Identifying the determinants of mortgage default in Colombia between 1997 and 2004

This paper examines the relationship between mortgage default decisions and relevant observable variables in Colombia between 1997 and 2004. We estimate a discrete choice model of default using a panel of individual mortgage characteristics and payment information. We show that home prices and debt...

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Autores:
Carranza Romero, Juan Esteban
Estrada, Dairo
Tipo de recurso:
Article of investigation
Fecha de publicación:
2013
Institución:
Universidad ICESI
Repositorio:
Repositorio ICESI
Idioma:
eng
OAI Identifier:
oai:repository.icesi.edu.co:10906/79127
Acceso en línea:
http://link.springer.com/10.1007/s10436-012-0196-z
http://hdl.handle.net/10906/79127
http://dx.doi.org/10.1007/s10436-012-0196-z
Palabra clave:
Economía
Econometría
Hipoteca
Economics
Econometrics models
Rights
openAccess
License
https://creativecommons.org/licenses/by-nc-nd/4.0/
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oai_identifier_str oai:repository.icesi.edu.co:10906/79127
network_acronym_str ICESI2
network_name_str Repositorio ICESI
repository_id_str
spelling Carranza Romero, Juan EstebanEstrada, Dairodestrada@banrep.gov.coBerlin de Lat: 52 31 00 N degrees minutes Lat: 52.5167 decimal degrees Long: 013 24 00 E degrees minutes Long: 13.4000 decimal degrees2016-03-29T03:51:52Z2016-03-29T03:51:52Z2013-08-011614-2446http://link.springer.com/10.1007/s10436-012-0196-zhttp://hdl.handle.net/10906/79127http://dx.doi.org/10.1007/s10436-012-0196-zinstname: Universidad Icesireponame: Biblioteca Digitalrepourl: https://repository.icesi.edu.co/This paper examines the relationship between mortgage default decisions and relevant observable variables in Colombia between 1997 and 2004. We estimate a discrete choice model of default using a panel of individual mortgage characteristics and payment information. We show that home prices and debt balances are the main determinants of mortgage default. We account for the presence of unobserved heterogeneity using Survey data and simulation techniques. Including controls for the distribution of income shows that income was not important but helps clarifying the relevance of mortgage leverage in the determination of the observed default rates.17 páginasDigitalapplication/pdfengSpringerBerlinAnnals of Finance, Vol. 9, No.3 - Agosto 2013EL AUTOR, expresa que la obra objeto de la presente autorización es original y la elaboró sin quebrantar ni suplantar los derechos de autor de terceros, y de tal forma, la obra es de su exclusiva autoría y tiene la titularidad sobre éste. PARÁGRAFO: en caso de queja o acción por parte de un tercero referente a los derechos de autor sobre el artículo, folleto o libro en cuestión, EL AUTOR, asumirá la responsabilidad total, y saldrá en defensa de los derechos aquí autorizados; para todos los efectos, la Universidad Icesi actúa como un tercero de buena fe. Esta autorización, permite a la Universidad Icesi, de forma indefinida, para que en los términos establecidos en la Ley 23 de 1982, la Ley 44 de 1993, leyes y jurisprudencia vigente al respecto, haga publicación de este con fines educativos. Toda persona que consulte ya sea la biblioteca o en medio electrónico podrá copiar apartes del texto citando siempre la fuentes, es decir el título del trabajo y el autor.https://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessAtribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0)http://purl.org/coar/access_right/c_abf2EconomíaEconometríaHipotecaEconomicsEconometrics modelsIdentifying the determinants of mortgage default in Colombia between 1997 and 2004info:eu-repo/semantics/articlehttp://purl.org/coar/resource_type/c_2df8fbb1Artículoinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/version/c_970fb48d4fbd8a8593501518ORIGINALDocumento.htmlDocumento.htmltext/html311http://repository.icesi.edu.co/biblioteca_digital/bitstream/10906/79127/1/Documento.htmld3a71460905d1ab90dc4b2820f5da825MD5110906/79127oai:repository.icesi.edu.co:10906/791272020-05-18 20:42:18.157Biblioteca Digital - Universidad icesicdcriollo@icesi.edu.co
dc.title.eng.fl_str_mv Identifying the determinants of mortgage default in Colombia between 1997 and 2004
