The role of the economic environment on mortgage defaults during the Great Recession
This article shows that the rise in unemployment played a very significant factor in the rise of mortgage delinquencies during the Great Recession. Estimation results, moreover, show that changes in the Unemployment Rate (UR; from loan origination) as opposed to the level of the UR explain mortgage...
- Autores:
-
Sarmiento, Camilo
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2012
- Institución:
- Escuela Colombiana de Ingeniería Julio Garavito
- Repositorio:
- Repositorio Institucional ECI
- Idioma:
- eng
- OAI Identifier:
- oai:repositorio.escuelaing.edu.co:001/2590
- Acceso en línea:
- https://repositorio.escuelaing.edu.co/handle/001/2590
https://repositorio.escuelaing.edu.co/
- Palabra clave:
- Recesiones económicas
Crisis económica
Desempleo
Hipotecas
Economic recessions
Economic crisis
Unemployment
Mortgages
Mortgage
Default
Unemployment
Competing risk models
- Rights
- closedAccess
- License
- http://purl.org/coar/access_right/c_14cb
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The role of the economic environment on mortgage defaults during the Great Recession |
| title |
The role of the economic environment on mortgage defaults during the Great Recession |
| spellingShingle |
The role of the economic environment on mortgage defaults during the Great Recession Recesiones económicas Crisis económica Desempleo Hipotecas Economic recessions Economic crisis Unemployment Mortgages Mortgage Default Unemployment Competing risk models |
| title_short |
The role of the economic environment on mortgage defaults during the Great Recession |
| title_full |
The role of the economic environment on mortgage defaults during the Great Recession |
| title_fullStr |
The role of the economic environment on mortgage defaults during the Great Recession |
| title_full_unstemmed |
The role of the economic environment on mortgage defaults during the Great Recession |
| title_sort |
The role of the economic environment on mortgage defaults during the Great Recession |
| dc.creator.fl_str_mv |
Sarmiento, Camilo |
| dc.contributor.author.none.fl_str_mv |
Sarmiento, Camilo |
| dc.contributor.researchgroup.spa.fl_str_mv |
Centro de Estudios Económicos |
| dc.subject.armarc.none.fl_str_mv |
Recesiones económicas Crisis económica Desempleo Hipotecas Economic recessions Economic crisis Unemployment Mortgages |
| topic |
Recesiones económicas Crisis económica Desempleo Hipotecas Economic recessions Economic crisis Unemployment Mortgages Mortgage Default Unemployment Competing risk models |
| dc.subject.proposal.eng.fl_str_mv |
Mortgage Default Unemployment Competing risk models |
| description |
This article shows that the rise in unemployment played a very significant factor in the rise of mortgage delinquencies during the Great Recession. Estimation results, moreover, show that changes in the Unemployment Rate (UR; from loan origination) as opposed to the level of the UR explain mortgage default. Mortgage default is found to be significantly less responsive to declines than to increases in the UR. |
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2012 |
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2012 |
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2023-08-23T16:36:31Z |
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2023-08-23T16:36:31Z |
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https://repositorio.escuelaing.edu.co/handle/001/2590 |
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1466–4305 |
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Universidad Escuela Colombiana de Ingeniería Julio Garavito |
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Repositorio Digital |
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https://repositorio.escuelaing.edu.co/ |
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eng |
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eng |
| dc.relation.citationedition.spa.fl_str_mv |
Vol. 22 de 2012 |
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250 |
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243 |
| dc.relation.citationvolume.spa.fl_str_mv |
22 |
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N/A |
| dc.relation.ispartofjournal.eng.fl_str_mv |
Applied Financial Economics |
| dc.relation.references.spa.fl_str_mv |
