The Dynamics of Adjustable-Rate Subprime Mortgage Default A Structural Estimation
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چکیده
منابع مشابه
The Dynamics of Adjustable-Rate Subprime Mortgage Default: A Structural Estimation∗
One important characteristic of the recent mortgage crisis is the prevalence of subprime mortgages with adjustable interest rates and their high default rates. In this paper, we build and estimate a dynamic structural model of adjustable-rate mortgage defaults using unique mortgage loan level data. The data contain detailed information not only on borrowers’ mortgage payment history and lender ...
متن کاملYou Suk Kim and Wenli Li “ The Dynamics of Adjustable - Rate Subprime Mortgage Default
We present a dynamic structural model of subprime adjustable-rate mortgage (ARM) borrowers making payment decisions taking into account possible consequences of different degrees of delinquency from their lenders. We empirically implement the model using unique data sets that contain information on borrowers’ mortgage payment history, their broad balance sheets, and lender responses. Our invest...
متن کاملA Dynamic Model of Subprime Mortgage Default: Estimation and Policy Implications1
The increase in defaults in the subprime mortgage market is widely held to be one of the causes behind the recent nancial turmoil. Key issues of policy concern include identifying the main drivers behind the wave of defaults and predicting the e¤ects of various policy instruments designed to mitigate default. To address these questions, we estimate a dynamic structural model of subprime borrow...
متن کاملOn Modeling Some Essential Dynamics of the Subprime Mortgage Crisis
We develop a Systems Dynamics model for capturing the key interactions involved in the evolution of the subprime mortgage crisis. In particular, we propose an aggregate modeling resolution that involves three main sub-systems, namely, an aggregate banking system, an aggregate housing market and an economic environment. The model exposes the physics of each individual system as well as influence...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2015
ISSN: 1556-5068
DOI: 10.2139/ssrn.2702430