We build an empirical model to attribute delays in mortgage refinancing to psychological refinancing costs that inhibit refinancing until incentives are strong enough; and to behavior---potentially attributable to information-gathering costs---that lowers the probability that a household refinances in a given period at any incentive. We estimate the model on high-quality administrative panel data from Denmark, where mortgage refinancing without cash-out is unconstrained. Middle-aged and wealthy households act as if they have high psychological refinancing costs; but older, poorer, and less educated households refinance with lower probability irrespective of incentives, and thereby achieve lower savings. We use the model to understand frictions in the mortgage channel of monetary policy transmission.