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Optimal mortgage contracts with time-inconsistent preferences

机译：具有时间不一致偏好的最优抵押合同

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摘要

This paper integrates a time-inconsistent preference into the mortgage design problem and studies the corresponding effects on the optimal contract. By assuming exogenous time inconsistency in borrower's preference, we find that the time-inconsistent preference increases the loss in the lender's value and the compensation boundary. We implement the optimal contract using standard securities and option adjustable-rate mortgages (ARMs). The findings show that the time-inconsistent preference increases the default rate, and relative to standard securities, option ARMs increase the total debt capacity, but the borrower's time inconsistency can lead to sudden jumps in the total debt capacity. We also consider the endogenous time inconsistency in the borrower's preference and derive the corresponding mortgage contract; we find that a lender can perfectly offset the effect of a borrower's time inconsistency on the value function and compensation strategy. The liquidation boundary at the low interest rate varies with the degree of time inconsistency, explaining the heterogeneity in mortgage default behaviors observed in practice.
机译：本文将时间不一致的偏好纳入抵押设计问题，并研究了其对最优合同的影响。通过假设借款人偏好中的外生时间不一致，我们发现时间不一致的偏好会增加贷方价值和补偿边界的损失。我们使用标准证券和期权可变利率抵押贷款（ARM）实施最优合同。研究结果表明，时间不一致的偏好会增加违约率，相对于标准证券，期权ARM会增加总债务能力，但是借款人的时间不一致会导致总债务能力突然上升。我们还考虑了借款人偏好中的内生时间不一致，并得出了相应的抵押合同;我们发现，贷方可以完全抵消借款人时间不一致对价值函数和补偿策略的影响。低利率下的清算边界随时间不一致程度而变化，这解释了实践中观察到的抵押违约行为的异质性。

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  • 来源
    《The European journal of finance》 |2019年第18期|1834-1855|共22页
  • 作者

  • 作者单位

    Huzhou Univ Sch Business Huzhou Peoples R China;

    Zhejiang Univ Finance & Econ China Acad Financial Res Hangzhou Zhejiang Peoples R China;

    Univ Elect Sci & Technol China Sch Management & Econ Chengdu Sichuan Peoples R China;

    Shanghai Univ Finance & Econ Shanghai Key Lab Financial Informat Technol Shanghai Inst Int Finance & Econ Shanghai Peoples R China;

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  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    Time-inconsistent preference; mortgage contract; standard securities; option ARM;

    机译：时间不一致的偏好;抵押合同;标准证券;选件ARM;

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