| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17516 |
| 来源ID | Working Paper 17516 |
| A Model of Mortgage Default | |
| John Y. Campbell; João F. Cocco | |
| 发表日期 | 2011-10-14 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | This paper solves a dynamic model of a household's decision to default on its mortgage, taking into account labor income, house price, inflation, and interest rate risk. Mortgage default is triggered by negative home equity, which results from declining house prices in a low inflation environment with large mortgage balances outstanding. Not all households with negative home equity default, however. The level of negative home equity that triggers default depends on the extent to which households are borrowing constrained. High loan-to-value ratios at mortgage origination increase the probability of negative home equity. High loan-to-income ratios also increase the probability of default by tightening borrowing constraints. Comparing mortgage types, adjustable-rate mortgage defaults occur when nominal interest rates increase and are substantially affected by idiosyncratic shocks to labor income. Fixed-rate mortgages default when interest rates and inflation are low, and create a higher probability of a default wave with a large number of defaults. Interest-only mortgages trade off an increased probability of negative home equity against a relaxation of borrowing constraints, but overall have the highest probability of a default wave. |
| 主题 | Macroeconomics ; Consumption and Investment ; Financial Economics ; Financial Institutions ; Corporate Finance |
| URL | https://www.nber.org/papers/w17516 |
| 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/575191 |
| 推荐引用方式 GB/T 7714 | John Y. Campbell,João F. Cocco. A Model of Mortgage Default. 2011. |
| 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 | ||
| w17516.pdf（1427KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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