Mortgage Contracts and the Definitions of and Demand for Housing Wealth
Mortgage Contracts and the Definitions of and Demand for Housing Wealth
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抵押合同以及住房财富的定义和需求
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发表时间：
2005
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通讯作者：
Joseph B. Nichols
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作者：
Joseph B. Nichols
论文题目：抵押合同以及住房财富的定义和需求 Joseph B. Nichols，哲学博士，2005 年 论文指导：John Rust 和 John Shea 教授 经济系 自住住房在许多家庭的投资组合中发挥着核心作用。最近的研究探讨了家庭的房屋净值状况与英镑金融投资组合中风险资产的需求之间的联系。本文研究了抵押合同对住房财富的定义和需求的作用。第一章建立了住房财富在生命周期中的作用的详细部分均衡模型，以探讨（1）住房作为消费和投资品的双重作用； （二）名义抵押合同而非实质抵押合同的意义； (3) 与业主自用住房相关的税收优惠。使用并行处理解决了家庭的动态随机规划问题。研究结果表明，住房“过度投资”不仅是消费需求的函数，而且还可能受到抵押合同固有利益的驱动。它还表明，名义抵押贷款合同导致了完全预期通货膨胀的非中性。最后，本文阐述了税收优惠待遇对住房需求的影响。本文提出了一种衡量住房回报的替代方法，其中包括消费流和与自住住房相关的所需抵押贷款付款。然后，该指标用于证明住房总回报如何随预期持有期限、抵押贷款合同条款和借款人收入水平的变化而变化。来自收入动态小组研究和消费者金融调查的数据被用来探索财产、抵押贷款和借款人特征与住房总回报、负总回报的概率以及对风险资产的需求之间的经验关系。抵押合同以及住房财富的定义和需求 Joseph B. Nichols 向马里兰大学帕克分校研究生院提交的论文部分满足了 2005 年哲学博士学位的要求 咨询委员会：John Shea 教授，联合主席，John Rust 教授，联合主席 Micheal Pries 博士 Anthony Yezer 博士Gurdip Bakshi 博士 © Joseph Nichols 版权所有 2005 本论文谨献给我的父亲 Wesley Webster Nichols。
Title of dissertation: MORTGAGE CONTRACTS AND THE DEFINITION OF AND DEMAND FOR HOUSING WEALTH Joseph B. Nichols, Doctor of Philosophy, 2005 Dissertation directed by: Professors John Rust and John Shea Department of Economics Owner-occupied housing plays a central role in the portfoli os of many households. Recent work has explored the connection between a household’s position in h ome equity and the demand for risky assets in the £nancial portfolio. This dissertation examines the role of the mortgage contract on the de£nition of and demand for housing wealth. This £rst chapter develops a detailed partial equilibrium mo del of housing wealth’s role over the life-cycle to explore (1) housing’s dual role as a consumpti on and investment good; (2) the signi£cance of the mortgage contract being in nominal and not real terms; an d (3) the tax bene£ts associated with owneroccupied housing. The household’s dynamic stochastic prog ramming problem is solved using parallel processing. The results show that the “over-investment” in housing is not just a function of consumption demand but also can be driven by the bene£ts inherent in the mor tgage contract. It also shows that the nominal mortgage contract results in the non-neutrality of perfectly expected in¤ation. Finally, the paper documents the effect of preferential tax treatment on housi ng demand. This paper develops an alternative measure of the return on h ousing that incorporates the consumption stream and the required mortgage payments associated w ith o ner-occupied housing. This measure is then used to demonstrate how the total return on housing vari es with anticipated holding length, terms of the mortgage contract, and borrower income level. Data from the Panel Study of Income Dynamics and the Survey of Consumer Fiance are used to explore the empiric al relationship between property, mortgage, and borrower characteristics and the total return on housin g, the probability of negative total return, and the demand for risky assets. MORTGAGE CONTRACTS AND THE DEFINITION OF AND DEMAND FOR HOUSING WEALTH by Joseph B. Nichols Dissertation submitted to the Faculty of the Graduate Schoo l of the University of Maryland, College Park in partial ful£llment of the requirements for the degree of Doctor of Philosophy 2005 Advisory Committee: Professor John Shea, Co-Chair, Professor John Rust, Co-Chair Dr. Micheal Pries Dr. Anthony Yezer Dr. Gurdip Bakshi c © Copyright by Joseph Nichols 2005 This dissertation is dedicated to Wesley Webster Nichols, m y father.