title Identifying the determinants of mortgage default in Colombia between 1997 and 2004
spellingShingle Identifying the determinants of mortgage default in Colombia between 1997 and 2004
Economía
Econometría
Hipoteca
Economics
Econometrics models
title_short Identifying the determinants of mortgage default in Colombia between 1997 and 2004
title_full Identifying the determinants of mortgage default in Colombia between 1997 and 2004
title_fullStr Identifying the determinants of mortgage default in Colombia between 1997 and 2004
title_full_unstemmed Identifying the determinants of mortgage default in Colombia between 1997 and 2004
title_sort Identifying the determinants of mortgage default in Colombia between 1997 and 2004
dc.creator.fl_str_mv Carranza Romero, Juan Esteban
Estrada, Dairo
dc.contributor.author.spa.fl_str_mv Carranza Romero, Juan Esteban
Estrada, Dairo
dc.subject.spa.fl_str_mv Economía
Econometría
Hipoteca
topic Economía
Econometría
Hipoteca
Economics
Econometrics models
dc.subject.eng.fl_str_mv Economics
Econometrics models
description This paper examines the relationship between mortgage default decisions and relevant observable variables in Colombia between 1997 and 2004. We estimate a discrete choice model of default using a panel of individual mortgage characteristics and payment information. We show that home prices and debt balances are the main determinants of mortgage default. We account for the presence of unobserved heterogeneity using Survey data and simulation techniques. Including controls for the distribution of income shows that income was not important but helps clarifying the relevance of mortgage leverage in the determination of the observed default rates.
publishDate 2013
dc.date.issued.none.fl_str_mv 2013-08-01
dc.date.accessioned.none.fl_str_mv 2016-03-29T03:51:52Z
dc.date.available.none.fl_str_mv 2016-03-29T03:51:52Z
dc.type.eng.fl_str_mv info:eu-repo/semantics/article
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dc.type.local.spa.fl_str_mv Artículo
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status_str publishedVersion
dc.identifier.issn.none.fl_str_mv 1614-2446
dc.identifier.other.spa.fl_str_mv http://link.springer.com/10.1007/s10436-012-0196-z
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10906/79127
dc.identifier.doi.none.fl_str_mv http://dx.doi.org/10.1007/s10436-012-0196-z
dc.identifier.instname.none.fl_str_mv instname: Universidad Icesi
dc.identifier.reponame.none.fl_str_mv reponame: Biblioteca Digital
dc.identifier.repourl.none.fl_str_mv repourl: https://repository.icesi.edu.co/
identifier_str_mv 1614-2446
instname: Universidad Icesi
reponame: Biblioteca Digital
repourl: https://repository.icesi.edu.co/
url http://link.springer.com/10.1007/s10436-012-0196-z
http://hdl.handle.net/10906/79127
http://dx.doi.org/10.1007/s10436-012-0196-z
dc.language.iso.eng.fl_str_mv eng
language eng
dc.relation.ispartof.eng.fl_str_mv Annals of Finance, Vol. 9, No.3 - Agosto 2013
dc.rights.uri.none.fl_str_mv https://creativecommons.org/licenses/by-nc-nd/4.0/
dc.rights.accessrights.none.fl_str_mv info:eu-repo/semantics/openAccess
dc.rights.license.none.fl_str_mv Atribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0)
dc.rights.coar.none.fl_str_mv http://purl.org/coar/access_right/c_abf2
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-nd/4.0/
Atribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0)
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.extent.none.fl_str_mv 17 páginas
dc.format.medium.spa.fl_str_mv Digital
dc.format.mimetype.eng.fl_str_mv application/pdf
dc.coverage.spatial.none.fl_str_mv Berlin de Lat: 52 31 00 N degrees minutes Lat: 52.5167 decimal degrees Long: 013 24 00 E degrees minutes Long: 13.4000 decimal degrees
dc.publisher.eng.fl_str_mv Springer
dc.publisher.place.none.fl_str_mv Berlin
institution Universidad ICESI
bitstream.url.fl_str_mv http://repository.icesi.edu.co/biblioteca_digital/bitstream/10906/79127/1/Documento.html
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repository.name.fl_str_mv Biblioteca Digital - Universidad icesi
repository.mail.fl_str_mv cdcriollo@icesi.edu.co
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