Estimating dynamic models with aggregate shocks and an application to mortgage default in Colombia
نویسندگان
چکیده
We estimate a dynamic model of mortgage default for a cohort of Colombian debtors between 1997 and 2004. We use the estimated model to study the e ects on default of a class of policies that a ected the evolution of mortgage balances in Colombia during the 1990's. We propose a framework for estimating dynamic behavioral models accounting for the presence of unobserved state variables that are correlated across individuals and across time periods. We extend the standard literature on the structural estimation of dynamic models by incorporating an unobserved common correlated shock that a ects all individuals' static payo s and the dynamic continuation payo s associated with di erent decisions. Given a standard parametric speci cation the dynamic problem, we show that the aggregate shocks are identi ed from the variation in the observed aggregate behavior. The shocks and their transition are separately identi ed, provided there is enough cross-sectional variation of the observed states.
منابع مشابه
An empirical dynamic model of mortgage default in Colombia between 1997 and 2004
We estimate a dynamic model of default for a cohort of Colombian debtors between 1997 and 2004, which was a period of unprecedented nancial stress in Colombia. We develop a methodological framework based on a fully dynamic behavioral model that accounts for both cross-sectional and aggregate heterogeneity. Speci cally we control for the unobserved heterogeneity using non-matching survey data an...
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