Risk and Uncertainty, Springer, vol. 36(3), pages 267-276, June.
    9. Bernard Sinclair-Desgagné & Marie-Cécile Fagart, 2004. "Auditing policies and information," Econometric Society 2004 North American Winter Meetings 86, Econometric Society.
    10. Donald C. Keenan & Arthur Snow, 2022. "Reversibly greater downside risk aversion," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 47(2), pages 327-338, September.
    11. Liu, Liqun & Meyer, Jack, 2013. "Substituting one risk increase for another: A method for measuring risk aversion," Journal of Economic Theory, Elsevier, vol. 148(6), pages 2706-2718.
    12. De Donno, Marzia & Menegatti, Mario, 2022. "On the relationship between comparisons of risk aversion of different orders," Journal of Mathematical Economics, Elsevier, vol. 102(C).
    13. Paan Jindapon & Liqun Liu & William S. Neilson, 2021. "Comparative risk apportionment," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 9(1), pages 91-112, April.
    14. Keenan, Donald C. & Snow, Arthur, 2018. "Bringing order to rankings of utility functions by strong increases in nth order aversion to risk," Journal of Mathematical Economics, Elsevier, vol. 78(C), pages 35-44.
    15. Jindapon, Paan, 2010. "Prudence probability premium," Economics Letters, Elsevier, vol. 109(1), pages 34-37, October.
    16. Kim, Kwansoo & Chavas, Jean-Paul & Barham, Bradford L. & Foltz, Jeremy D., 2012. "Rice, Irrigation and Downside Risk: A Quantile Analysis of Risk Exposure and Mitigation on Korean Farms," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124814, Agricultural and Applied Economics Association.
    17. Liqun Liu & Jack Meyer, 2012. "Decreasing absolute risk aversion, prudence and increased downside risk aversion," Journal of Risk and Uncertainty, Springer, vol. 44(3), pages 243-260, June.
    18. Marie-Cécile Fagart & Bernard Sinclair-Desgagné, 2007. "Ranking Contingent Monitoring Systems," Management Science, INFORMS, vol. 53(9), pages 1501-1509, September.
    19. Udo Ebert, 2005. "Measures of downside risk," Economics Bulletin, AccessEcon, vol. 4(16), pages 1-9.
    20. Georges Dionne & Jingyuan Li & Cédric Okou, 2024. "An alternative representation of the C-CAPM with higher-order risks," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 49(2), pages 194-233, September.
    21. Richard Peter, 2021. "Who should exert more effort? Risk aversion, downside risk aversion and optimal prevention," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(4), pages 1259-1281, June.
    22. Donald C. Keenan & Arthur Snow, 2016. "Strong Increases in Downside Risk Aversion," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 41(2), pages 149-161, September.
    23. Keenan, Donald C. & Snow, Arthur, 2022. "Reversibly greater downside risk aversion by a prudence-based measure," Economics Letters, Elsevier, vol. 210(C).
    24. Hun Seog, S. & Hong, Jimin, 2022. "Market insurance and endogenous saving with multiple loss states," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
    25. James Huang & Richard Stapleton, 2017. "Higher-order risk vulnerability," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(2), pages 387-406, February.
    26. Bredin, Don & Conlon, Thomas & Potì, Valerio, 2017. "The price of shelter - Downside risk reduction with precious metals," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 48-58.
    27. Richard Watt & Francisco J. Vazquez, 2010. "Allocative Downside Risk Aversion," Working Papers in Economics 10/61, University of Canterbury, Department of Economics and Finance.

  29. Keenan, Donald C., 2001. "Aggregate Substitution Effects Implying Global Stability," Journal of Economic Theory, Elsevier, vol. 101(1), pages 317-329, November.

    Cited by:

    1. Cheung, Yun Kuen & Cole, Richard & Devanur, Nikhil R., 2020. "Tatonnement beyond gross substitutes? Gradient descent to the rescue," Games and Economic Behavior, Elsevier, vol. 123(C), pages 295-326.
    2. Jean-Sébastien Lenfant, 2018. "Substitutability and the Quest for Stability," Working Papers hal-01764115, HAL.
    3. Keenan, Donald C. & Kim, Taewon, 2013. "Diagonal dominance and global stability," Mathematical Social Sciences, Elsevier, vol. 65(3), pages 217-221.

  30. Keenan, Donald & Kim, Taewon, 2000. "The law of demand implies limits to chaos," Economics Letters, Elsevier, vol. 69(3), pages 313-317, December.

    Cited by:

    1. Cheung, Yun Kuen & Cole, Richard & Devanur, Nikhil R., 2020. "Tatonnement beyond gross substitutes? Gradient descent to the rescue," Games and Economic Behavior, Elsevier, vol. 123(C), pages 295-326.

  31. Kau, James B. & Keenan, Donald C., 1999. "Patterns of rational default," Regional Science and Urban Economics, Elsevier, vol. 29(6), pages 765-785, November.

    Cited by:

    1. Luis Diaz-Serrano, 2005. "Income Volatility and Residential Mortgage Delinquency: Evidence from 12 EU countries," Economics Department Working Paper Series n1530205, Department of Economics, National University of Ireland - Maynooth.
    2. James Kau & Donald Keenan & Yildiray Yildirim, 2009. "Estimating Default Probabilities Implicit in Commercial Mortgage Backed Securities (CMBS)," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 107-117, August.
    3. P. Taylor, Mark & J. Pevalin, David & Todd, Jennifer, 2006. "The psychological costs of unsustainable housing commitments," ISER Working Paper Series 2006-08, Institute for Social and Economic Research.
    4. Das, Sanjiv R. & Meadows, Ray, 2013. "Strategic loan modification: An options-based response to strategic default," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 636-647.
    5. Diaz-Serrano, Luis, 2005. "Income volatility and residential mortgage delinquency across the EU," Journal of Housing Economics, Elsevier, vol. 14(3), pages 153-177, September.
    6. Enrico De Giorgi, 2002. "An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios," Risk and Insurance 0209001, University Library of Munich, Germany, revised 09 Sep 2002.
    7. Danny Ben-Shahar, 2006. "Screening Mortgage Default Risk: A Unified Theoretical Framework," Journal of Real Estate Research, American Real Estate Society, vol. 28(3), pages 215-240.
    8. Agarwal, Sumit & Green, Richard K. & Rosenblatt, Eric & Yao, Vincent, 2015. "Collateral pledge, sunk-cost fallacy and mortgage default," Journal of Financial Intermediation, Elsevier, vol. 24(4), pages 636-652.
    9. P. Taylor, Mark & Böheim, René, 2000. "My home was my castle: evictions and repossessions in Britain," ISER Working Paper Series 2000-04, Institute for Social and Economic Research.
    10. Cristina Viegas & Jos� Azevedo-Pereira, 2012. "Mortgage valuation: a quasi-closed-form solution," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 993-1001, May.

  32. James Kau & Donald Keenan, 1999. "Catastrophic Default and Credit Risk for Lending Institutions," Journal of Financial Services Research, Springer;Western Finance Association, vol. 15(2), pages 87-102, March.

    Cited by:

    1. Ming Pu & Gang-Zhi Fan & Chunsheng Ban, 2016. "The Pricing of Mortgage Insurance Premiums Under Systematic and Idiosyncratic Shocks," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(2), pages 447-474, June.
    2. Chang, Chia-Chien, 2014. "Valuation Of Mortgage Insurance Contracts With Counterparty Default Risk: Reduced-Form Approach," ASTIN Bulletin, Cambridge University Press, vol. 44(2), pages 303-334, May.
    3. Ashok Bardhan & Raša Karapandža & Branko Urošević, 2006. "Valuing Mortgage Insurance Contracts in Emerging Market Economies," The Journal of Real Estate Finance and Economics, Springer, vol. 32(1), pages 9-20, February.
    4. Alexander E. Ushanov, 2022. "Retracted: Internal procedures of the risk‐oriented lending process in the bank," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 25(2), pages 99-114, June.
    5. Ming‐Chi Chen & Chia‐Chien Chang & Shih‐Kuei Lin & So‐De Shyu, 2010. "Estimation of Housing Price Jump Risks and Their Impact on the Valuation of Mortgage Insurance Contracts," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 399-422, June.
    6. Lee, Yung-Tsung & Wang, Chou-Wen & Huang, Hong-Chih, 2012. "On the valuation of reverse mortgages with regular tenure payments," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 430-441.
    7. Wu, Yang-Che & Huang, Yi-Ting & Lin, Shih-Kuei & Chuang, Ming-Che, 2017. "Fair valuation of mortgage insurance under stochastic default and interest rates," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 433-447.
    8. Gong, Xiaoye & Li, Ying & Wu, Yang-Che & Yang, Wan-Shiou, 2020. "Pricing various types of mortgage insurances with disposal and discount costs under a mean-reverting Lévy housing price process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
    9. Chia-Chien Chang & Wei-Yi Huang & So-De Shyu, 2012. "Pricing Mortgage Insurance with Asymmetric Jump Risk and Default Risk: Evidence in the U.S. Housing Market," The Journal of Real Estate Finance and Economics, Springer, vol. 45(4), pages 846-868, November.

  33. Kau, James B. & Keenan, Donald C. & Muller III, Walter J. & Epperson, James F., 1995. "The Valuation at Origination of Fixed-Rate Mortgages with Default and Prepayment," The Journal of Real Estate Finance and Economics, Springer, vol. 11(1), pages 5-36, July.

    Cited by:

