The delinquency of subprime mortgages

Michelle A. Danis and Anthony Pennington-Cross

No 2005-022, Working Papers from Federal Reserve Bank of St. Louis

Abstract: This paper focuses on understanding the determinants of the performance of subprime mortgages. A growing body of literature recognizes the substantial lag between the time that a borrower stops making payments on a mortgage and the termination of the loan. The duration of this lag and the method by which the delinquency is ultimately terminated play a critical role in the costs borne by both borrower and lender. Using nested and multinomial logit, we find that delinquency and default are sensitive to current economic conditions and housing markets. Credit scores and loan characteristics also play important roles.

Keywords: Mortgages; Subprime mortgage (search for similar items in EconPapers)
Date: 2005
New Economics Papers: this item is included in nep-dcm and nep-ure
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Citations: View citations in EconPapers (11)

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Related works:
Journal Article: The delinquency of subprime mortgages (2008)
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