The duration of foreclosures in the subprime mortgage market: a competing risks model with mixing

Anthony Pennington-Cross

No 2006-027, Working Papers from Federal Reserve Bank of St. Louis

Abstract: This paper examines what happens to mortgages in the subprime mortgage market once foreclosure proceeding are initiated. A multinominial 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.

Keywords: Mortgages (search for similar items in EconPapers)
Date: 2006
New Economics Papers: this item is included in nep-dcm, nep-fmk and nep-ure
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Citations: View citations in EconPapers (9)

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Related works:
Journal Article: The Duration of Foreclosures in the Subprime Mortgage Market: A Competing Risks Model with Mixing (2010)
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