    1. Gamba, Andrea & Rigon, Riccardo, 2008. "The value of embedded real options: Evidence from consumer automobile lease contracts--A note," Finance Research Letters, Elsevier, vol. 5(4), pages 213-220, December.
    2. Paul S. Willen & Adam Hale Shapiro & Kristopher Gerardi, 2008. "Subprime Outcomes: Risky Mortgages, Homeownership Experiences, and Foreclosures," 2008 Meeting Papers 345, Society for Economic Dynamics.
    3. Chang, Chia-Chien, 2014. "Valuation Of Mortgage Insurance Contracts With Counterparty Default Risk: Reduced-Form Approach," ASTIN Bulletin, Cambridge University Press, vol. 44(2), pages 303-334, May.
    4. Zhe Cheng & Scott Robertson, 2017. "Endogenous current coupons," Finance and Stochastics, Springer, vol. 21(4), pages 1027-1071, October.
    5. Downing, Chris & Stanton, Richard & Wallace, Nancy E., 2003. "An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?," Research Program in Finance, Working Paper Series qt2qb613r5, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.
    6. Jr-Wei Huang & Sharon S. Yang & Chuang-Chang Chang, 2021. "Modeling Housing Price Dynamics and their Impact on the Cost of no-Negative-Equity-Guarantees for Equity Releasing Products," The Journal of Real Estate Finance and Economics, Springer, vol. 63(2), pages 249-279, August.
    7. Murphy, Austin, 2000. "A comparative analysis of the price-process model of mortgage valuation," Review of Financial Economics, Elsevier, vol. 9(2), pages 65-82, December.
    8. Ashok Bardhan & Raša Karapandža & Branko Urošević, 2006. "Valuing Mortgage Insurance Contracts in Emerging Market Economies," The Journal of Real Estate Finance and Economics, Springer, vol. 32(1), pages 9-20, February.
    9. Chen L. Miller, 2018. "Comparison of Two Affordable Housing Finance Channels," International Real Estate Review, Global Social Science Institute, vol. 21(2), pages 227-250.
    10. McCollum, Meagan N. & Lee, Hong & Pace, R. Kelley, 2015. "Deleveraging and mortgage curtailment," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 60-75.
    11. Bilgi Yilmaz & Ralf Korn & A. Sevtap Selcuk-Kestel, 2023. "The Impact of Large Investors on the Portfolio Optimization of Single-Family Houses in Housing Markets," Computational Economics, Springer;Society for Computational Economics, vol. 61(2), pages 855-873, February.
    12. Haughwout, Andrew & Peach, Richard & Tracy, Joseph, 2008. "Juvenile delinquent mortgages: Bad credit or bad economy?," Journal of Urban Economics, Elsevier, vol. 64(2), pages 246-257, September.
    13. Chang-Chih Chen & Chia-Chien Chang, 2019. "How Big are the Ambiguity-Based Premiums on Mortgage Insurances?," The Journal of Real Estate Finance and Economics, Springer, vol. 58(1), pages 133-157, January.
    14. Ghoddusi, Hamed & Afkhami, Mohamad, 2019. "Valuation of mortgage interest deductibility under uncertainty: An option pricing approach," Journal of Economic Dynamics and Control, Elsevier, vol. 103(C), pages 102-122.
    15. Fang, Lu & Munneke, Henry J., 2021. "A spatial analysis of borrowers’ mortgage termination decision – A nonparametric approach," Regional Science and Urban Economics, Elsevier, vol. 86(C).
    16. Niels Rom-Poulsen, 2007. "Semi-analytical MBS Pricing," The Journal of Real Estate Finance and Economics, Springer, vol. 34(4), pages 463-498, May.
    17. Hartarska, Valentina & Gonzalez-Vega, Claudio, 2006. "Evidence on the effect of credit counseling on mortgage loan default by low-income households," Journal of Housing Economics, Elsevier, vol. 15(1), pages 63-79, March.
    18. Kristopher Gerardi & Adam Hale Shapiro & Paul S. Willen, 2009. "Decomposing the foreclosure crisis: House price depreciation versus bad underwriting," FRB Atlanta Working Paper 2009-25, Federal Reserve Bank of Atlanta.
    19. Hawkins, Raymond J., 2011. "Lending sociodynamics and economic instability," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4355-4369.
    20. Valentina Hartarska & Claudio Gonzalez-Vega, 2005. "Credit Counseling and Mortgage Termination by Low-Income Households," The Journal of Real Estate Finance and Economics, Springer, vol. 30(3), pages 227-243, April.
    21. Nicholas Sharp & David Newton & Peter Duck, 2008. "An Improved Fixed-Rate Mortgage Valuation Methodology with Interacting Prepayment and Default Options," The Journal of Real Estate Finance and Economics, Springer, vol. 36(3), pages 307-342, April.
    22. Yang, Chih-Yuan & Chang, Chia-Chien, 2024. "Do economic uncertainty and persistence in housing prices matter on mortgage insurance?," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 33-44.
    23. Hartarska, Valentina M. & Gonzalez-Vega, Claudio, 2003. "Credit Counseling and Mortgage Termination by Low-Income Households," 2003 Regional Committee NCT-194, October 6-7, 2003; Kansas City, Missouri 132518, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
    24. Deng, Yongheng & Quigley, John M. & Van Order, Robert & Mac, Freddie, 1996. "Mortgage default and low downpayment loans: The costs of public subsidy," Regional Science and Urban Economics, Elsevier, vol. 26(3-4), pages 263-285, June.
    25. P. Taylor, Mark & J. Pevalin, David & Todd, Jennifer, 2006. "The psychological costs of unsustainable housing commitments," ISER Working Paper Series 2006-08, Institute for Social and Economic Research.
    26. Deng, Yongheng & Quigley, John M., 2004. "Woodhead Behavior and the Pricing of Residential Mortgages," Berkeley Program on Housing and Urban Policy, Working Paper Series qt85q0w8xj, Berkeley Program on Housing and Urban Policy.
    27. Ming‐Chi Chen & Chia‐Chien Chang & Shih‐Kuei Lin & So‐De Shyu, 2010. "Estimation of Housing Price Jump Risks and Their Impact on the Valuation of Mortgage Insurance Contracts," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 399-422, June.
    28. Lee, Yung-Tsung & Wang, Chou-Wen & Huang, Hong-Chih, 2012. "On the valuation of reverse mortgages with regular tenure payments," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 430-441.
    29. Che-Chun Lin & Ting-Heng Chu & Larry J. Prather & Perry Wang, 2005. "Mortgage Curtailment and Default," International Real Estate Review, Global Social Science Institute, vol. 8(1), pages 95-109.
    30. Huang, Dashan & Kai, Yoshitaka & Fabozzi, Frank J. & Fukushima, Masao, 2007. "An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve," European Journal of Operational Research, Elsevier, vol. 177(2), pages 1134-1152, March.
    31. Riddiough, Timothy J., 1997. "Debt and Development," Journal of Urban Economics, Elsevier, vol. 42(3), pages 313-338, November.
    32. Nicholas Sharp & Paul Johnson & David Newton & Peter Duck, 2009. "A New Prepayment Model (with Default): An Occupation-time Derivative Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 118-145, August.
    33. Jean-David Fermanian, 2013. "A Top-Down Approach for Asset-Backed Securities: A Consistent Way of Managing Prepayment, Default and Interest Rate Risks," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 480-515, April.
    34. Lu Fang & Henry J. Munneke, 2020. "Gender Equality in Mortgage Lending," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 48(4), pages 957-1003, December.
    35. Eddie Lam, 2002. "A Risk Management Model for MBS Issuers," International Real Estate Review, Global Social Science Institute, vol. 5(1), pages 169-195.
    36. Steinbuks, Jevgenijs, 2015. "Effects of prepayment regulations on termination of subprime mortgages," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 445-456.
    37. Amir E. Khandani & Andrew W. Lo & Robert C. Merton, 2009. "Systemic Risk and the Refinancing Ratchet Effect," NBER Working Papers 15362, National Bureau of Economic Research, Inc.
    38. David Nickerson & Robert Jones, 2017. "Collateral Risk and Demographic Discrimination in Mortgage Market Equilibria," Review of Economics & Finance, Better Advances Press, Canada, vol. 9, pages 13-28, August.
    39. Yongheng Deng & Andrey D. Pavlov & Lihong Yang, 2004. "Spatial Heterogeneity in Mortgage Terminations by Refinance, Sale and Default," Working Paper 8602, USC Lusk Center for Real Estate.
    40. Austin Murphy, 2000. "A comparative analysis of the price‐process model of mortgage valuation," Review of Financial Economics, John Wiley & Sons, vol. 9(2), pages 65-82, December.
    41. James Kau & Donald Keenan & Xiaowei Li, 2011. "An Analysis of Mortgage Termination Risks: A Shared Frailty Approach with MSA-Level Random Effects," The Journal of Real Estate Finance and Economics, Springer, vol. 42(1), pages 51-67, January.
    42. Chris Downing & Richard Stanton & Nancy Wallace, 2003. "An empirical test of a two-factor mortgage valuation model: how much do house prices matter?," Finance and Economics Discussion Series 2003-42, Board of Governors of the Federal Reserve System (U.S.).
    43. Ahmad, Ferhana & Shehzad, Choudhry Tanveer, 2024. "The role of interest rate environment in mortgage pricing," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 225-245.
    44. David Nickerson, 2022. "Credit Risk, Regulatory Costs and Lending Discrimination in Efficient Residential Mortgage Markets," JRFM, MDPI, vol. 15(5), pages 1-17, April.
    45. Ming Pu & Gang-Zhi Fan & Yongheng Deng, 2014. "Breakeven Determination of Loan Limits for Reverse Mortgages under Information Asymmetry," The Journal of Real Estate Finance and Economics, Springer, vol. 48(3), pages 492-521, April.
    46. Poitras, Geoffrey & Zanotti, Giovanna, 2016. "Mortgage contract design and systemic risk immunization," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 320-331.
    47. Wu, Yang-Che & Huang, Yi-Ting & Lin, Shih-Kuei & Chuang, Ming-Che, 2017. "Fair valuation of mortgage insurance under stochastic default and interest rates," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 433-447.
    48. Almas Naseem & R. Reesor, 2015. "Risk and reward of home equity borrowing for investment in Canada, a stochastic analysis," Computational Management Science, Springer, vol. 12(1), pages 45-79, January.
    49. Nai Jia Lee, 2003. "Expected Return of Housing and Mortgage Termination," International Real Estate Review, Global Social Science Institute, vol. 6(1), pages 75-101.
    50. Che-Chun Lin & Ting-Heng Chu & Larry Prather, 2006. "Valuation of Mortgage Servicing Rights with Foreclosure Delay and Forbearance Allowed," Review of Quantitative Finance and Accounting, Springer, vol. 26(1), pages 41-54, February.
    51. Michael G. Bradley & Amy Crews Cutts & Wei Liu, 2015. "Strategic Mortgage Default: The Effect of Neighborhood Factors," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(2), pages 271-299, June.
    52. Congjin Zhou & Guojing Wang & Yinghui Dong & Pin Wang, 2024. "The Valuation at Origination of Mortgages with Full Prepayment and Default Risks," Methodology and Computing in Applied Probability, Springer, vol. 26(2), pages 1-26, June.
    53. Lok Man Michel Tong & Gianluca Marcato, 2018. "Modelling Competitive Mortgage Termination Option Strategies: Default vs Restructuring and Prepayment vs Defeasance," ERES eres2018_300, European Real Estate Society (ERES).
    54. Sumit Agarwal & Brent W. Ambrose & Souphala Chomsisengphet, 2008. "Determinants of automobile loan default and prepayment," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 32(Q III), pages 17-28.
    55. Ahmad, F. & Hambly, B.M. & Ledger, S., 2018. "A stochastic partial differential equation model for the pricing of mortgage-backed securities," Stochastic Processes and their Applications, Elsevier, vol. 128(11), pages 3778-3806.
    56. P. Taylor, Mark & Böheim, René, 2000. "My home was my castle: evictions and repossessions in Britain," ISER Working Paper Series 2000-04, Institute for Social and Economic Research.
    57. Scott Robertson & Zhe Cheng, 2015. "Endogenous Current Coupons," Papers 1510.02010, arXiv.org.
    58. Chia-Chien Chang & Min-Teh Yu, 2017. "Valuing Vulnerable Mortgage Insurance Under Capital Forbearance," The Journal of Real Estate Finance and Economics, Springer, vol. 54(4), pages 558-578, May.
    59. Calvo-Garrido, María del Carmen & Vázquez, Carlos, 2015. "Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance," Applied Mathematics and Computation, Elsevier, vol. 271(C), pages 730-742.
    60. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    61. Toru Sugimura, 2004. "Valuation of Residential Mortgage-Backed Securities with Default Risk Using an Intensity-Based Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(2), pages 185-214, June.
    62. Geoffrey Poitras & Giovanna Zanotti, 2018. "Housing Market Bubbles and Mortgage Contract Design: Implications for Mortgage Lenders and Households," JRFM, MDPI, vol. 11(3), pages 1-18, July.
    63. Cristina Viegas & Jos� Azevedo-Pereira, 2012. "Mortgage valuation: a quasi-closed-form solution," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 993-1001, May.
    64. Lin, Che-Chun & Yang, Tyler T., 2005. "Curtailment as a mortgage performance indicator," Journal of Housing Economics, Elsevier, vol. 14(3), pages 294-314, September.
    65. Lee, Pei-Ting & Rosenfield, Donald B., 2005. "When to refinance a mortgage: A dynamic programming approach," European Journal of Operational Research, Elsevier, vol. 166(1), pages 266-277, October.
    66. Chia-Chien Chang & Wei-Yi Huang & So-De Shyu, 2012. "Pricing Mortgage Insurance with Asymmetric Jump Risk and Default Risk: Evidence in the U.S. Housing Market," The Journal of Real Estate Finance and Economics, Springer, vol. 45(4), pages 846-868, November.

  34. Kau James B. & Keenan Donald C. & Kim Taewon, 1994. "Default Probabilities for Mortgages," Journal of Urban Economics, Elsevier, vol. 35(3), pages 278-296, May.

