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作者

Stephen L. Buschbom;James B. Kau;Donald C. Keenan;Constantine Lyubimov

来源

REAL ESTATE ECONOMICS,Vol.49,Issue3,P.936-967

语言

英文

关键字

作者单位

摘要

This article constructs a model of mortgage delinquency which tests the extent to which borrowers anticipate a loan modification resulting from such a delinquency. Using a sample of modified loans from commercial mortgage-backed securities (CMBS), we estimate the present value of modified cash flows and project modification benefits each month for all CMBS loans which serve to proxy for a borrower's anticipation of a beneficial modification. Our results confirm a borrower's anticipation of a modification increases the delinquency hazard, and supports the theory that borrower delinquency is strategically endogenous.