Houses as ATMs: Mortgage Refinancing and Macroeconomic Uncertainty
Mortgage refinancing activity associated with extraction of home equity contains a strongly countercyclical component consistent with household demand for liquidity. We estimate a structural model of liquidity management featuring countercyclical idiosyncratic labor income uncertainty, long- and sho...
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| Other Authors: | |
| Format: | Article |
| Language: | English |
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Wiley
2021
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| Online Access: | https://hdl.handle.net/1721.1/129710 |
| _version_ | 1826193650221056000 |
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| author | Chen, Hui |
| author2 | Sloan School of Management |
| author_facet | Sloan School of Management Chen, Hui |
| author_sort | Chen, Hui |
| collection | MIT |
| description | Mortgage refinancing activity associated with extraction of home equity contains a strongly countercyclical component consistent with household demand for liquidity. We estimate a structural model of liquidity management featuring countercyclical idiosyncratic labor income uncertainty, long- and short-term mortgages, and realistic borrowing constraints. We empirically evaluate its predictions for households' choices of leverage, liquid assets, and mortgage refinancing using microlevel data. Taking the observed historical paths of house prices, aggregate income, and interest rates as given, the model accounts for many salient features in the evolution of balance sheets and consumption in the cross-section of households over 2001 to 2012. |
| first_indexed | 2024-09-23T09:42:48Z |
| format | Article |
| id | mit-1721.1/129710 |
| institution | Massachusetts Institute of Technology |
| language | English |
| last_indexed | 2024-09-23T09:42:48Z |
| publishDate | 2021 |
| publisher | Wiley |
| record_format | dspace |
| spelling | mit-1721.1/1297102022-09-30T16:22:32Z Houses as ATMs: Mortgage Refinancing and Macroeconomic Uncertainty Chen, Hui Sloan School of Management Mortgage refinancing activity associated with extraction of home equity contains a strongly countercyclical component consistent with household demand for liquidity. We estimate a structural model of liquidity management featuring countercyclical idiosyncratic labor income uncertainty, long- and short-term mortgages, and realistic borrowing constraints. We empirically evaluate its predictions for households' choices of leverage, liquid assets, and mortgage refinancing using microlevel data. Taking the observed historical paths of house prices, aggregate income, and interest rates as given, the model accounts for many salient features in the evolution of balance sheets and consumption in the cross-section of households over 2001 to 2012. 2021-02-08T20:39:42Z 2021-02-08T20:39:42Z 2019-10 2018-11 2021-02-08T18:18:22Z Article http://purl.org/eprint/type/JournalArticle 0022-1082 https://hdl.handle.net/1721.1/129710 Chen, Hui et al. “Houses as ATMs: Mortgage Refinancing and Macroeconomic Uncertainty.” The Journal of Finance, 75, 1 (October 2019): 323-375 © 2019 The Author(s) en 10.1111/JOFI.12842 The Journal of Finance Creative Commons Attribution-Noncommercial-Share Alike http://creativecommons.org/licenses/by-nc-sa/4.0/ application/pdf Wiley SSRN |
| spellingShingle | Chen, Hui Houses as ATMs: Mortgage Refinancing and Macroeconomic Uncertainty |
| title | Houses as ATMs: Mortgage Refinancing and Macroeconomic Uncertainty |
| title_full | Houses as ATMs: Mortgage Refinancing and Macroeconomic Uncertainty |
| title_fullStr | Houses as ATMs: Mortgage Refinancing and Macroeconomic Uncertainty |
| title_full_unstemmed | Houses as ATMs: Mortgage Refinancing and Macroeconomic Uncertainty |
| title_short | Houses as ATMs: Mortgage Refinancing and Macroeconomic Uncertainty |
| title_sort | houses as atms mortgage refinancing and macroeconomic uncertainty |
| url | https://hdl.handle.net/1721.1/129710 |
| work_keys_str_mv | AT chenhui housesasatmsmortgagerefinancingandmacroeconomicuncertainty |