Adjustable‐Rate Mortgages, Economic Fluctuations, and Lender Portfolio Change
研究了经济波动对可调利率抵押贷款组合还款行为的影响，发现类似加拿大滚动抵押贷款的可调利率贷款能降低但无法消除贷款人的利率风险，且定期付款变动不会导致违约率上升。
In this study we examine the effects of economic fluctuations on the repayment behavior of a portfolio of adjustable‐rate mortgages (ARMs). Because the U.S. experience with ARMs is quite recent, we have used data on a form of ARM used in Canada, the rollover mortgage. The results of our analysis suggest that use of ARMs similar to the rollover mortgage may reduce but not eliminate interest‐rate risk for lenders, as borrowers, albeit constrained, prepay above‐market‐rate loans. In addition, we find that the periodic payment change inherent in the rollover mortgage does not lead to higher default rates and, therefore, credit risk.