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

共 50 条

[21] Loan-to-value limits as a macroprudential policy tool: Developments in theory and practice
Gatt, William
JOURNAL OF ECONOMIC SURVEYS, 2024, 38 (01) : 232 - 267
[22] Modeling the current loan-to-value structure of mortgage pools without loan-specific data
Palmroos, Peter
Journal of Credit Risk, 2016, 12 (04): : 1 - 15
[23] The real effects of loan-to-value limits: empirical evidence from Korea
Victor Pontines
Empirical Economics, 2021, 61 : 1311 - 1350
[24] Wealth inequality and the distributional effects of maximum loan-to-value ratio policy
Gatt, William
JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2024, 164
[25] The real effects of loan-to-value limits: empirical evidence from Korea
Pontines, Victor
EMPIRICAL ECONOMICS, 2021, 61 (03) : 1311 - 1350
[26] Contradictory Results: Reassessing the Impact of Loan-to-Value Restrictions on House Price Inflation
Andrews, Antony
AUSTRALIAN ECONOMIC REVIEW, 2024,
[27] On loan-to-value ratios of inventory financing with doubly stochastic poisson default processes
Li, Yixue
Xu, Yu
Feng, Gengzhong
Dai, Wenqiang
APSCC: 2006 IEEE ASIA-PACIFIC CONFERENCE ON SERVICES COMPUTING, PROCEEDINGS, 2006, : 663 - +
[28] Pricing model of stock loan-to-value ratio under various liquidation strategy
Shi Y.
Liu H.
Hu Y.
1679, Systems Engineering Society of China (37): : 1679 - 1687
[29] Research on the best loan-to-value ratio of inventory financing based on credit risk
Su, Yili
Li, Fuchang
Zhe, Guichang
Hu, Xiaohui
PROCEEDINGS OF THE SECOND INTERNATIONAL CONFERENCE ON ECONOMIC AND BUSINESS MANAGEMENT (FEBM 2017), 2017, 33 : 1036 - 1040
[30] The impact of loan-to-value on the default rate of residential mortgage-backed securities
Otero-Gonzalez, Luis
Duran-Santomil, Pablo
Lado-Sestayo, Ruben
Vivel-Bua, Milagros
JOURNAL OF CREDIT RISK, 2016, 12 (03): : 1 - 13

← 1 2 3 4 5 →