    Cited by:

    1. Jun Zhu & Jared Janowiak & Lu Ji & Kadiri Karamon & Douglas McManus, 2015. "The Effect of Mortgage Payment Reduction on Default: Evidence from the Home Affordable Refinance Program," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(4), pages 1035-1054, November.
    2. Chao Tian & Roberto Quercia & Sarah Riley, 2016. "Unemployment as an Adverse Trigger Event for Mortgage Default," The Journal of Real Estate Finance and Economics, Springer, vol. 52(1), pages 28-49, January.
    3. Christos Bouras & Christina Christou & Rangan Gupta & Keagile Lesame, 2020. "Forecasting State- and MSA-Level Housing Returns of the US: The Role of Mortgage Default Risks," Working Papers 202037, University of Pretoria, Department of Economics.
    4. Kau, James B. & Keenan, Donald C., 1999. "Patterns of rational default," Regional Science and Urban Economics, Elsevier, vol. 29(6), pages 765-785, November.
    5. John Geanakoplos & William Zame, 2014. "Collateral equilibrium, I: a basic framework," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 56(3), pages 443-492, August.
    6. Bilgi Yilmaz & A. Sevtap Selcuk-Kestel, 2019. "Computation of Hedging Coefficients for Mortgage Default and Prepayment Options: Malliavin Calculus Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 59(4), pages 673-697, November.
    7. Christopher L. Foote & Lara Loewenstein & Paul S. Willen, 2016. "Cross-Sectional Patterns of Mortgage Debt during the Housing Boom: Evidence and Implications," NBER Working Papers 22985, National Bureau of Economic Research, Inc.
    8. Fernando Ferreira & Joseph Gyourko, 2015. "A New Look at the U.S. Foreclosure Crisis: Panel Data Evidence of Prime and Subprime Borrowers from 1997 to 2012," NBER Working Papers 21261, National Bureau of Economic Research, Inc.
    9. Tajik, Mohammad & Aliakbari, Saeideh & Ghalia, Thaana & Kaffash, Sepideh, 2015. "House prices and credit risk: Evidence from the United States," Economic Modelling, Elsevier, vol. 51(C), pages 123-135.
    10. Paul S. Willen & Adam Hale Shapiro & Kristopher Gerardi, 2008. "Subprime Outcomes: Risky Mortgages, Homeownership Experiences, and Foreclosures," 2008 Meeting Papers 345, Society for Economic Dynamics.
    11. Janine Aron & John Muellbauer, 2010. "Modelling and Forecasting UK Mortgage Arrears and Possessions," SERC Discussion Papers 0052, Centre for Economic Performance, LSE.
    12. Jan K. Brueckner & James N. Conklin & N. Edward Coulson & Moussa Diop, 2023. "Default Costs and Repayment of Underwater Mortgages," CESifo Working Paper Series 10755, CESifo.
    13. Kenneth P. Brevoort & Cheryl R. Cooper, 2010. "Foreclosure's wake: the credit experiences of individuals following foreclosure," Finance and Economics Discussion Series 2010-59, Board of Governors of the Federal Reserve System (U.S.).
    14. Christopher L. Foote & Paul S. Willen, 2017. "Mortgage-default research and the recent foreclosure crisis," Working Papers 17-13, Federal Reserve Bank of Boston.
    15. Raven Molloy & Hui Shan, 2013. "The Postforeclosure Experience of U.S. Households," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 41(2), pages 225-254, June.
    16. Jan K. Brueckner & Paul S. Calem & Leonard I. Nakamura, 2011. "Subprime mortgages and the housing bubble," Working Papers 11-12, Federal Reserve Bank of Philadelphia.
    17. Egle Jakucionyte & Swapnil Singh, 2020. "Bowling Alone, Buying Alone: The Decline of Co-Borrowers in the US Mortgage Market," Bank of Lithuania Working Paper Series 78, Bank of Lithuania.
    18. Xudong An & Yongheng Deng & Eric Rosenblatt & Vincent Yao, 2012. "Model Stability and the Subprime Mortgage Crisis," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 545-568, October.
    19. Russell Kashian & David Welsch, 2008. "A Regional Examination of Foreclosures," Working Papers 08-04, UW-Whitewater, Department of Economics.
    20. Deng, Yongheng & Gu, Quanlin & He, Jia, 2021. "Reinforcement learning and mortgage partial prepayment behavior," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    21. Damian S. Damianov & Xiangdong Wang & Cheng Yan, 2021. "Google Search Queries, Foreclosures, and House Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 63(2), pages 177-209, August.
    22. Shuang Zhu & R. Kelley Pace, 2015. "The Influence of Foreclosure Delays on Borrowers' Default Behavior," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(6), pages 1205-1222, September.
    23. Dennis Capozza & Thomas Thomson, 2004. "Optimal Stopping and Losses on Subprime Mortgages," The Journal of Real Estate Finance and Economics, Springer, vol. 30(2), pages 115-131, November.
    24. John P. Harding & Jing Li & Stuart S. Rosenthal & Xirui Zhang, 2022. "Forced moves and home maintenance: The amplifying effects of mortgage payment burden on underwater homeowners," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(2), pages 498-533, June.
    25. Haughwout, Andrew & Peach, Richard & Tracy, Joseph, 2008. "Juvenile delinquent mortgages: Bad credit or bad economy?," Journal of Urban Economics, Elsevier, vol. 64(2), pages 246-257, September.
    26. Yifei Wu & Jeffrey H Dorfman, 2018. "Reducing residential mortgage default: Should policy act before or after home purchases?," PLOS ONE, Public Library of Science, vol. 13(7), pages 1-23, July.
    27. Anthony Pennington‐Cross & Brent C Smith, 2020. "Early Termination of Small Loans in the Multifamily Mortgage Market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 48(4), pages 1198-1233, December.
    28. Pavan, Marina & Barreda-Tarrazona, Iván, 2020. "Should I default on my mortgage even if I can pay? Experimental evidence," Journal of Economic Dynamics and Control, Elsevier, vol. 110(C).
    29. Guiso, Luigi, 2012. "Household Finance: An Emerging Field," CEPR Discussion Papers 8934, C.E.P.R. Discussion Papers.
    30. James Kau & Donald Keenan, 1999. "Catastrophic Default and Credit Risk for Lending Institutions," Journal of Financial Services Research, Springer;Western Finance Association, vol. 15(2), pages 87-102, March.
    31. Fang, Lu & Munneke, Henry J., 2021. "A spatial analysis of borrowers’ mortgage termination decision – A nonparametric approach," Regional Science and Urban Economics, Elsevier, vol. 86(C).
    32. Weiran Huang & Ashlyn Nelson & Stephen L. Ross, 2018. "Foreclosure Spillovers within Broad Neighborhoods," Working Papers 2018-096, Human Capital and Economic Opportunity Working Group.
    33. Theresa Kuchler & Johannes Stroebel, 2009. "Foreclosure and Bankruptcy--Policy Conclusions from the Current Crisis," Discussion Papers 08-037, Stanford Institute for Economic Policy Research.
    34. Karl E. Case & Robert J. Shiller & Allan N. Weiss, 1995. "Mortgage Default Risk and Real Estate Prices: The Use of Index-Based Futures and Options in Real Estate," NBER Working Papers 5078, National Bureau of Economic Research, Inc.
    35. João Rebelo & José Vaz Caldas, 2010. "Default Mortgage Profile: A Micro Analysis Of The Portuguese Case," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(1), pages 109-125.
    36. Thomas Schelkle, 2012. "Mortgage Default during the U.S. Mortgage Crisis," 2012 Meeting Papers 751, Society for Economic Dynamics.
    37. Lee, Yongwoong & Rösch, Daniel & Scheule, Harald, 2021. "Systematic credit risk in securitised mortgage portfolios," Journal of Banking & Finance, Elsevier, vol. 122(C).
    38. Philip Arestis & Maggie Mo Jia, 2019. "Credit risk and macroeconomic stress tests in China," Journal of Banking Regulation, Palgrave Macmillan, vol. 20(3), pages 211-225, September.
    39. Neil Bhutta & Benjamin J. Keys, 2016. "Interest Rates and Equity Extraction during the Housing Boom," American Economic Review, American Economic Association, vol. 106(7), pages 1742-1774, July.
    40. Tyler Yang & Che-Chun Lin & Man Cho, 2011. "Collateral Risk in Residential Mortgage Defaults," The Journal of Real Estate Finance and Economics, Springer, vol. 42(2), pages 115-142, February.
    41. Kristopher Gerardi & Adam Hale Shapiro & Paul S. Willen, 2009. "Decomposing the foreclosure crisis: House price depreciation versus bad underwriting," FRB Atlanta Working Paper 2009-25, Federal Reserve Bank of Atlanta.
    42. Lin, Che-Chun & Prather, Larry J. & Chu, Ting-Heng & Tsay, Jing-Tang, 2013. "Differential default risk among traditional and non-traditional mortgage products and capital adequacy standards," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 115-122.
    43. Souphala Chomsisengphet & Ronel Elul & Robert M. Hunt & Nicholas S. Souleles, 2010. "What \"triggers\" mortgage default?," Working Papers 10-13, Federal Reserve Bank of Philadelphia.
    44. Gyourko, Joseph & Tracy, Joseph, 2014. "Reconciling theory and empirics on the role of unemployment in mortgage default," Journal of Urban Economics, Elsevier, vol. 80(C), pages 87-96.
    45. Souphala Chomsisengphet & Anthony Pennington-Cross, 2006. "Subprime refinancing: equity extraction and mortgage termination," Working Papers 2006-023, Federal Reserve Bank of St. Louis.
    46. Breck L. Robinson, 2012. "The performance of non-owner-occupied mortgages during the housing crisis," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 98(2Q), pages 111-138.
    47. Seow Ong & Tien Sing & Alan Teo, 2007. "Delinquency and Default in Arms: The Effects of Protected Equity and Loss Aversion," The Journal of Real Estate Finance and Economics, Springer, vol. 35(3), pages 253-280, October.
    48. Crook, Jonathan & Banasik, John, 2012. "Forecasting and explaining aggregate consumer credit delinquency behaviour," International Journal of Forecasting, Elsevier, vol. 28(1), pages 145-160.
