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Cited by 464

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A Model of Mortgage Default

Open access
CAMPBELL, JOHN Y., COCCO, JOÃO F.·2015·The Journal of Finance
DOI 10.1111/jofi.12252
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Abstract

In this paper, we solve a dynamic model of households' mortgage decisions incorporating labor income, house price, inflation, and interest rate risk. Using a zero‐profit condition for mortgage lenders, we solve for equilibrium mortgage rates given borrower characteristics and optimal decisions. The model quantifies the effects of adjustable versus fixed mortgage rates, loan‐to‐value ratios, and mortgage affordability measures on mortgage premia and default. Mortgage selection by heterogeneous borrowers helps explain the higher default rates on adjustable‐rate mortgages during the recent U.S. housing downturn, and the variation in mortgage premia with the level of interest rates.

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Metadata

Authors
CAMPBELL, J. Y., & COCCO, J. F.
Venue
The Journal of Finance
Publisher
Wiley
Published
2015-07-23
Volume
70
Issue
4
Pages
1495-1554
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/jofi.12252
OpenAlex
W2150637392
Cited by
464
References
0
FWCI
40.25
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: A Model of Mortgage Default. https://app.cochat.ai/papers/10.1111/jofi.12252
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CAMPBELL, J. Y., & COCCO, J. F. (2015). A Model of Mortgage Default. The Journal of Finance. https://doi.org/10.1111/jofi.12252

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.