Mortgage loss severities: What keeps them so high?
研究了金融危机后抵押贷款违约损失率（LGD）持续高于40%的原因，发现危机时期止赎积压和清算时间延长抵消了销售回收的增加，缩短止赎时间可降低LGD 5-8个百分点。
Abstract Mortgage loss‐given‐default (LGD) increased significantly when house prices plummeted during the financial crisis; but it has remained over 40% in recent years despite a strong housing recovery. Our results indicate that the sustained high LGDs postcrisis is due to a combination of an overhang of crisis‐era foreclosures and prolonged liquidation timelines, which have offset higher sales recoveries. Simulations show that cutting foreclosure timelines by 1 year would cause LGD to decrease by 5–8 percentage points, depending on the trade‐off between lower liquidation expenses and lower sales recoveries. Using difference‐in‐differences tests, we also find that recent consumer protection programs have extended foreclosure timelines and increased loss severities in spite of their potential benefits of increasing loan modifications and enhancing consumer protections.