| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18850 |
| 来源ID | Working Paper 18850 |
| A Dynamic Model of Subprime Mortgage Default: Estimation and Policy Implications | |
| Patrick Bajari; Chenghuan Sean Chu; Denis Nekipelov; Minjung Park | |
| 发表日期 | 2013-02-28 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | The increase in defaults in the subprime mortgage market is widely held to be one of the causes behind the recent financial turmoil. Key issues of policy concern include quantifying the role of various factors, such as home price declines and loosened underwriting standards, in the recent increase in subprime defaults and predicting the effects of various policy instruments designed to mitigate default. To address these questions, we estimate a dynamic structural model of subprime borrowers' default behavior. We prove that borrowers' time preference is identified in our model and propose an easily implementable semiparametric plug-in estimator. Our results show that principal writedowns have a significant effect on borrowers' default behavior and welfare: a uniform 10% reduction in outstanding mortgage balance for the pool of borrowers in our sample would reduce the overall default probability by 22%, and borrowers' average willingness to pay for the principal writedown would be $16,643 |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w18850 |
| 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/576525 |
| 推荐引用方式 GB/T 7714 | Patrick Bajari,Chenghuan Sean Chu,Denis Nekipelov,et al. A Dynamic Model of Subprime Mortgage Default: Estimation and Policy Implications. 2013. |
| 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 | ||
| w18850.pdf（464KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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