打印

作者

来源

来源 JOURNAL OF URBAN ECONOMICS,Vol.71,P.75-87

语言

英文

关键字

C4;G1;Mortgage default;House price shocks

作者单位

Department of Insurance, Legal Studies, Real Estate, University of Georgia, 298A, Brooks Hall, Athens, GA 30602, United States"}]},{"#name":"affiliation","$":{"id":"aff2;THEMA, Université de Cergy-Pontoise, France"}]},{"#name":"affiliation","$":{"id":"aff3;Department of Insurance, Legal Studies, Real Estate, University of Georgia, 286, Brooks Hall, Athens, GA 30602, United States"}]},{"#name":"affiliation","$":{"id":"aff4;Department of Finance, Louisiana State University, 2163-B, Patrick F. Taylor Hall, Baton Rouge, LA 70803, United States"}]},{"#name":"correspondence","$":{"id":"cor1;Department of Insurance, Legal Studies, Real Estate, University of Georgia, 298A, Brooks Hall, Athens, GA 30602, United States"}]},"aff2":{"#name":"affiliation","$":{"id":"aff2;THEMA, Université de Cergy-Pontoise, France"}]},"aff3":{"#name":"affiliation","$":{"id":"aff3;Department of Insurance, Legal Studies, Real Estate, University of Georgia, 286, Brooks Hall, Athens, GA 30602, United States"}]},"aff4":{"#name":"affiliation","$":{"id":"aff4;Department of Finance, Louisiana State University, 2163-B, Patrick F. Taylor Hall, Baton Rouge, LA 70803, United States"}]}},"correspondences":{"cor1":{"#name":"correspondence","$":{"id":"cor1

摘要

This paper constructs a reduced-form credit risk model of mortgage default. The data used is of privately-securitized subprime ARMs (adjustable rate mortgages), originated between 1997 and 2008, and observed between 2000 and 2009. The period studied thus encompasses the beginning of the subprime crisis. Given the estimated model, contractual properties of the loans are then used to infer the market price of default risk for the various quarters of origination. It is empirically determined that a change in the inherent nature of borrowers led to a deterioration in their default performance, a change which can be first detected in late 2004. On the other hand, the evidence also indicates that the secondary mortgage market became aware of this change at about this same time. The large rise in defaults in 2007 cannot, therefore, be attributed to any surprise other than the unexpectedly large fall in housing prices.