Modelling Mortgage Terminations in Turbulent Times

Richard L. Cooperstein, F. Stevens Redburn and Harry G. Meyers

Real Estate Economics, 1991, vol. 19, issue 4, 473-494

Abstract: Techniques used to predict mortgage defaults during a relatively stable period proved less successful during the turbulent financial cycle of the early 1980s. An alternative specification of the relationship between defaults, homeowner equity, and interest‐rate movements better captures the effect of interest rates on default probability. Results confirm the powerful effect of equity on mortgage defaults and the strong, but asymmetric, influence of interest rates on both defaults and prepayments. The new specification allows direct measurement of the interest‐rate effect on defaults, distinguishing the effect when rates rise or fall.

Date: 1991
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1111/1540-6229.00563

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:reesec:v:19:y:1991:i:4:p:473-494

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1080-8620

Access Statistics for this article

Real Estate Economics is currently edited by Crocker Liu, N. Edward Coulson and Walter Torous

More articles in Real Estate Economics from American Real Estate and Urban Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().