A Contingent Claims Analysis of Price Level‐Adjusted Mortgages
在随机价格波动环境下比较了浮动利率抵押贷款和价格水平调整抵押贷款的表现，发现后者能避免前者因未预期通胀导致的真实价值波动，是更理想的工具。
This paper examines the performance of alternative mortgage instruments in an environment of stochastic price fluctuations. The two most widely discussed contracts that deal with inflation are the adjustable‐rate mortgage (ARM) and the price level‐adjusted mortgage (PLAM). The former compensates for inflation by paying the nominal interest rate, which contains a component reflecting the rate of inflation. Nonetheless, even without explicit nominal amortization, this results in real amortization and hence a tilting effect. In addition, the inflation component of the nominal interest rate is shown to reflect only anticipated and not actual inflation, and so the real value of an ARM fluctuates due to unanticipated inflation. A PLAM suffers from none of these defects. To the extent that one is interested in a mortgage whose properties reflect the underlying real environment, the price level‐adjusted mortgage is the ideal instrument.