    49. Neil Bhutta & Jane K. Dokko & Hui Shan, 2010. "The depth of negative equity and mortgage default decisions," Finance and Economics Discussion Series 2010-35, Board of Governors of the Federal Reserve System (U.S.).
    50. Bo Liu & Tien Foo Sing, 2018. "“Cure” Effects and Mortgage Default: A Split Population Survival Time Model," The Journal of Real Estate Finance and Economics, Springer, vol. 56(2), pages 217-251, February.
    51. Wadud, Mokhtarul & Ali Ahmed, Huson Joher & Tang, Xueli, 2020. "Factors affecting delinquency of household credit in the U.S.: Does consumer sentiment play a role?," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    52. O'Toole, Conor & Slaymaker, Rachel, 2020. "Repayment capacity, debt service ratios and mortgage default: An exploration in crisis and non-crisis periods," Papers WP652, Economic and Social Research Institute (ESRI).
    53. Carlos Garriga & Lowell R. Ricketts & Don E. Schlagenhauf, 2017. "The Homeownership Experience of Minorities During the Great Recession," Review, Federal Reserve Bank of St. Louis, vol. 99(1), pages 139-167.
    54. Christopher Foote & Kristopher Gerardi & Lorenz Goette & Paul Willen, 2009. "Reducing Foreclosures: No Easy Answers," NBER Working Papers 15063, National Bureau of Economic Research, Inc.
    55. Tracey Seslen & William C. Wheaton, 2010. "Contemporaneous Loan Stress and Termination Risk in the CMBS Pool: How “Ruthless” is Default?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(2), pages 225-255, June.
    56. Emily Johnston Ross & Lynn Shibut, 2021. "Loss Given Default, Loan Seasoning and Financial Fragility: Evidence from Commercial Real Estate Loans at Failed Banks," The Journal of Real Estate Finance and Economics, Springer, vol. 63(4), pages 630-661, November.
    57. Amir E. Khandani & Andrew W. Lo & Robert C. Merton, 2009. "Systemic Risk and the Refinancing Ratchet Effect," NBER Working Papers 15362, National Bureau of Economic Research, Inc.
    58. Childs, Paul D. & Ott, Steven H. & Riddiough, Timothy J., 1996. "The value of recourse and cross-default clauses in commercial mortgage contracting," Journal of Banking & Finance, Elsevier, vol. 20(3), pages 511-536, April.
    59. Bocchio, Cecilia & Crook, Jonathan & Andreeva, Galina, 2023. "The impact of macroeconomic scenarios on recurrent delinquency: A stress testing framework of multi-state models for mortgages," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1655-1677.
    60. David Feldman & Shulamith Gross, 2005. "Mortgage Default: Classification Trees Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 30(4), pages 369-396, June.
    61. O. Emre Ergungor & Stephanie Moulton, 2011. "Beyond the transaction: depository institutions and reduced mortgage default for low-income homebuyers," Working Papers (Old Series) 1115, Federal Reserve Bank of Cleveland.
    62. Benjamin Liu & Donghui Li & Eduardo Roca, 2009. "What Determine Mortgage Yield Spreads in Australia? Credit Criteria, Funding Channels and the Market Condition," Discussion Papers in Finance finance:200901, Griffith University, Department of Accounting, Finance and Economics.
    63. Shuang Zhu & R. Pace, 2014. "Modeling Spatially Interdependent Mortgage Decisions," The Journal of Real Estate Finance and Economics, Springer, vol. 49(4), pages 598-620, November.
    64. Yamout, Nadine, 2023. "Securitization of subprime credit and the propagation of housing shocks," Journal of Economics and Business, Elsevier, vol. 125.
    65. Foote, Christopher L. & Gerardi, Kristopher & Willen, Paul S., 2008. "Negative equity and foreclosure: Theory and evidence," Journal of Urban Economics, Elsevier, vol. 64(2), pages 234-245, September.
    66. European Central Bank & Stefano Corradin, 2009. "Household Leverage," 2009 Meeting Papers 906, Society for Economic Dynamics.
    67. Christopher L. Foote & Kristopher Gerardi & Lorenz Goette & Paul S. Willen, 2008. "Subprime facts: what (we think) we know about the subprime crisis and what we don’t," Public Policy Discussion Paper 08-2, Federal Reserve Bank of Boston.
    68. Joseph Gyourko & Joseph Tracy, 2013. "Unemloyment and Unobserved Credit Risk in the FHA Single Family Mortgage Insurance Fund," NBER Working Papers 18880, National Bureau of Economic Research, Inc.
    69. Poitras, Geoffrey & Zanotti, Giovanna, 2016. "Mortgage contract design and systemic risk immunization," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 320-331.
    70. Jan K. Brueckner & Stuart S. Rosenthal, 2022. "Tenant Riskiness, Contract Length, and the Term Structure of Commercial Leases," CESifo Working Paper Series 10189, CESifo.
    71. Sumit Agarwal & Yongheng Deng & Jia He, 2020. "Time Preferences, Mortgage Choice and Mortgage Default," International Real Estate Review, Global Social Science Institute, vol. 23(2), pages 151-187.
    72. R. Kelley Pace & Shuang Zhu, 2017. "Implicit Hedonic Pricing Using Mortgage Payment Information," The Journal of Real Estate Finance and Economics, Springer, vol. 54(3), pages 387-402, April.
    73. O. Emre Ergungor, 2009. "Foreclosures in Ohio: does lender type matter?," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
    74. Michael G. Bradley & Amy Crews Cutts & Wei Liu, 2015. "Strategic Mortgage Default: The Effect of Neighborhood Factors," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(2), pages 271-299, June.
    75. Avanzini, Diego & Martı́nez, Juan Francisco & Pérez, Vı́ctor, 2020. "Assessing mortgage default risk in full-recourse economies, with an application to the case of Chile," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 1(1).
    76. Diego Avanzini & Juan Francisco Martínez & Víctor Pérez, 2016. "A micro-powered model of mortgage default risk for full recourse economies, with an application to the case of Chile," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Combining micro and macro data for financial stability analysis, volume 41, Bank for International Settlements.
    77. Chris Cunningham & Kristopher Gerardi & Lily Shen, 2021. "The Double Trigger for Mortgage Default: Evidence from the Fracking Boom," Management Science, INFORMS, vol. 67(6), pages 3943-3964, June.
    78. Jian Chen & Jin Xiang & Tyler T. Yang, 2018. "Re-Default Risk of Modified Mortgages," International Real Estate Review, Global Social Science Institute, vol. 21(1), pages 1-40.
    79. Tammy C.M. Leonard, 2013. "The Impact of Housing Market Conditions on Residential Property Upkeep," Housing Studies, Taylor & Francis Journals, vol. 28(1), pages 33-56, January.
    80. Daglish, Toby, 2009. "What motivates a subprime borrower to default?," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 681-693, April.
    81. Shuang Zhu & R. Pace & Walter Morales, 2014. "Using Housing Futures in Mortgage Research," The Journal of Real Estate Finance and Economics, Springer, vol. 48(1), pages 1-15, January.
    82. Kadiri Karamon & Douglas McManus & Jun Zhu, 2017. "Refinance and Mortgage Default: A Regression Discontinuity Analysis of HARP’s Impact on Default Rates," The Journal of Real Estate Finance and Economics, Springer, vol. 55(4), pages 457-475, November.
    83. Chomsisengphet, Souphala & Kiefer, Hua & Liu, Xiaodong, 2018. "Spillover effects in home mortgage defaults: Identifying the power neighbor," Regional Science and Urban Economics, Elsevier, vol. 73(C), pages 68-82.
    84. Richard K. Green & Susan M. Wachter, 2007. "The housing finance revolution," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 21-67.
    85. Gordon W. Crawford & Eric Rosenblatt, 1995. "Efficient Mortgage Default Option Exercise: Evidence from Loss Severity," Journal of Real Estate Research, American Real Estate Society, vol. 10(5), pages 543-556.
    86. Chien-Ming Huang & Ta-Cheng Chang, 2022. "The Valuation of Contract Deposit and Purchase Price," Mathematics, MDPI, vol. 10(23), pages 1-17, November.
    87. Stefano Corradin, 2014. "Household Leverage," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(4), pages 567-613, June.
    88. Benjamin J. Keys & Tomasz Piskorski & Amit Seru & Vikrant Vig, 2012. "Mortgage Financing in the Housing Boom and Bust," NBER Chapters, in: Housing and the Financial Crisis, pages 143-204, National Bureau of Economic Research, Inc.
    89. Erwan Quintin, 2012. "More punishment, less default?," Annals of Finance, Springer, vol. 8(4), pages 427-454, November.
    90. Tracey Seslen & William C. Wheaton, 2005. "Contemporaneous Loan Stress and Termination Risk in the CMBS pool: how "Ruthless" is default?," Working Paper 8582, USC Lusk Center for Real Estate.
    91. Michelle Bergmann, 2020. "The Determinants of Mortgage Defaults in Australia – Evidence for the Double-trigger Hypothesis," RBA Research Discussion Papers rdp2020-03, Reserve Bank of Australia.
    92. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    93. (David) Ho, Kim Hin & Su, Huiyong, 2006. "Structural prepayment risk behavior of the underlying mortgages for residential mortgage life insurance in a developing market," Journal of Housing Economics, Elsevier, vol. 15(3), pages 257-278, September.
    94. Samit Ahlawat, 2019. "Evaluation of Mortgage Default Characteristics Using Fannie Mae’s Loan Performance Data," The Journal of Real Estate Finance and Economics, Springer, vol. 59(4), pages 589-616, November.
    95. Tahsin, Salman, 2022. "Home price growth and minority access to mortgage credit," Journal of Economics and Business, Elsevier, vol. 120(C).
    96. Allison Freeman & Jeffrey J. Harden, 2015. "Affordable Homeownership: The Incidence and Effect of Down Payment Assistance," Housing Policy Debate, Taylor & Francis Journals, vol. 25(2), pages 308-319, April.

