| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14625 |
| 来源ID | Working Paper 14625 |
| An Empirical Model of Subprime Mortgage Default From 2000 to 2007 | |
| Patrick Bajari; Chenghuan Sean Chu; Minjung Park | |
| 发表日期 | 2008-12-31 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | The turmoil that started with increased defaults in the subprime mortgage market has generated instability in the financial system around the world. To better understand the root causes of this financial instability, we quantify the relative importance of various drivers behind subprime borrowers' decision to default. In our econometric model, we allow borrowers to default either because doing so increases their lifetime wealth or because of short-term budget constraints, treating the decision as the outcome of a bivariate probit model with partial observability. We estimate our model using detailed loan-level data from LoanPerformance and the Case-Shiller home price index. According to our results, one main driver of default is the nationwide decrease in home prices. The decline in home prices caused many borrowers' outstanding mortgage liability to exceed their home value, and for these borrowers default can increase their wealth. Another important driver is deteriorating loan quality: The increase of borrowers with poor credit and high payment to income ratios elevates default rates in the subprime market. We discuss policy implications of our results. Our findings point to flaws in the securitization process that led to the current wave of defaults. Also, we use our model to evaluate alternative policies aimed at reducing the rate of default. |
| 主题 | Financial Economics ; Financial Markets ; Financial Institutions ; Corporate Finance ; Regional and Urban Economics |
| URL | https://www.nber.org/papers/w14625 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572301 |
| 推荐引用方式 GB/T 7714 | Patrick Bajari,Chenghuan Sean Chu,Minjung Park. An Empirical Model of Subprime Mortgage Default From 2000 to 2007. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14625.pdf（429KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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