The Relative Termination Experience of Adjustable to Fixed‐Rate Mortgages
用多项逻辑回归模型分析可调利率和固定利率抵押贷款的终止行为，发现利率调整预期、调整频率和利率上限对终止概率有不同影响，对理解房贷市场风险有参考价值。
ABSTRACT Our study uses a multinomial logit model to analyze the concurrent termination experience of adjustable‐rate and fixed‐rate mortgages. A new set of ARM‐specific interactive determinants expands the conventional FRM specification to isolate the unique termination behavior of ARMs. We find that expected rate adjustments and large lifetime caps are positively related to ARM termination probabilities while long adjustment frequencies are inversely related. Caps, both periodic and lifetime, have a secondary, inverse effect on termination probabilities when interest‐rate movements exceed cap limits. The model also shows that interest‐rate expectations affect FRM terminations more strongly than ARM terminations.