| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9759 |
| 来源ID | Working Paper 9759 |
| Household Risk Management and Optimal Mortgage Choice | |
| John Y. Campbell; Joao F. Cocco | |
| 发表日期 | 2003-06-09 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | A typical household has a home mortgage as its most significant financial contract. The form of this contract is correspondingly important. This paper studies the choice between a fixed-rate (FRM) and an adjustable-rate (ARM) mortgage. In an environment with uncertain inflation, a nominal FRM has risky real capital value whereas an ARM has a stable real capital value. However an ARM can increase the short-term variability of required real interest payments. This is a disadvantage of the ARM for a household that faces borrowing constraints and has only a small buffer stock of financial assets. The paper uses numerical methods to solve a life-cycle model with risky labor income and borrowing constraints, under alternative assumptions about available mortgage contracts. While an ARM is generally an attractive form of mortgage, a household with a large mortgage, risky labor income, high risk aversion, a high cost of default, and a low probability of moving is less likely to prefer an ARM. The paper also considers an inflation-indexed FRM, which removes the wealth risk of the nominal FRM without incurring the income risk of the ARM, and is therefore a superior vehicle for household risk management. The welfare gain from mortgage indexation can be very large. |
| 主题 | Financial Economics ; Financial Markets ; Macroeconomics ; Money and Interest Rates |
| URL | https://www.nber.org/papers/w9759 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567383 |
| 推荐引用方式 GB/T 7714 | John Y. Campbell,Joao F. Cocco. Household Risk Management and Optimal Mortgage Choice. 2003. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9759.pdf（579KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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