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An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?
16 references·2 citing·27 second hop
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References

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  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,099 cited
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  • 2004Structural Models of Corporate Bond Pricing: An Empirical Analysis926 cited
  • 1995Prices and Trading Volume in the Housing Market: A Model with Down-Payment Effects919 cited
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  • 1998The Relation Between Treasury Yields and Corporate Bond Yield Spreads778 cited
  • 2001Do Credit Spreads Reflect Stationary Leverage Ratios?765 cited
  • 1989Prepayment and the Valuation of Mortgage-Backed Securities441 cited
  • 1995Rational Prepayment and the Valuation of Mortgage-Backed Securities

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406 cited
  • 1992A Generalized Valuation Model for Fixed-Rate Residential Mortgages336 cited
  • Cited by

    • 2009Systemic Risk and the Refinancing Ratchet Effect53 cited
    • 2011Strategic Defaults on First and Second Lien Mortgagesduring the Financial Crisis50 cited