  35. James B. Kau & Donald C. Keenan & Taewon Kim, 1993. "Transaction Costs, Suboptimal Termination and Default Probabilities," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(3), pages 247-263, September.

    Cited by:

    1. Chao Tian & Roberto Quercia & Sarah Riley, 2016. "Unemployment as an Adverse Trigger Event for Mortgage Default," The Journal of Real Estate Finance and Economics, Springer, vol. 52(1), pages 28-49, January.
    2. Kau, James B. & Keenan, Donald C., 1999. "Patterns of rational default," Regional Science and Urban Economics, Elsevier, vol. 29(6), pages 765-785, November.
    3. Janine Aron & John Muellbauer, 2016. "Modelling and Forecasting Mortgage Delinquency and Foreclosure in the UK," Economics Series Working Papers 793, University of Oxford, Department of Economics.
    4. Jan K. Brueckner & James N. Conklin & N. Edward Coulson & Moussa Diop, 2023. "Default Costs and Repayment of Underwater Mortgages," CESifo Working Paper Series 10755, CESifo.
    5. Rais Ahmad Itoo & Selvarasu Appasamy Mutharasu & José António Filipe, 2013. "Effect of Loan Value and Collateral on Value of Mortgage Default," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 3(4), pages 635-635.
    6. Richard Chamboko & Jorge Miguel Bravo, 2020. "A Multi-State Approach to Modelling Intermediate Events and Multiple Mortgage Loan Outcomes," Risks, MDPI, vol. 8(2), pages 1-29, June.
    7. Kristopher Gerardi & Kyle F. Herkenhoff & Lee E. Ohanian & Paul S. Willen, 2018. "Can’t Pay or Won’t Pay? Unemployment, Negative Equity, and Strategic Default," The Review of Financial Studies, Society for Financial Studies, vol. 31(3), pages 1098-1131.
    8. Jan K. Brueckner & Paul S. Calem & Leonard I. Nakamura, 2011. "Subprime mortgages and the housing bubble," Working Papers 11-12, Federal Reserve Bank of Philadelphia.
    9. Russell Kashian & David Welsch, 2008. "A Regional Examination of Foreclosures," Working Papers 08-04, UW-Whitewater, Department of Economics.
    10. Danny Ben-Shahar, 2008. "Default, Credit Scoring, and Loan-to-Value: a Theoretical Analysis under Competitive and Non-Competitive Mortgage Markets," Journal of Real Estate Research, American Real Estate Society, vol. 30(2), pages 161-190.
    11. Chen L. Miller, 2018. "Comparison of Two Affordable Housing Finance Channels," International Real Estate Review, Global Social Science Institute, vol. 21(2), pages 227-250.
    12. Richard Anderson & James VanderHoff, 1999. "Mortgage Default Rates and Borrower Race," Journal of Real Estate Research, American Real Estate Society, vol. 18(2), pages 279-290.
    13. Richard K. Green & Eric Rosenblatt & Vincent Yao, 2010. "Sunk Costs and Mortgage Default," Working Paper 9097, USC Lusk Center for Real Estate.
    14. Nguyen Nghia Hoai & Chinda Thanwadee, 2015. "Investigating Factors Influencing Profits Enhancement in Real Estate Companies in Ho Chi Minh City, Viet Nam," International Journal of Business and Administrative Studies, Professor Dr. Bahaudin G. Mujtaba, vol. 1(3), pages 107-113.
    15. Tsai, Ming-Shann & Liao, Szu-Lang & Chiang, Shu-Ling, 2009. "Analyzing yield, duration and convexity of mortgage loans under prepayment and default risks," Journal of Housing Economics, Elsevier, vol. 18(2), pages 92-103, June.
    16. Seow Ong & Tien Sing & Alan Teo, 2007. "Delinquency and Default in Arms: The Effects of Protected Equity and Loss Aversion," The Journal of Real Estate Finance and Economics, Springer, vol. 35(3), pages 253-280, October.
    17. Crook, Jonathan & Banasik, John, 2012. "Forecasting and explaining aggregate consumer credit delinquency behaviour," International Journal of Forecasting, Elsevier, vol. 28(1), pages 145-160.
    18. Bo Liu & Tien Foo Sing, 2018. "“Cure” Effects and Mortgage Default: A Split Population Survival Time Model," The Journal of Real Estate Finance and Economics, Springer, vol. 56(2), pages 217-251, February.
    19. Wadud, Mokhtarul & Ali Ahmed, Huson Joher & Tang, Xueli, 2020. "Factors affecting delinquency of household credit in the U.S.: Does consumer sentiment play a role?," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    20. Goodman, Allen C. & Smith, Brent C., 2010. "Residential mortgage default: Theory works and so does policy," Journal of Housing Economics, Elsevier, vol. 19(4), pages 280-294, December.
    21. Brent C Smith & Kenneth N. Daniels, 2018. "Unintended Consequences of Risk Based Pricing: Racial Differences in Mortgage Costs," Journal of Financial Services Research, Springer;Western Finance Association, vol. 54(3), pages 323-343, December.
    22. Seung Dong You, 2014. "The Leveraged City," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(4), pages 1042-1066, December.
    23. Eddie Lam, 2002. "A Risk Management Model for MBS Issuers," International Real Estate Review, Global Social Science Institute, vol. 5(1), pages 169-195.
    24. Andréas Heinen & James B. Kau & Donald C. Keenan & Mi Lim Kim, 2021. "Spatial Dependence in Subprime Mortgage Defaults," The Journal of Real Estate Finance and Economics, Springer, vol. 62(1), pages 1-24, January.
    25. Danny Ben-Shahar, 2006. "Screening Mortgage Default Risk: A Unified Theoretical Framework," Journal of Real Estate Research, American Real Estate Society, vol. 28(3), pages 215-240.
    26. Agarwal, Sumit & Green, Richard K. & Rosenblatt, Eric & Yao, Vincent, 2015. "Collateral pledge, sunk-cost fallacy and mortgage default," Journal of Financial Intermediation, Elsevier, vol. 24(4), pages 636-652.
    27. Allen C. Goodman & Brent C. Smith, 2010. "Housing default: theory works and so does policy," Working Paper 10-10, Federal Reserve Bank of Richmond.
    28. Jou, Jyh-Bang & Lee, Tan (Charlene), 2016. "How does statutory redemption affect a buyer's decision at the foreclosure sale?," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 263-272.
    29. Shuang Zhu & R. Pace, 2014. "Modeling Spatially Interdependent Mortgage Decisions," The Journal of Real Estate Finance and Economics, Springer, vol. 49(4), pages 598-620, November.
    30. George H. Lentz & Ko Wang, 1998. "Residential Appraisal and the Lending Process: A Survey of Issues," Journal of Real Estate Research, American Real Estate Society, vol. 15(1), pages 11-40.
    31. Jan K. Brueckner & Stuart S. Rosenthal, 2022. "Tenant Riskiness, Contract Length, and the Term Structure of Commercial Leases," CESifo Working Paper Series 10189, CESifo.
    32. Sumit Agarwal & Yongheng Deng & Jia He, 2020. "Time Preferences, Mortgage Choice and Mortgage Default," International Real Estate Review, Global Social Science Institute, vol. 23(2), pages 151-187.
    33. O. Emre Ergungor, 2009. "Foreclosures in Ohio: does lender type matter?," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
    34. Jian Chen & Jin Xiang & Tyler T. Yang, 2018. "Re-Default Risk of Modified Mortgages," International Real Estate Review, Global Social Science Institute, vol. 21(1), pages 1-40.
    35. Antje Berndt & Burton Hollifield & Patrik Sandås, 2021. "What Broker Charges Reveal About Subprime Mortgage Credit Risk," The Journal of Real Estate Finance and Economics, Springer, vol. 63(2), pages 280-326, August.
    36. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

  36. Kau, James B & Keenan, Donald C & Muller, Walter J, III & Epperson, James F, 1993. "Option Theory and Floating-Rate Securities with a Comparison of Adjustable- and Fixed-Rate Mortgages," The Journal of Business, University of Chicago Press, vol. 66(4), pages 595-618, October.

    Cited by:

    1. Bilgi Yilmaz & A. Sevtap Selcuk-Kestel, 2019. "Computation of Hedging Coefficients for Mortgage Default and Prepayment Options: Malliavin Calculus Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 59(4), pages 673-697, November.
    2. Nikola Kojucharov & Clyde F. Martin & Robert F. Martin & Lili Xu, 2009. "The subprime mortgage crisis: irrational exuberance or rational error?," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
    3. Werner Hürlimann, 2012. "Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 35(2), pages 171-202, November.
    4. McConnell, John J. & Saretto, Alessio, 2010. "Auction failures and the market for auction rate securities," Journal of Financial Economics, Elsevier, vol. 97(3), pages 451-469, September.
    5. Isil Erol & Kanak Patel, 2007. "Pricing the Default Option of Inflation-Indexed Mortgages Using Explicit Finite Difference Method," International Real Estate Review, Global Social Science Institute, vol. 10(1), pages 48-92.
    6. Agarwal, Sumit & Ambrose, Brent W. & Chomsisengphet, Souphala & Liu, Chunlin, 2006. "An empirical analysis of home equity loan and line performance," Journal of Financial Intermediation, Elsevier, vol. 15(4), pages 444-469, October.
    7. Lanot, Gauthier & Leece, David, 2010. "The Performance of UK Securitized Subprime Mortgage Debt: ‘Idiosyncratic’ Behaviour or Mortgage Design?," MPRA Paper 27137, University Library of Munich, Germany.
    8. James Kau & Donald Keenan, 1999. "Catastrophic Default and Credit Risk for Lending Institutions," Journal of Financial Services Research, Springer;Western Finance Association, vol. 15(2), pages 87-102, March.
    9. Shu Ling Chiang & Ming Shann Tsai & Shan Jiang, 2021. "The Influences of Foreclosure Factors on the Value, Yield, Duration and Convexity of a Mortgage," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(S2), pages 361-394, September.
    10. Shu Ling Chiang & Ming Shann Tsai & Chien An Wang, 2021. "Determining an Optimal Principal Limit Factor for Reverse Mortgages under Economics-Based Models," The Journal of Real Estate Finance and Economics, Springer, vol. 63(4), pages 565-597, November.
    11. Ray Sturm & Drew Winters, 2009. "Does time have value? An empirical examination of the put option embedded in refundable U.S. air fares," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(4), pages 376-392, October.
    12. Tsai, Ming-Shann & Liao, Szu-Lang & Chiang, Shu-Ling, 2009. "Analyzing yield, duration and convexity of mortgage loans under prepayment and default risks," Journal of Housing Economics, Elsevier, vol. 18(2), pages 92-103, June.
    13. Geetesh Bhardwaj & Rajdeep Sengupta, 2008. "Did prepayments sustain the subprime market?," Working Papers 2008-039, Federal Reserve Bank of St. Louis.
    14. Bhardwaj, Geetesh & Sengupta, Rajdeep, 2012. "Subprime mortgage design," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1503-1519.
    15. Ralf Korn & Bilgi Yilmaz, 2022. "House Prices as a Result of Trading Activities: A Patient Trader Model," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 281-303, June.
    16. Eddie Lam, 2002. "A Risk Management Model for MBS Issuers," International Real Estate Review, Global Social Science Institute, vol. 5(1), pages 169-195.
    17. Szu‐Lang Liao & Ming‐Shann Tsai & Shu‐Ling Chiang, 2008. "Closed‐Form Mortgage Valuation Using Reduced‐Form Model," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(2), pages 313-347, June.
    18. Ming Shann Tsai & Shu Ling Chiang, 2016. "The Valuation Model for a Risky Asset When Its Risky Factors Follow Gamma Distributions," International Review of Finance, International Review of Finance Ltd., vol. 16(3), pages 421-444, September.
    19. Chow, Ying-Foon & Huang, Charles & Liu, Ming, 2000. "Valuation of adjustable rate mortgages with automatic stretching maturity," Journal of Banking & Finance, Elsevier, vol. 24(11), pages 1809-1829, November.
    20. Posey, Lisa L. & Yavas, Abdullah, 2001. "Adjustable and Fixed Rate Mortgages as a Screening Mechanism for Default Risk," Journal of Urban Economics, Elsevier, vol. 49(1), pages 54-79, January.
    21. Jian Chen & Jin Xiang & Tyler T. Yang, 2018. "Re-Default Risk of Modified Mortgages," International Real Estate Review, Global Social Science Institute, vol. 21(1), pages 1-40.
    22. Daglish, Toby, 2009. "What motivates a subprime borrower to default?," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 681-693, April.
    23. Patel, Nimesh & Daglish, Toby, 2011. "Fixed come hell or high water? Selection and prepayment of fixed rate mortgages outside the US," Working Paper Series 19215, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
    24. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    25. Yerkin Kitapbayev & Scott Robertson, 2020. "Mortgage Contracts and Underwater Default," Papers 2005.03554, arXiv.org, revised May 2022.
    26. Cristina Viegas & Jos� Azevedo-Pereira, 2012. "Mortgage valuation: a quasi-closed-form solution," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 993-1001, May.
    27. Stephen F. Thode, 2000. "CMOs, Duration Risk and a New Mortgage," Journal of Real Estate Research, American Real Estate Society, vol. 19(1), pages 73-103.

  37. Keenan, Donald C. & O'Brien, Mike J., 1993. "Competition, collusion, and chaos," Journal of Economic Dynamics and Control, Elsevier, vol. 17(3), pages 327-353, May.

    Cited by:

    1. Khamdamov, T., 2022. "A brief overview of the evolution of computer simulations in economic research," Journal of the New Economic Association, New Economic Association, vol. 54(2), pages 189-207.
    2. Alessandro Lomi & Erik Reimer Larsen, 1998. "Density Delay and Organizational Survival: Computational Models and Empirical Comparisons," Computational and Mathematical Organization Theory, Springer, vol. 3(4), pages 219-247, December.
    3. Randal J. Verbrugge, 1998. "A Framework for Studying Economic Interactions (with applications to corruption and business cycles)," Game Theory and Information 9809006, University Library of Munich, Germany, revised 07 Oct 1998.
    4. Andreas Flache & Rainer Hegselmann, 1998. "Understanding Complex Social Dynamics: a Plea for Cellular Automata Based Modelling," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 1(3), pages 1-1.
    5. Shu-Heng Chen & Sai-Ping Li, 2011. "Econophysics: Bridges over a Turbulent Current," Papers 1107.5373, arXiv.org.
    6. Berninghaus, Siegfried K. & Schwalbe, Ulrich, 1996. "Evolution, interaction, and Nash equilibria," Journal of Economic Behavior & Organization, Elsevier, vol. 29(1), pages 57-85, January.

  38. Kau, James B & Keenan, Donald C. & Muller III, Walter J. & Epperson, James F., 1990. "Pricing Commercial Mortgages and Their Mortgage-Backed Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 3(4), pages 333-356, December.

