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来源类型Working Paper
规范类型报告
DOI10.3386/w18880
来源IDWorking Paper 18880
Unemloyment and Unobserved Credit Risk in the FHA Single Family Mortgage Insurance Fund
Joseph Gyourko; Joseph Tracy
发表日期2013-03-08
出版年2013
语种英语
摘要Empirical models of mortgage default typically find that the influence of unemployment is negligible compared to other well known risk factors such as high borrower leverage or low borrower FICO scores. This is at odds with theory, which assigns a critical role to unemployment status in the decision to stop payment on a mortgage. We help reconcile this divergence by employing a novel empirical strategy involving simulated unemployment histories to measure the severity of attenuation bias in loan-level estimations of default risk due to a borrower becoming unemployed. Attenuation bias results because individual data on unemployment status is unobserved, requiring that a market-wide unemployment rate be used as a proxy. Attenuation is extreme, with our results suggesting that the use of an aggregate unemployment rate in lieu of actual borrower unemployment status results in default risk from a borrower becoming unemployed being underestimated by a factor of 100 or more. Correcting for this indicates unemployment is more powerful than other well-known factors such as extremely high leverage or extremely low FICO scores in predicting individual borrower default. Our simulated data indicate that adding the unemployment rate as a proxy for the missing borrower-specific unemployment indicator does not improve the accuracy of the estimated model over the specification without the proxy variable included.
主题Financial Economics ; Financial Markets ; Regional and Urban Economics
URLhttps://www.nber.org/papers/w18880
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/576555
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GB/T 7714
Joseph Gyourko,Joseph Tracy. Unemloyment and Unobserved Credit Risk in the FHA Single Family Mortgage Insurance Fund. 2013.
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