Estimating Loan-to-Value Distributions

被引：16

作者：

Korteweg, Arthur ^{[1
]}

Sorensen, Morten ^{[2
,3
,4
,5
]}

机构：

[1] Univ So Calif, Marshall Sch Business Los Angeles, Los Angeles, CA 90089 USA

[2] Columbia Business Sch, New York, NY 10027 USA

[3] Copenhagen Business Sch, Frederiksberg, Denmark

[4] NBER, Cambridge, MA 02138 USA

[5] SIFR, Singapore, Singapore

来源：

REAL ESTATE ECONOMICS | 2016年 / 44卷 / 01期

关键词：

SAMPLE-SELECTION BIAS; HOUSE PRICE INDEXES; VALUATION; TRANSACTION; PREPAYMENT;

D O I：

10.1111/1540-6229.12086

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We estimate a model of house prices, combined loan-to-value ratios (CLTVs) and trade and foreclosure behavior. House prices are only observed for traded properties and trades are endogenous, creating sample-selection problems for existing approaches to estimating CLTVs. We use a Bayesian filtering procedure to recover the price path for individual properties and produce selection-corrected estimates of historical CLTV distributions. Estimating our model with transactions of residential properties in Alameda, California, we find that 35% of single-family homes are underwater, compared to 19% estimated by existing approaches. Our results reduce the index revision problem and have applications for pricing mortgage-backed securities.

引用

页码：41 / 86

页数：46

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