Adelino, M., Gerardi, K. S. and Willen, P. (2009) Why don’t lenders renegotiate more home mortgages? Redefaults, self-cures and securitization, NBER Working Paper Series No. 15159. Archer, W., Ling, D. and McGill, G. (1996) The effect of income and collateral constraints on residential mortgage terminations, Regional Science and Urban Economics, 26, 235–61. Bangia, A., Diebold, F. X. and Schuermann, T. (2002) Ratings migration and the business cycle, with application to credit portfolio stress testing, Journal of Banking and Finance, 26, 445–74. Bhutta, N., Dokko, J. and Shan, H. (2010) The depth of negative equity and mortgage default decisions, Finance and Economics Discussion Series: 2010-25, Board of Governors of the Federal Reserve System, Washington, DC. Capozza, D. and Thomson, T. (2006) Subprime transitions: lingering or malingering in default?, The Journal of Real Estate Finance and Economics, 33, 241–58. Deng, Y., Quigley, J. M. and van Order, R. (2000) Mortgage terminations, heterogeneity, and the exercise of mortgage options, Econometrica, 68, 275–307. Elul, R. (2009) Securitization and the mortgage default: reputation versus adverse selection, Working Papers No. 09-21, Federal Reserve Bank of Philadelphia. Fabozzi, F. J. (Ed.) (2006) Handbook of Mortgage-Backed Securities, 6th edn, McGraw-Hill, New York. Fair, R. C. and Shiller, R. J. (1990) Comparing information in forecasts from econometric models, American Economic Review, 80, 39–50. Foote, C. L., Gerardi, K., Goette, L. and Willen, P. S. (2009) ‘Reducing foreclosures, Public Policy Discussion Paper No. 09-2, Federal Reserve Bank of Boston Guiso, L., Sapienza, P. and Zingales, L. (2010) The determinants of attitudes towards strategic default on mortgages, Working Paper, University of Chicago Booth School of Business and Kellogg School of Management. Hillegeist, S. A., Keating, E. K., Cram, D. P. and Lundstedt, K. G. (2004) Assessing the probability of bankruptcy, Review of Accounting Studies, 9, 5–34. Hosmer, D. W., Lemeshow, S. and May, S. (2008) Applied Survival Analysis, 2nd edn, Wiley, New Jersey. O’Brien, R. M. (2007) A caution regarding rules of thumb for variance inflation factors, Quality and Quantity, 41, 673–90. Ronel, E., Souleles, N. S., Chomsisengphet, S., Glennon, D. and Hunt, R. (2010) What triggers mortgage default?, American Economic Review, 100, 490–4. Sarmiento, C. (2009) Regime changes in subprime margins under the US housing bubble, Applied Financial Economics, 19, 175–82. |
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Sarmiento, Camiloa48a67bcfacaaa8d4773d8fd3f6d85acCentro de Estudios Económicos2023-08-23T16:36:31Z2023-08-23T16:36:31Z20120960–3107https://repositorio.escuelaing.edu.co/handle/001/25901466–4305Universidad Escuela Colombiana de Ingeniería Julio GaravitoRepositorio Digitalhttps://repositorio.escuelaing.edu.co/This article shows that the rise in unemployment played a very significant factor in the rise of mortgage delinquencies during the Great Recession. Estimation results, moreover, show that changes in the Unemployment Rate (UR; from loan origination) as opposed to the level of the UR explain mortgage default. Mortgage default is found to be significantly less responsive to declines than to increases in the UR.Este artículo muestra que el aumento del desempleo jugó un factor muy importante en el aumento de la morosidad hipotecaria durante la Gran Recesión. Además, los resultados de la estimación muestran que los cambios en la Tasa de Desempleo (UR; desde la originación del préstamo) en contraposición al nivel de la UR explican el incumplimiento de las hipotecas. Se ha descubierto que el incumplimiento hipotecario responde significativamente menos a las caídas que a los aumentos en la RU.8 páginasapplication/pdfengRoutledge Taylor and Francis Grouphttp://www.tandfonline.comThe role of the economic environment on mortgage defaults during the Great RecessionArtículo de revistainfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1Textinfo:eu-repo/semantics/articlehttp://purl.org/coar/version/c_970fb48d4fbd8a85Vol. 22 de 201225024322N/AApplied Financial EconomicsAdelino, M., Gerardi, K. S. and Willen, P. (2009) Why don’t lenders renegotiate more home mortgages? Redefaults, self-cures and securitization, NBER Working Paper Series No. 15159.Archer, W., Ling, D. and McGill, G. (1996) The effect of income and collateral constraints on residential mortgage terminations, Regional Science and Urban