The role of neighborhood characteristics in mortgage default risk: evidence from New York City

Sewin Chan, Michael Gedal, Vicki Been and Andrew Haughwout

MPRA Paper from University Library of Munich, Germany

Abstract: Using a rich database of non-prime mortgages from New York City, we find that census tract level neighborhood characteristics are important predictors of default behavior, even after controlling for an extensive set of controls for loan and borrower characteristics. First, default rates increase with the rate of foreclosure notices and the number of lender-owned properties (REOs) in the tract. Second, default rates on home purchase mortgages are higher in census tracts with larger shares of black residents, regardless of the borrower’s own race. We explore possible explanations for this second finding and conclude that it likely reflects differential treatment of black neighborhoods by the mortgage industry in ways that are unobserved in our data.

Keywords: mortgage; default; neighborhoods; race (search for similar items in EconPapers)
JEL-codes: G2 R1 (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-ban and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

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Related works:
Journal Article: The role of neighborhood characteristics in mortgage default risk: Evidence from New York City (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:33941

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