Evaluating the Costs of Increased Lending in Low and Negative Growth Local Housing Markets
在期权定价框架下，分析了不同住房市场预期价格增值趋势如何影响违约率，进而影响旨在增加抵押贷款流动性的项目成本，并发现衰退市场中项目损失的现值对贴现率选择非常敏感。
The literatures on default and the evaluation of low downpayment mortgage programs are extended by showing within an options pricing framework how differences in expected price appreciation trends across housing markets can influence default and, thereby, the cost of programs designed to increase mortgage liquidity. An equilibrium mortgage rate reflecting the risk premium required to compensate for expected default‐related losses is endogenously determined within the model. Evaluating the entire process by which program losses arise strictly within a rigorous asset pricing framework has potentially important implications for policy evaluation, as the estimated present value of program losses in declining markets where expected default is high is quite sensitive to the choice of the discount rate. The implications of increased lending in low and negative price appreciation local markets are also investigated.