Mortgage Modification and Strategic Behavior: Evidence from a Legal Settlement with Countrywide
研究房主是否对抵押贷款修改计划的消息做出策略性反应，利用美国州政府与Countrywide金融公司和解带来的政策变化，发现和解公告后月违约率上升超0.54个百分点，策略行为应成为设计修改计划的重要考量。
We investigate whether homeowners respond strategically to news of mortgage modification programs. We exploit plausibly exogenous variation in modification policy induced by settlement of US state government lawsuits against Countrywide Financial Corporation, which agreed to offer modifications to seriously delinquent borrowers. Using a difference-in-differences framework, we find that Countrywide's monthly delinquency rate increased more than 0.54 percentage points—a 10 percent relative increase—immediately after the settlement's announcement. The estimated increase in default rates is largest among borrowers least likely to default otherwise. These results suggest that strategic behavior should be an important consideration in designing mortgage modification programs.