| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7986 |
| 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 |
| URL | https://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. |
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