Mortgage Borrower Repayment Behavior: A Microeconomic Analysis with Canadian Adjustable Rate Mortgage Data
利用加拿大可调利率抵押贷款微观数据，估计了借款人还款行为模型，发现违约概率随房屋净值下降和合同利率上升而小幅增加，部分提前还款对住房与其他资产收益率波动敏感。
In this paper we estimate a model of mortgage borrower behavior using micro‐level data on Canadian borrowers with rollover mortgages—a form of adjustable‐rate mortgage. Our results suggest that the probability of default rises with a decrease in housing equity and an increase in the mortgage contract rate; however the size of these changes is relatively small. They also show that partial prepayment is sensitive to fluctuations in the rates of return from investing in housing versus other assets. For the United States experience, our results suggest that, relative to fixed‐rate mortgage borrowers, adjustable‐rate mortgage borrowers are more likely to default and less likely to prepay.