Publication:
A mortgage valuation model: a tale of two equations

Thumbnail Image
Files

Files

A mortgage valuation model a tale of two equations.pdf (619.43 KB)
View Statistics
Reference Managers
Mendeley
Indexers
Google Scholar CORE
QR Code
QR Code
Authors

Authors

Sarmiento Gómez, Camilo
Abstract (Spanish)
En el Journal of Financial Economics, Gerardi, Willen y Zhang (2023) examinan la relación entre tasas de pago anticipado, raza y política monetaria. En este artículo identificamos una anomalía en Ecuación de valoración de GWZ que se relaciona con el efecto de las tasas de pago anticipado en la relación del precio de mercado al saldo inicial del préstamo. Luego mostramos los pasos matemáticos para corregir esta anomalía.
Abstract (English)
In the Journal of Financial Economics, Gerardi, Willen, and Zhang (2023) examine the relationship between prepayment rates, race, and monetary policy. In this article, we identify an anomaly in GWZ‘s valuation equation that relates to the effect of prepayment rates on the ratio of market price to initial loan balance. We then show the mathematical steps to correct this anomaly.
Extent
3 páginas
URI: https://repositorio.escuelaing.edu.co/handle/001/3406
Collections

Collections

AG - Centro de Estudios Económicos
References

Black, H. A., M. C. Collins, and K. B. Cyree. 1997. “Do Black-Owned Banks Discriminate Against Black Borrowers?” Journal of Financial Services Research 11 (1): 189–204. https://doi.org/10.1023/A:1007943610378

Bocian, D. G., K. S. Ernst, and W. Li. 2008. “Race, Ethnicity and Subprime Home Loan Pricing.” Journal of Economics and Business 60 (1–2): 110–124. https://doi.org/10.1016/j. jeconbus.2007.10.001

Boehm, T. P., P. D. Thistle, and A. Schlottmann. 2006. “Rates and Race: An Analysis of Racial Disparities in Mortgage Rates.” Housing Policy Debate 17 (1): 109–149. https://doi. org/10.1080/10511482.2006.9521563

Cheng, P., Z. Lin, and Y. Liu. 2015. “Racial Discrepancy in Mortgage Interest Rates.” The Journal of Real Estate Finance and Economics 51 (1): 101–120. https://doi.org/ 10.1007/s11146-014-9473-0

Gerardi, K., P. Willen, and D. Zhang. 2023. “Mortgage Prepayment, Race, and Monetary Policy.” Journal of Financial Economics 147 (3): 498–524. https://doi.org/10. 1016/j.jfineco.2022.12.001