RT Journal Article
SR Electronic
T1 What Drives the Growth of Aggregate Residential Mortgage Debt in the U.S.?
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 21
OP 37
DO 10.3905/jfi.2006.640275
VO 16
IS 1
A1 Mo Chaudhury
YR 2006
UL https://pm-research.com/content/16/1/21.abstract
AB Using annual data for the 1955-2002 period, this paper examines the importance of fixed income and housing price variables in explaining and predicting the annual growth of Mortgage Debt Outstanding (MDO) or Unpaid Principal Balance (UPB) in the US residential mortgage market. Along with interest rate level and housing price growth, we find default risk premium to be a very important driver of MDO growth. The term premium or yield curve slope is, however, not that consequential for MDO growth. Overall, the fixed income and housing price variables, accompanied by the lagged dependent variable, account for 84% of the contemporaneous variation and 78% of the next year variation in MDO growth.TOPICS: Fixed income and structured finance, MBS and residential mortgage loans