| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17882 |
| 来源ID | Working Paper 17882 |
| Estimating Loan-to-Value and Foreclosure Behavior | |
| Arthur Korteweg; Morten Sorensen | |
| 发表日期 | 2012-03-01 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We develop and estimate a unified model of house prices, loan-to-value ratios (LTVs), and trade and foreclosure behavior. House prices are only observed for traded properties, and trades are endogenous, creating sample-selection problems for traditional estimators. We develop a Bayesian filtering procedure to recover the price path for each individual property and produce selection-corrected estimates of historical LTVs and foreclosure behavior, both showing large unprecedented changes since 2007. Our model reduces the index revision problem by nearly half, and has applications in economics and finance (e.g., pricing mortgage-backed securities). |
| 主题 | Econometrics ; Estimation Methods ; Regional and Urban Economics ; Real Estate |
| URL | https://www.nber.org/papers/w17882 |
| 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/575557 |
| 推荐引用方式 GB/T 7714 | Arthur Korteweg,Morten Sorensen. Estimating Loan-to-Value and Foreclosure Behavior. 2012. |
| 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 | ||
| w17882.pdf（1342KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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