G2TT
来源类型Discussion paper
规范类型论文
来源IDDP7986
DP7986 Modelling and Forecasting UK Mortgage Arrears and Possessions
John Muellbauer; Janine Aron
发表日期2010-09-01
出版年2010
语种英语
摘要This paper presents new models for aggregate UK data on mortgage possessions (foreclosures) and mortgage arrears (payment delinquencies). The innovations include the treatment of difficult to observe variations in loan quality and shifts in forbearance policy by lenders, by common latent variables estimated in a system of equations for arrears and possessions, for quarterly data over 1983-2009. A second innovation is the theory-justified use of an estimate of the proportion of mortgages in negative equity, based on an average debt to equity ratio, as one of the key drivers of possessions and arrears. A third is the systematic treatment of measurement bias in the months in arrears measures. Finally, the paper does not impose a proportional long-run relationship between possessions and arrears assumed in the previous UK literature. A range of economic forecast scenarios for forecasts to 2013 reveals the sensitivity of mortgage possessions and arrears to different economic conditions, highlighting potential risks faced by the UK and its mortgage lenders. A comprehensive review of data on arrears and possessions completes the paper.
主题International Macroeconomics
关键词Foreclosures Mortgage possessions Mortgage payment delinquencies Mortgage arrears Uk mortgage market Defaults Unobserved components model
URLhttps://cepr.org/publications/dp7986
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/536823
推荐引用方式
GB/T 7714
John Muellbauer,Janine Aron. DP7986 Modelling and Forecasting UK Mortgage Arrears and Possessions. 2010.
条目包含的文件
条目无相关文件。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[John Muellbauer]的文章
[Janine Aron]的文章
百度学术
百度学术中相似的文章
[John Muellbauer]的文章
[Janine Aron]的文章
必应学术
必应学术中相似的文章
[John Muellbauer]的文章
[Janine Aron]的文章
相关权益政策
暂无数据
收藏/分享

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。