Document Type
Article
Language
eng
Format of Original
24 p.
Publication Date
1-2008
Publisher
Elsevier
Source Publication
Journal of Economics and Business
Source ISSN
0148-6195
Original Item ID
DOI: 10.1016/j.jeconbus.2007.08.005
Abstract
The lag between the time that a borrower stops making payments on a mortgage and the termination of the loan plays a critical role in the costs borne by both borrower and lender on defaulted loans. While the prior literature uses a multinomial logit approach, statistical tests indicate that we cannot accept the associated assumption of Independence of Irrelevant Alternatives (IIA). Using a nested logit specification our results suggest that the recipe for delinquency involves young loans to low credit score borrowers with low or no documentation in housing markets with moderately volatile and flat or declining nominal house prices.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Danis, Michelle A. and Pennington-Cross, Anthony, "The Delinquency of Subprime Mortgages" (2008). Finance Faculty Research and Publications. 99.
https://epublications.marquette.edu/fin_fac/99
Comments
Accepted version. Journal of Economics and Business, Vol. 60, No. 1-2 (January/February 2008): 67-90. DOI. © 2007 Elsevier Inc. Used with permission.
Published under Creative Commons License CC BY-NC-ND 4.0.