    Cited by:

    1. Gianluca Marcato & Giovanni Alberto Tira, 2009. "Driving Factors in Pricing European CMBS: Bond, Mortgage and Real Estate Characteristics," Real Estate & Planning Working Papers rep-wp2009-04, Henley Business School, University of Reading.
    2. Gang-Zhi Fan & Ming Pu & Seow Ong, 2012. "Optimal Portfolio Choices, House Risk Hedging and the Pricing of Forward House Transactions," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 3-29, June.
    3. Grovenstein, Robert A. & Harding, John P. & Sirmans, C.F. & Thebpanya, Sansanee & Turnbull, Geoffrey K., 2005. "Commercial mortgage underwriting: How well do lenders manage the risks?," Journal of Housing Economics, Elsevier, vol. 14(4), pages 355-383, December.
    4. Jun Chen & Yongheng Deng, 2003. "Commercial Mortgage Workout Strategy and Conditional Default Probability: Evidence from Special Serviced CMBS Loans," Working Paper 8614, USC Lusk Center for Real Estate.
    5. Bilgi Yilmaz & Ralf Korn & A. Sevtap Selcuk-Kestel, 2023. "The Impact of Large Investors on the Portfolio Optimization of Single-Family Houses in Housing Markets," Computational Economics, Springer;Society for Computational Economics, vol. 61(2), pages 855-873, February.
    6. Buckley, Robert & Karaguishiyeva, Gulmira & Van Order, Robert & Vecvagare, Laura, 2003. "Comparing mortgage credit risk policies : an options-based approach," Policy Research Working Paper Series 3047, The World Bank.
    7. Abraham, Jesse M. & Theobald, H. Scott, 1997. "A Simple Prepayment Model of Commercial Mortgages," Journal of Housing Economics, Elsevier, vol. 6(1), pages 31-59, March.
    8. Terrence M. Clauretie & Mel Jameson, 1995. "Residential Loan Renegotiation: Theory and Evidence," Journal of Real Estate Research, American Real Estate Society, vol. 10(2), pages 153-162.
    9. Refik Soyer & Feng Xu, 2010. "Assessment of mortgage default risk via Bayesian reliability models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 26(3), pages 308-330, May.
    10. Tracey Seslen & William C. Wheaton, 2010. "Contemporaneous Loan Stress and Termination Risk in the CMBS Pool: How “Ruthless” is Default?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(2), pages 225-255, June.
    11. Gourieroux, C. & Scaillet, O., 1997. "Unemployment insurance and mortgages," Insurance: Mathematics and Economics, Elsevier, vol. 20(3), pages 173-195, October.
    12. Childs, Paul D. & Ott, Steven H. & Riddiough, Timothy J., 1996. "The value of recourse and cross-default clauses in commercial mortgage contracting," Journal of Banking & Finance, Elsevier, vol. 20(3), pages 511-536, April.
    13. Timothy Riddiough & Paul Childs & Steven Ott, 2001. "Noise, Real Estate Markets, and Options on Real Assets: Applications," Wisconsin-Madison CULER working papers 01-06, University of Wisconsin Center for Urban Land Economic Research.
    14. James Kau & Donald Keenan & Xiaowei Li, 2011. "An Analysis of Mortgage Termination Risks: A Shared Frailty Approach with MSA-Level Random Effects," The Journal of Real Estate Finance and Economics, Springer, vol. 42(1), pages 51-67, January.
    15. Bhattacharya, Arnab & Wilson, Simon P. & Soyer, Refik, 2019. "A Bayesian approach to modeling mortgage default and prepayment," European Journal of Operational Research, Elsevier, vol. 274(3), pages 1112-1124.
    16. Robert Buckley & Gulmira Karaguishiyeva & Robert Order & Laura Vecvagare, 2006. "Mortgage credit risk in EU countries: Constraints on exploiting the single currency market," European Journal of Law and Economics, Springer, vol. 21(1), pages 13-27, January.
    17. Michael LaCour-Little & Michael Marschoun & Clark L. Maxam, 2002. "Improving Parametric Mortgage Prepayment Models with Non-parametric Kernel Regression," Journal of Real Estate Research, American Real Estate Society, vol. 24(3), pages 299-328.
    18. Tracey Seslen & William C. Wheaton, 2005. "Contemporaneous Loan Stress and Termination Risk in the CMBS pool: how "Ruthless" is default?," Working Paper 8582, USC Lusk Center for Real Estate.
    19. Deng, Yongheng & Quigley, John M. & Sanders, Anthony B., 2006. "Commercial Mortgage-backed Securities (CMBS) Terminations, Regional and Property-Type Risk," Working Paper Series 2006-24, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    20. Cristina Viegas & Jos� Azevedo-Pereira, 2012. "Mortgage valuation: a quasi-closed-form solution," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 993-1001, May.

  39. James B. Kau & Donald C. Keenan & Walter J. Muller & James F. Epperson, 1990. "The Valuation and Analysis of Adjustable Rate Mortgages," Management Science, INFORMS, vol. 36(12), pages 1417-1431, December.

    Cited by:

    1. Dressler, Jonathan B. & Stokes, Jeffrey R., 2006. "Mortgage Termination at AgChoice Farm Credit," 2006 Agricultural and Rural Finance Markets in Transition, October 2-3, 2006, Washington, DC 133077, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
    2. Isil Erol & Kanak Patel, 2007. "Pricing the Default Option of Inflation-Indexed Mortgages Using Explicit Finite Difference Method," International Real Estate Review, Global Social Science Institute, vol. 10(1), pages 48-92.
    3. Moshe Milevsky, 2004. "A diffusive wander through human life," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 21-23.
    4. Sprecher, C. R. & Willman, Elliott, 2000. "The Role of the Initial Discount in the Pricing of Adjustable-Rate Mortgages," Journal of Housing Economics, Elsevier, vol. 9(1-2), pages 64-75, March.
    5. Raymond Chiang & Thomas F. Gosnell & Andrea J. Heuson, 1997. "Evaluating the Interest-Rate Risk of Adjustable-Rate Mortgage Loans," Journal of Real Estate Research, American Real Estate Society, vol. 13(1), pages 77-94.
    6. Yongheng Deng & Della Zheng & Changfeng Ling, 2005. "An Early Assessment of Residential Mortgage Performance in China," The Journal of Real Estate Finance and Economics, Springer, vol. 31(2), pages 117-136, September.
    7. Eddie Lam, 2002. "A Risk Management Model for MBS Issuers," International Real Estate Review, Global Social Science Institute, vol. 5(1), pages 169-195.
    8. Chow, Ying-Foon & Huang, Charles & Liu, Ming, 2000. "Valuation of adjustable rate mortgages with automatic stretching maturity," Journal of Banking & Finance, Elsevier, vol. 24(11), pages 1809-1829, November.
    9. Giang Ho & Anthony Pennington-Cross, 2006. "Predatory lending laws and the cost of credit," Working Papers 2006-022, Federal Reserve Bank of St. Louis.
    10. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
    11. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    12. Naoki Kishimoto, 2004. "Pricing Path-Dependent Securities by the Extended Tree Method," Management Science, INFORMS, vol. 50(9), pages 1235-1248, September.
    13. Sprecher, C. R. & Willman, Elliott, 1998. "The Margin Paradox in Adjustable-Rate Mortgages," Journal of Housing Economics, Elsevier, vol. 7(2), pages 180-190, June.
    14. Isil Erol & Kanak Patel, 2004. "Housing Policy and Mortgage Finance in Turkey During the Late 1990s Inflationary Period," International Real Estate Review, Global Social Science Institute, vol. 7(1), pages 98-120.

  40. Keenan, Donald C, 1990. "Morishima Systems and Global Stability," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(1), pages 11-16, February.

    Cited by:

    1. W D A Bryant, 2009. "General Equilibrium:Theory and Evidence," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6875, August.
    2. Dohtani, Akitaka, 1998. "The system stability of dynamic processes," Journal of Mathematical Economics, Elsevier, vol. 29(2), pages 161-182, March.
    3. Paul Oslington, 2012. "General Equilibrium: Theory and Evidence," The Economic Record, The Economic Society of Australia, vol. 88(282), pages 446-448, September.

  41. James B. Kau & Donald Keenan, 1987. "Taxes, Points and Rationality in the Mortgage Market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 15(3), pages 168-184, September.

    Cited by:

    1. Agarwal, Sumit & Ben-David, Itzhak & Yao, Vincent, 2017. "Systematic mistakes in the mortgage market and lack of financial sophistication," Journal of Financial Economics, Elsevier, vol. 123(1), pages 42-58.
    2. Yan Chang & Abdullah Yavas, 2009. "Do Borrowers Make Rational Choices on Points and Refinancing?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(4), pages 635-658, December.
    3. Ruben Cox & Dirk Brounen & Peter Neuteboom, 2015. "Financial Literacy, Risk Aversion and Choice of Mortgage Type by Households," The Journal of Real Estate Finance and Economics, Springer, vol. 50(1), pages 74-112, January.

  42. Kau, James B. & Keenan, Donald C. & Muller, Walter III & Epperson, James F., 1987. "The valuation and securitization of commercial and multifamily mortgages," Journal of Banking & Finance, Elsevier, vol. 11(3), pages 525-546, September.

    Cited by:

    1. Vink, Dennis, 2007. "An Empirical Analysis of Asset-Backed Securitization," MPRA Paper 10382, University Library of Munich, Germany, revised 25 Aug 2008.
    2. Grovenstein, Robert A. & Harding, John P. & Sirmans, C.F. & Thebpanya, Sansanee & Turnbull, Geoffrey K., 2005. "Commercial mortgage underwriting: How well do lenders manage the risks?," Journal of Housing Economics, Elsevier, vol. 14(4), pages 355-383, December.
    3. Jun Chen & Yongheng Deng, 2003. "Commercial Mortgage Workout Strategy and Conditional Default Probability: Evidence from Special Serviced CMBS Loans," Working Paper 8614, USC Lusk Center for Real Estate.
    4. Dimuthu Ratnadiwakara, 2021. "Collateral Value and Strategic Default: Evidence from Auto Loans," Journal of Financial Services Research, Springer;Western Finance Association, vol. 59(3), pages 209-240, June.
    5. J. Sa-Aadu & James Shilling & George Wang, 2000. "A Test of Integration and Cointegration of Commercial Mortgage Rates," Journal of Financial Services Research, Springer;Western Finance Association, vol. 18(1), pages 45-61, October.
    6. Foote, Christopher L. & Gerardi, Kristopher & Willen, Paul S., 2008. "Negative equity and foreclosure: Theory and evidence," Journal of Urban Economics, Elsevier, vol. 64(2), pages 234-245, September.
    7. Yildiray Yildirim, 2008. "Estimating Default Probabilities of CMBS Loans with Clustering and Heavy Censoring," The Journal of Real Estate Finance and Economics, Springer, vol. 37(2), pages 93-111, August.
    8. Posey, Lisa L. & Yavas, Abdullah, 2001. "Adjustable and Fixed Rate Mortgages as a Screening Mechanism for Default Risk," Journal of Urban Economics, Elsevier, vol. 49(1), pages 54-79, January.
    9. Lok Man Michel Tong & Gianluca Marcato, 2018. "Modelling Competitive Mortgage Termination Option Strategies: Default vs Restructuring and Prepayment vs Defeasance," ERES eres2018_300, European Real Estate Society (ERES).
    10. Daglish, Toby, 2009. "What motivates a subprime borrower to default?," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 681-693, April.
    11. Patel, Nimesh & Daglish, Toby, 2011. "Fixed come hell or high water? Selection and prepayment of fixed rate mortgages outside the US," Working Paper Series 19215, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
    12. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    13. Cristina Viegas & Jos� Azevedo-Pereira, 2012. "Mortgage valuation: a quasi-closed-form solution," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 993-1001, May.
    14. Andrey Pavlov & George Blazenko, 2005. "The Neighborhood Effect of Real Estate Maintenance," The Journal of Real Estate Finance and Economics, Springer, vol. 30(4), pages 327-340, June.

  43. James B. Kau & Donald C. Keenan & Walter J. Muller & James F. Epperson, 1985. "Rational Pricing of Adjustable Rate Mortgages," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 13(2), pages 117-128, June.

