Estimation of Mortgage Defaults Using Disaggregate Loan History Data
从理论和实证角度研究影响抵押贷款违约决策的因素，发现除房屋净值外，还款负担、经济状况、借款人特征等也显著影响违约行为，并解释了为何部分负资产家庭不违约而正资产家庭可能违约。
This paper addresses, theoretically and empirically, the structure of influences affecting the default option in mortgage contracts. A formal theoretical model recognizes that a number of loan and non‐loan related effects beyond equity in the unit could influence the default decision. These include 1) payment levels relative to income, which could displace other investment opportunities or cause a need for borrowing or sale to meet mortgage obligations; 2) current and expected neighborhood and housing market conditions, in particular the expected relative rate of appreciation of the unit and the relative cost of homeownership; 3) economic conditions; 4) wealth; 5) borrower characteristics proxying for variability in income or “crisis” events; as well as 6) transactions costs incurred upon default. Estimates of the model making use of a micro‐level sample of individual loan histories over a twelve year period, supplemented by longitudinal census and economic information, find a number of these “other” effects important. Simulations find several of them to dominate the equity effect on default and to help explain why some households with zero or negative equity may not default, while others with positive equity may. The implications of these results for appropriate specification of the pricing model describing the default option and for appropriate underwriting of AMIs are noted.