Economics, 26, 235–61.Bangia, A., Diebold, F. X. and Schuermann, T. (2002) Ratings migration and the business cycle, with application to credit portfolio stress testing, Journal of Banking and Finance, 26, 445–74.Bhutta, N., Dokko, J. and Shan, H. (2010) The depth of negative equity and mortgage default decisions, Finance and Economics Discussion Series: 2010-25, Board of Governors of the Federal Reserve System, Washington, DC.Capozza, D. and Thomson, T. (2006) Subprime transitions: lingering or malingering in default?, The Journal of Real Estate Finance and Economics, 33, 241–58.Deng, Y., Quigley, J. M. and van Order, R. (2000) Mortgage terminations, heterogeneity, and the exercise of mortgage options, Econometrica, 68, 275–307.Elul, R. (2009) Securitization and the mortgage default: reputation versus adverse selection, Working Papers No. 09-21, Federal Reserve Bank of Philadelphia.Fabozzi, F. J. (Ed.) (2006) Handbook of Mortgage-Backed Securities, 6th edn, McGraw-Hill, New York.Fair, R. C. and Shiller, R. J. (1990) Comparing information in forecasts from econometric models, American Economic Review, 80, 39–50.Foote, C. L., Gerardi, K., Goette, L. and Willen, P. S. (2009) ‘Reducing foreclosures, Public Policy Discussion Paper No. 09-2, Federal Reserve Bank of BostonGuiso, L., Sapienza, P. and Zingales, L. (2010) The determinants of attitudes towards strategic default on mortgages, Working Paper, University of Chicago Booth School of Business and Kellogg School of Management.Hillegeist, S. A., Keating, E. K., Cram, D. P. and Lundstedt, K. G. (2004) Assessing the probability of bankruptcy, Review of Accounting Studies, 9, 5–34.Hosmer, D. W., Lemeshow, S. and May, S. (2008) Applied Survival Analysis, 2nd edn, Wiley, New Jersey.O’Brien, R. M. (2007) A caution regarding rules of thumb for variance inflation factors, Quality and Quantity, 41, 673–90.Ronel, E., Souleles, N. S., Chomsisengphet, S., Glennon, D. and Hunt, R. (2010) What triggers mortgage default?, American Economic Review, 100, 490–4.Sarmiento, C. (2009) Regime changes in subprime margins under the US housing bubble, Applied Financial Economics, 19, 175–82.info:eu-repo/semantics/closedAccesshttp://purl.org/coar/access_right/c_14cbRecesiones económicasCrisis económicaDesempleoHipotecasEconomic recessionsEconomic crisisUnemploymentMortgagesMortgageDefaultUnemploymentCompeting risk modelsTEXTThe role of the economic environment on mortgage defaults during the great recession.pdf.txtThe role of the economic environment on mortgage defaults during the great recession.pdf.txtExtracted texttext/plain28525https://repositorio.escuelaing.edu.co/bitstream/001/2590/4/The%20role%20of%20the%20economic%20environment%20on%20mortgage%20defaults%20during%20the%20great%20recession.pdf.txt8c4dc25136af52d32cf607f9145ab926MD54open accessTHUMBNAILcaratula the role of the economic environmenton mortgage.JPGcaratula the role of the economic environmenton mortgage.JPGimage/jpeg48814https://repositorio.escuelaing.edu.co/bitstream/001/2590/3/caratula%20the%20role%20of%20the%20economic%20environmenton%20mortgage.JPG79f607071577659e56417fb455075406MD53open accessThe role of the economic environment on mortgage defaults during the great recession.pdf.jpgThe role of the economic environment on mortgage defaults during the great recession.pdf.jpgGenerated Thumbnailimage/jpeg13196https://repositorio.escuelaing.edu.co/bitstream/001/2590/5/The%20role%20of%20the%20economic%20environment%20on%20mortgage%20defaults%20during%20the%20great%20recession.pdf.jpgde712cfbe282b0b350fcc8c2520ddae2MD55metadata only accessLICENSElicense.txtlicense.txttext/plain; charset=utf-81881https://repositorio.escuelaing.edu.co/bitstream/001/2590/2/license.txt5a7ca94c2e5326ee169f979d71d0f06eMD52open accessORIGINALThe role of the economic environment on mortgage defaults during the great recession.pdfThe role of the economic environment on mortgage defaults during the great recession.pdfapplication/pdf336903https://repositorio.escuelaing.edu.co/bitstream/001/2590/1/The%20role%20of%20the%20economic%20environment%20on%20mortgage%20defaults%20during%20the%20great%20recession.pdf9396dd15dd9aa6b7374dcd031b38d196MD51metadata only access001/2590oai:repositorio.escuelaing.edu.co:001/25902024-07-31 03:02:12.556metadata only accessRepositorio Escuela Colombiana de Ingeniería Julio Garavitorepositorio.eci@escuelaing.edu.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 |