    Cited by:

    1. Patric H. Hendershott & Robert Van Order, 1987. "Pricing Mortgages: An Interpretation of the Models and Results," NBER Working Papers 2290, National Bureau of Economic Research, Inc.
    2. Patric H. Hendershott, 1986. "Mortgage Pricing: What Have We Learned So Far?," NBER Working Papers 1959, National Bureau of Economic Research, Inc.
    3. Eddie Lam, 2002. "A Risk Management Model for MBS Issuers," International Real Estate Review, Global Social Science Institute, vol. 5(1), pages 169-195.
    4. Shiller, Robert J. & Wojakowski, Rafal M. & Ebrahim, M. Shahid & Shackleton, Mark B., 2019. "Continuous Workout Mortgages: Efficient pricing and systemic implications," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 244-274.
    5. Eduardo S. Schwartz & Walter N. Torous, 1991. "Caps on Adjustable Rate Mortgages: Valuation, Insurance, and Hedging," NBER Chapters, in: Financial Markets and Financial Crises, pages 283-304, National Bureau of Economic Research, Inc.

  44. James F. Epperson & James B. Kau & Donald C. Keenan & Walter J. Muller, 1985. "Pricing Default Risk in Mortgages," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 13(3), pages 261-272, September.

    Cited by:

    1. Patric H. Hendershott & Robert Van Order, 1987. "Pricing Mortgages: An Interpretation of the Models and Results," NBER Working Papers 2290, National Bureau of Economic Research, Inc.
    2. Xudong An & John Clapp & Yongheng Deng, 2010. "Omitted Mobility Characteristics and Property Market Dynamics: Application to Mortgage Termination," The Journal of Real Estate Finance and Economics, Springer, vol. 41(3), pages 245-271, October.
    3. Christopher L. Foote & Paul S. Willen, 2017. "Mortgage-default research and the recent foreclosure crisis," Working Papers 17-13, Federal Reserve Bank of Boston.
    4. Barry Dennis & Chionglong Kuo & Tyler Yang, 1997. "Rationales of Mortgage Insurance Premium Structures," Journal of Real Estate Research, American Real Estate Society, vol. 14(3), pages 359-378.
    5. Chang-Chih Chen & Chia-Chien Chang, 2019. "How Big are the Ambiguity-Based Premiums on Mortgage Insurances?," The Journal of Real Estate Finance and Economics, Springer, vol. 58(1), pages 133-157, January.
    6. Richard J. Buttimer, 2011. "The financial crisis: imperfect markets and imperfect regulation," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 3(1), pages 12-32, April.
    7. Dennis Capozza & Thomas Thomson, 2006. "Subprime Transitions: Lingering or Malingering in Default?," The Journal of Real Estate Finance and Economics, Springer, vol. 33(3), pages 241-258, November.
    8. James A Kahn & Benjamin S Kay, 2020. "The impact of credit risk mispricing on mortgage lending during the subprime boom," BIS Working Papers 875, Bank for International Settlements.
    9. Gregory Connor & Thomas Flavin, 2013. "Irish Mortgage Default Optionality," Economics Department Working Paper Series n243-13.pdf, Department of Economics, National University of Ireland - Maynooth.
    10. James A. Kahn & Benjamin S. Kay, 2024. "The Impact of Credit Risk Mispricing on Mortgage Lending during the Subprime Boom," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(5), pages 1021-1052, August.
    11. Paul Carrillo, 2013. "Testing for Fraud in the Residential Mortgage Market: How Much Did Early-Payment-Defaults Overpay for Housing?," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 36-64, July.
    12. Terrence M. Clauretie & Mel Jameson, 1995. "Residential Loan Renegotiation: Theory and Evidence," Journal of Real Estate Research, American Real Estate Society, vol. 10(2), pages 153-162.
    13. Lee, Yongwoong & Rösch, Daniel & Scheule, Harald, 2021. "Systematic credit risk in securitised mortgage portfolios," Journal of Banking & Finance, Elsevier, vol. 122(C).
    14. Tyler Yang & Che-Chun Lin & Man Cho, 2011. "Collateral Risk in Residential Mortgage Defaults," The Journal of Real Estate Finance and Economics, Springer, vol. 42(2), pages 115-142, February.
    15. Lin, Che-Chun & Prather, Larry J. & Chu, Ting-Heng & Tsay, Jing-Tang, 2013. "Differential default risk among traditional and non-traditional mortgage products and capital adequacy standards," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 115-122.
    16. Nicholas Sharp & David Newton & Peter Duck, 2008. "An Improved Fixed-Rate Mortgage Valuation Methodology with Interacting Prepayment and Default Options," The Journal of Real Estate Finance and Economics, Springer, vol. 36(3), pages 307-342, April.
    17. Luci Ellis, 2010. "The Housing Meltdown: Why Did It Happen in the United States?," International Real Estate Review, Global Social Science Institute, vol. 13(3), pages 351-394.
    18. Seung Dong You, 2014. "The Leveraged City," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(4), pages 1042-1066, December.
    19. Eddie Lam, 2002. "A Risk Management Model for MBS Issuers," International Real Estate Review, Global Social Science Institute, vol. 5(1), pages 169-195.
    20. Ming Pu & Gang-Zhi Fan & Yongheng Deng, 2014. "Breakeven Determination of Loan Limits for Reverse Mortgages under Information Asymmetry," The Journal of Real Estate Finance and Economics, Springer, vol. 48(3), pages 492-521, April.
    21. James A. Kahn & Benjamin S. Kay, 2019. "The Impact of Credit Risk Mispricing on Mortgage Lending during the Subprime Boom," Finance and Economics Discussion Series 2019-046, Board of Governors of the Federal Reserve System (U.S.).
    22. Leon G. Shilton & James R. Webb, 1989. "Commercial Loan Underwriting and Option Valuation," Journal of Real Estate Research, American Real Estate Society, vol. 4(1), pages 1-12.
    23. R. Kelley Pace & Shuang Zhu, 2017. "Implicit Hedonic Pricing Using Mortgage Payment Information," The Journal of Real Estate Finance and Economics, Springer, vol. 54(3), pages 387-402, April.
    24. Lydon, Reamonn & McCarthy, Yvonne, 2011. "What Lies Beneath? Understanding Recent Trends in Irish Mortgage Arrears," Research Technical Papers 14/RT/11, Central Bank of Ireland.
    25. Lok Man Michel Tong & Gianluca Marcato, 2018. "Modelling Competitive Mortgage Termination Option Strategies: Default vs Restructuring and Prepayment vs Defeasance," ERES eres2018_300, European Real Estate Society (ERES).
    26. Stephen F. Thode & Richard J. Kish, 1994. "The Zero-Coupon/Interest-Only Fixed-Rate Mortgage: An Alternative for Funding Low-to-Moderate Income Housing," Journal of Real Estate Research, American Real Estate Society, vol. 9(2), pages 263-276.
    27. Agarwal, Sumit & Ambrose, Brent W. & Yao, Vincent W., 2020. "Can regulation de-bias appraisers?," Journal of Financial Intermediation, Elsevier, vol. 44(C).
    28. Gordon W. Crawford & Eric Rosenblatt, 1995. "Efficient Mortgage Default Option Exercise: Evidence from Loss Severity," Journal of Real Estate Research, American Real Estate Society, vol. 10(5), pages 543-556.
    29. Patric H. Hendershott & Thomas G. Thibodeau & Halbert C. Smith, 2009. "Evolution of the American Real Estate and Urban Economics Association1," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(4), pages 559-598, December.
    30. Terrence Clauretie & Nasser Daneshvary, 2011. "The Optimal Choice for Lenders Facing Defaults: Short Sale, Foreclose, or REO," The Journal of Real Estate Finance and Economics, Springer, vol. 42(4), pages 504-521, May.
    31. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    32. Dejun Xie, 2009. "A Steady State Solution to a Mortgage Pricing Problem," Papers 0909.5389, arXiv.org.
    33. Andrey Pavlov & George Blazenko, 2005. "The Neighborhood Effect of Real Estate Maintenance," The Journal of Real Estate Finance and Economics, Springer, vol. 30(4), pages 327-340, June.

  45. Donald Keenan & Paul Rubin, 1985. "The limits of the equity-efficiency tradeoff," Public Choice, Springer, vol. 47(3), pages 425-436, January.

    Cited by:

    1. Minghui Zhang & Weiqi Xia, 2022. "Research on the Law of China’s Rural Land Institutional Changes: An Analytical Framework of Economic Efficiency and Distributive Equity," Land, MDPI, vol. 11(12), pages 1-15, December.

  46. Kau, James B. & Keenan, Donald, 1983. "Inflation, taxes and housing: A theoretical analysis," Journal of Public Economics, Elsevier, vol. 21(1), pages 93-104, June.

    Cited by:

    1. Koka, Katerina, 2014. "Inflation effects on capital accumulation in a model with residential and non-residential assets," MPRA Paper 113392, University Library of Munich, Germany.
    2. Raymond Y. C. Tse & Bryan D. MacGregor, 1999. "Housing Vacancy and Rental Adjustment: Evidence from Hong Kong," Urban Studies, Urban Studies Journal Limited, vol. 36(10), pages 1769-1782, September.

  47. James B. Kau & Donald Keenan & Paul H. Rubin, 1982. "A General Equilibrium Model of Congressional Voting," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 97(2), pages 271-293.

    Cited by:

