The Duration of Foreclosures in the Subprime Mortgage Market: A Competing Risks Model with Mixing

被引：37
|
作者：
Pennington-Cross, Anthony [1 ]
机构：
[1] Marquette Univ, Dept Finance, Milwaukee, WI 53201 USA
来源：
JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS | 2010年 / 40卷 / 02期
关键词：
Mortgages; Subprime; Foreclosure; CONDITIONAL-PROBABILITY; DEFAULT; HETEROGENEITY;
D O I：
10.1007/s11146-008-9124-4
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper examines what happens to mortgages in the subprime mortgage market once foreclosure proceeding are initiated. A multinomial logit model that allows for the interdependence of the possible outcomes or risks (cure, partial cure, paid off, and real estate owned) through the correlation of associated unobserved heterogeneities is estimated. The results show that the duration of foreclosures is impacted by many factors including contemporaneous housing market conditions, the prior performance of the loan (prior delinquency), and the state-level legal environment.
引用
收藏
页码：109 / 129
页数：21
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