抵押贷款崩溃:对房屋价值和贷款价值比下降的违约敏感性

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic) Pub Date : 2012-05-10 DOI:10.2139/ssrn.2055857

Yannick Schindler, Judith A. Laux

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引用次数: 1

摘要

当前的研究调查了最近的抵押贷款危机，以确定恶化的总贷款价值比(LTV)是否导致了对房价贬值的更严重的违约反应。我们发现有证据表明，在次贷危机期间，违约率并没有表现出不规律或不成比例的行为，但我们发现了一些证据，表明总LTV比率与止赎率波动增加有关。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Mortgage Meltdown: Default Sensitivity to Declining Home Values and Loan-to-Value Ratios

The current study investigates the recent mortgage crisis to determine whether deteriorating aggregate loan-to-value (LTV) ratios resulted in more acute default responses to depreciating home prices. We find evidence that default rates did not behave erratically or disproportionately to falling housing values during the subprime crisis, but we found some proof that the aggregate LTV ratio was associated with increased foreclosure rate volatility.

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ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets (Topic)

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