    1. Patrick Balles & Ulrich Matter & Alois Stutzer, 2024. "Special Interest Groups Versus Voters and the Political Economics of Attention," The Economic Journal, Royal Economic Society, vol. 134(662), pages 2290-2320.
    2. Kristin Kanthak, 2002. "Top-Down Divergence," Journal of Theoretical Politics, , vol. 14(3), pages 301-323, July.
    3. Potters, J.J.M. & Sloof, R., 1996. "Interest groups : A survey of empirical models that try to assess their influence," Other publications TiSEM ff27d5d8-f584-4386-a1fc-5, Tilburg University, School of Economics and Management.
    4. John Lott, 2006. "Campaign finance reform and electoral competition," Public Choice, Springer, vol. 129(3), pages 263-300, December.
    5. Stutzer, Alois & Matter, Ulrich, 2019. "Does Public Attention Reduce the Influence of Moneyed Interests? Policy Positions on SOPA/PIPA Before and After the Internet Blackout," Working papers 2019/07, Faculty of Business and Economics - University of Basel.
    6. Ulrich Matter & Paolo Roberti & Michaela Slotwinski, 2019. "Vote Buying in the US Congress," CESifo Working Paper Series 7841, CESifo.
    7. Keohane, Nathaniel O. & Revesz, Richard L. & Stavins, Robert N., 1997. "The Positive Political Economy of Instrument Choice in Environmental Policy," Discussion Papers 10759, Resources for the Future.
    8. Riddel, Mary, 2003. "Candidate eco-labeling and senate campaign contributions," Journal of Environmental Economics and Management, Elsevier, vol. 45(2), pages 177-194, March.
    9. John Burnett & Chris Paul & Allen Wilhite, 1997. "Political Campaigns as Rent-Seeking Games: Take the Money and Run," Public Finance Review, , vol. 25(5), pages 509-521, September.
    10. Donald Keenan & Paul Rubin, 1985. "The limits of the equity-efficiency tradeoff," Public Choice, Springer, vol. 47(3), pages 425-436, January.
    11. Kevin Henrickson & Wesley Wilson, 2013. "Voting, Regulation, and the Railroad Industry: An Analysis of Private and Public Interest Voting Patterns," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 43(1), pages 21-39, August.
    12. Ansolabehere, Stephen & De Figueiredo, John M. & Snyder, James M., 2003. "Are Campaign Contributions Investment in the Political Marketplace or Individual Consumption? Or "Why Is There So Little Money in Politics?"," Working papers 4272-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    13. Joseph P. McGarrity & Daniel Sutter, 2000. "A Test of the Structure of PAC Contracts: An Analysis of House Gun Control Votes in the 1980s," Southern Economic Journal, John Wiley & Sons, vol. 67(1), pages 41-63, July.
    14. Ulrich Matter & Michaela Slotwinski, 2016. "Precise Control over Legislative Vote Outcomes: A Forensic Approach to Political Economics," CESifo Working Paper Series 6007, CESifo.
    15. Oren M. Levin-Waldman, 1998. "State Type and Congressional Voting on the Minimum Wage," Macroeconomics 9808007, University Library of Munich, Germany, revised 01 Sep 1998.
    16. Julio J. Rotemberg, 2000. "Commercial Policy with Altruistic Voters," NBER Working Papers 7984, National Bureau of Economic Research, Inc.
    17. Al Wilhite, 1988. "Political parties, campaign contributions and discrimination," Public Choice, Springer, vol. 58(3), pages 259-268, September.
    18. Rausser, Gordon C. & de Gorter, Harry, 1988. "Endogenizing policy in models of agricultural markets," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt18z7n1qz, Department of Agricultural & Resource Economics, UC Berkeley.
    19. Harry de Gorter & Johan F. M. Swinnen, 1994. "The Economic Polity Of Farm Policy," Journal of Agricultural Economics, Wiley Blackwell, vol. 45(3), pages 312-326, September.
    20. Poole, Keith T. & Rosenthal, Howard, 1996. "Are legislators ideologues or the agents of constituents?," European Economic Review, Elsevier, vol. 40(3-5), pages 707-717, April.
    21. Linda Johnson, 1985. "The effectiveness of savings and loan political action committees," Public Choice, Springer, vol. 46(3), pages 289-304, January.
    22. Bo E. Honor'e & Luojia Hu & Ekaterini Kyriazidou & Martin Weidner, 2022. "Simultaneity in Binary Outcome Models with an Application to Employment for Couples," Papers 2207.07343, arXiv.org, revised Mar 2023.
    23. alok k. bohara & alejandro islas camargo & theresa grijalva & kishore gawande, 2005. "Fundamental dimensions of U.S. trade policy," International Trade 0505001, University Library of Munich, Germany.
    24. Stephen Ansolabehere & John M. de Figueiredo & James M. Snyder Jr, 2003. "Why is There so Little Money in U.S. Politics?," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 105-130, Winter.
    25. Richard J. McAlexander & Johannes Urpelainen, 2020. "Elections and Policy Responsiveness: Evidence from Environmental Voting in the U.S. Congress," Review of Policy Research, Policy Studies Organization, vol. 37(1), pages 39-63, January.
    26. John Theilmann & Al Wilhite, 1986. "Differences in campaign funds: A racial explanation," The Review of Black Political Economy, Springer;National Economic Association, vol. 15(1), pages 45-58, June.
    27. Timothy M. Shaughnessy, 2005. "A Preliminary Analysis of Campaign Contributions in Florida's Legislative and Judicial Elections," Journal of Private Enterprise, The Association of Private Enterprise Education, vol. 20(Spring 20), pages 43-67.
    28. Allen Wilhite & John Theilmann, 1987. "Labor PAC contributions and labor legislation: A simultaneous logit approach," Public Choice, Springer, vol. 53(3), pages 267-276, January.
    29. S. Anderson & A. Glazer, 1984. "Public opinion and regulatory behavior," Public Choice, Springer, vol. 43(2), pages 187-194, January.
    30. Abler, David G., 1989. "Campaign Contributions And Voting On Farm Legislation," 1989 Annual Meeting, July 30-August 2, Baton Rouge, Louisiana 270523, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    31. Chen, Hui & Parsley, David & Yang, Ya-wen, 2010. "Corporate Lobbying and Financial Performance," MPRA Paper 21114, University Library of Munich, Germany.
    32. Oren M. Levin-Waldman, 1996. "Exploring the Politics of the Minimum Wage," Economics Working Paper Archive wp_176, Levy Economics Institute.
    33. Oren M. Levin-Waldman, 1998. "State Type and Congressional Voting on the Minimum Wage," Economics Working Paper Archive wp_243, Levy Economics Institute.
    34. de Gorter, Harry & Rausser, Gordon C., 1989. "Endogenizing U.S. milk price supports," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt4f58t530, Department of Agricultural & Resource Economics, UC Berkeley.
    35. James Kau & Paul Rubin, 1985. "The specification of models of campaign finance," Public Choice, Springer, vol. 47(1), pages 113-119, January.
    36. Kenneth Mackenzie, 1999. "Diseño institucional y política pública: una perspectiva microeconómica," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, vol. 1(1), pages 17-58, July-dece.
    37. James Kau & Paul Rubin, 1984. "Economic and ideological factors in congressional voting: The 1980 election," Public Choice, Springer, vol. 44(2), pages 385-388, January.
    38. Roger D. Congleton, 1986. "Rent-seeking aspects of political advertising," Springer Books, in: Roger D. Congleton & Kai A. Konrad & Arye L. Hillman (ed.), 40 Years of Research on Rent Seeking 2, pages 297-311, Springer.
    39. Enrique García Viñuela & Joaquín Artés Caselles, 2008. "Reforming campaign finance in the nineties: a case study of Spain," European Journal of Law and Economics, Springer, vol. 25(3), pages 177-190, June.
    40. Ovtchinnikov, Alexei V. & Pantaleoni, Eva, 2012. "Individual political contributions and firm performance," Journal of Financial Economics, Elsevier, vol. 105(2), pages 367-392.
    41. Ahmed Tahoun & Laurence van Lent, 2016. "The Personal Wealth Interests of Politicians and the Stabilization of Financial Markets," Working Papers Series 52, Institute for New Economic Thinking.
    42. Thomas Stratmann, 2005. "Some talk: Money in politics. A (partial) review of the literature," Public Choice, Springer, vol. 124(1), pages 135-156, July.
    43. Daniel Richards, 1986. "A note on the importance of cost structures for the behavior of Political Action Committees," Public Choice, Springer, vol. 48(1), pages 71-79, January.
    44. Paul H. Rubin, 2014. "Emporiophobia (Fear of Markets): Cooperation or Competition?," Southern Economic Journal, John Wiley & Sons, vol. 80(4), pages 875-889, April.
    45. Tanger, Shaun M. & Laband, David N., 2009. "An empirical analysis of bill co-sponsorship in the U.S. Senate: The Tree Act of 2007," Forest Policy and Economics, Elsevier, vol. 11(4), pages 260-265, July.
    46. Brooks, Jonathan, 1997. "Congressional Voting On Farm Payment Limitations: Political Pressure Of Ideological Conviction?," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 22(2), pages 1-15, December.
    47. Stadelmann, David & Torrens, Gustavo, 2020. "Who is the ultimate boss of legislators: Voters, special interest groups or parties?," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224562, Verein für Socialpolitik / German Economic Association.
    48. Freille, Sebastián, 2015. "Do private campaing contributions affect electoral results? An examination of Argentine national elections," MPRA Paper 65455, University Library of Munich, Germany.
    49. John H. Goddeeris, 1989. "Modeling Interest-Group Campaign Contributions," Public Finance Review, , vol. 17(2), pages 158-184, April.
    50. Charlotte Twight, 1988. "Government manipulation of constitutional-level transaction costs: A general theory of transaction-cost augmentation and the growth of government," Public Choice, Springer, vol. 56(2), pages 131-152, February.
    51. Stratmann, Thomas, 1996. "How Reelection Constituencies Matter: Evidence from Political Action Committees' Contributions and Congressional Voting," Journal of Law and Economics, University of Chicago Press, vol. 39(2), pages 603-635, October.

  48. Keenan, Donald, 1982. "Uniqueness and global stability in general equilibrium theory," Journal of Mathematical Economics, Elsevier, vol. 9(1-2), pages 23-25, January.

    Cited by:

    1. W D A Bryant, 2009. "General Equilibrium:Theory and Evidence," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6875, August.
    2. Paul Oslington, 2012. "General Equilibrium: Theory and Evidence," The Economic Record, The Economic Society of Australia, vol. 88(282), pages 446-448, September.

  49. Kau, James B. & Keenan, Donald, 1981. "On the theory of interest rates, consumer durables, and the demand for housing," Journal of Urban Economics, Elsevier, vol. 10(2), pages 183-200, September.

    Cited by:

    1. Hak Choi, 2001. "Differences in the Demand for Housing by Owners and Investors," ERES eres2001_131, European Real Estate Society (ERES).
    2. Taufiq Choudhry, 2020. "Economic Policy Uncertainty and House Prices: Evidence from Geographical Regions of England and Wales," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 48(2), pages 504-529, June.
    3. Seema Narayan & Paresh Kumar Narayan, 2011. "The Importance of Real and Nominal Shocks on the UK Housing Market," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 10(3), pages 219-234, December.

  50. Keenan, Donald, 1981. "Further remarks on the Global Newton method," Journal of Mathematical Economics, Elsevier, vol. 8(2), pages 159-165, July.

    Cited by:

    1. Doup, T.M. & van den Elzen, A.H. & Talman, A.J.J., 1989. "Homotopy interpretation of price adjustment proces," Other publications TiSEM a4beffd7-ec51-4f1c-bcd4-f, Tilburg University, School of Economics and Management.
    2. Herings, P.J.J., 1994. "A globally and universally stable price adjustment process," Discussion Paper 1994-52, Tilburg University, Center for Economic Research.
    3. Govindan, Srihari & Wilson, Robert, 2004. "Computing Nash equilibria by iterated polymatrix approximation," Journal of Economic Dynamics and Control, Elsevier, vol. 28(7), pages 1229-1241, April.
    4. Jean-Jacques Herings, P., 2002. "Universally converging adjustment processes--a unifying approach," Journal of Mathematical Economics, Elsevier, vol. 38(3), pages 341-370, November.
    5. Boone, C.A.J.J. & Roijakkers, A.H.W.M. & van Olffen, W., 2002. "Locus of control and study program choice: evidence of personality sorting in educational choice," Research Memorandum 006, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    6. Joosten, R.A.M.G. & Talman, A.J.J., 1995. "A globally convergent price adjustment process for exchange economies," Other publications TiSEM 8bd2cdfe-1214-4aca-a13a-a, Tilburg University, School of Economics and Management.
    7. Joosten, Reinoud, 1995. "Evolution, dynamics, and fixed points," Research Memorandum 005, Maastricht University, Maastricht Economic Research Institute on Innovation and Technology (MERIT).
    8. Govindan, Srihari & Wilson, Robert, 2003. "A global Newton method to compute Nash equilibria," Journal of Economic Theory, Elsevier, vol. 110(1), pages 65-86, May.

  51. Kau, James B. & Keenan, Donald, 1980. "The Theory of Housing and Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(4), pages 833-847, November.

    Cited by:

    1. G. Carvalho, Pedro & Ribeiro, Alexandra, 2007. "Acnowledging for spatial effects in the Portuguese housing markets," MPRA Paper 6132, University Library of Munich, Germany.
    2. Robert Forster & Xiaojin Sun, 2024. "Heterogeneous Effects of Mortgage Rates on Housing Returns: Evidence from an Interacted Panel VAR," The Journal of Real Estate Finance and Economics, Springer, vol. 69(3), pages 477-504, October.
    3. Lastrapes, William D., 2002. "The Real Price of Housing and Money Supply Shocks: Time Series Evidence and Theoretical Simulations," Journal of Housing Economics, Elsevier, vol. 11(1), pages 40-74, March.
    4. Huayi Yu, 2015. "The spillovers and heterogeneous responses of housing prices: a GVAR analysis of China's 35 major cities," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 20(4), pages 535-558, October.
    5. Seema Narayan & Paresh Kumar Narayan, 2011. "The Importance of Real and Nominal Shocks on the UK Housing Market," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 10(3), pages 219-234, December.
    6. Yoshino, Naoyuki & Helble, Matthias & Aizawa, Toshiaki, 2015. "Housing Policies for Asia: A Theoretical Analysis by Use of a Demand and Supply Model," ADBI Working Papers 526, Asian Development Bank Institute.
    7. Su, Chi-Wei & Wang, Xiao-Qing & Tao, Ran & Chang, Hsu-Ling, 2019. "Does money supply drive housing prices in China?," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 85-94.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.