Optimal Mortgage Refinancing: A Closed-Form Solution

被引：60

作者：

Agarwal, Sumit ^{[1
]}

Driscoll, John C. ^{[2
]}

Laibson, David I. ^{[3
,4
]}

机构：

[1] Natl Univ Singapore, Singapore, Singapore

[2] Fed Reserve Board, San Francisco, CA USA

[3] Harvard Univ, Cambridge, MA 02138 USA

[4] Natl Bur Econ Res, Cambridge, MA 02138 USA

来源：

JOURNAL OF MONEY CREDIT AND BANKING | 2013年 / 45卷 / 04期

关键词：

G11; G21; mortgage; refinance; option value; OPTIMAL CALL; VALUATION; PREPAYMENT; DEFAULT; MARKET; MODELS;

D O I：

10.1111/jmcb.12017

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We derive the first closed-form optimal refinancing rule: refinance when the current mortgage interest rate falls below the original rate by at least 1[phi+Wexp phi].In this formula W(.) is (the principal branch of) the Lambert W-function, =2+sigma, phi=1++/M(1),where is the real discount rate, is the expected real rate of exogenous mortgage repayment, sigma is the standard deviation of the mortgage rate, /M is the ratio of the tax-adjusted refinancing cost and the remaining mortgage value, and is the marginal tax rate. This expression is derived by solving a tractable class of refinancing problems. Our quantitative results closely match those reported by researchers using numerical methods.

引用

页码：591 / 622

页数：32

共 45 条

[31]

Kalotay A.J., 2008, Applied Financial Economics Letters, V4, P141

[32]

Kau J. B., 1995, J HOUSING RES, V6, P217

[33] DID SECURITIZATION LEAD TO LAX SCREENING? EVIDENCE FROM SUBPRIME LOANS [J].