Modelling Mortgage Terminations in Turbulent Times
研究了1980年代初动荡金融周期中抵押贷款违约的预测方法，提出新模型更准确捕捉利率对违约概率的影响，并发现利率对违约和提前还款有强但不对称的作用。
Techniques used to predict mortgage defaults during a relatively stable period proved less successful during the turbulent financial cycle of the early 1980s. An alternative specification of the relationship between defaults, homeowner equity, and interest‐rate movements better captures the effect of interest rates on default probability. Results confirm the powerful effect of equity on mortgage defaults and the strong, but asymmetric, influence of interest rates on both defaults and prepayments. The new specification allows direct measurement of the interest‐rate effect on defaults, distinguishing the effect when rates rise or fall.