RT Journal Article
SR Electronic
T1 Expected Mobility
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 68
OP 78
DO 10.3905/jfi.2000.319238
VO 10
IS 1
A1 John M. Clapp
A1 John P. Harding
A1 Michael Lacour-Little
YR 2000
UL https://pm-research.com/content/10/1/68.abstract
AB This research combines information on mortgage terminations with housing market data to distinguish borrowers who prepay their mortgages because they are moving from those who prepay to refinance without moving. It uses a closed-form valuation formula to compute the callable value of the mortgage and property level data to estimate current loan-to-value ratios. Results show that expected mobility affects borrower behavior in an asymmetric fashion. Borrowers with high expected mobility are less likely to refinance, but borrowers with strong refinancing incentives are not more likely to move. Differentiating movers from refinancers provides a clearer picture of the responsiveness of prepayments to interest rate movements.