{"title":"借款人抵押贷款终止决策的空间异质性——一个非参数方法","authors":"Lu Fang, Henry J. Munneke","doi":"10.2139/ssrn.3611291","DOIUrl":null,"url":null,"abstract":"This paper attempts to address the issue of borrower heterogeneity when modelling a borrower’s mortgage loan termination behaviors (default and prepayment) by applying a nonparametric spatial model to a traditional competing-risks loan hazard model. In this spatial competing-risks hazard model, all of the parameters are allowed but not forced to vary across space. Using a sample of 30-year fixed-rate subprime mortgage loans for home purchase, this study finds a substantial level of spatial variation in a borrower’s responsiveness to interest rate change and housing equity change in exercising the default or prepayment option. Further analysis indicates that the observed spatial variation is associated with different levels of resistance to negative shocks, financial literacy, and financial constraints.","PeriodicalId":11744,"journal":{"name":"ERN: Nonparametric Methods (Topic)","volume":"25 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2020-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Spatial Heterogeneity in the Borrowers' Mortgage Termination Decision – a Nonparametric Approach\",\"authors\":\"Lu Fang, Henry J. Munneke\",\"doi\":\"10.2139/ssrn.3611291\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper attempts to address the issue of borrower heterogeneity when modelling a borrower’s mortgage loan termination behaviors (default and prepayment) by applying a nonparametric spatial model to a traditional competing-risks loan hazard model. In this spatial competing-risks hazard model, all of the parameters are allowed but not forced to vary across space. Using a sample of 30-year fixed-rate subprime mortgage loans for home purchase, this study finds a substantial level of spatial variation in a borrower’s responsiveness to interest rate change and housing equity change in exercising the default or prepayment option. Further analysis indicates that the observed spatial variation is associated with different levels of resistance to negative shocks, financial literacy, and financial constraints.\",\"PeriodicalId\":11744,\"journal\":{\"name\":\"ERN: Nonparametric Methods (Topic)\",\"volume\":\"25 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-02-29\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Nonparametric Methods (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3611291\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Nonparametric Methods (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3611291","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Spatial Heterogeneity in the Borrowers' Mortgage Termination Decision – a Nonparametric Approach
This paper attempts to address the issue of borrower heterogeneity when modelling a borrower’s mortgage loan termination behaviors (default and prepayment) by applying a nonparametric spatial model to a traditional competing-risks loan hazard model. In this spatial competing-risks hazard model, all of the parameters are allowed but not forced to vary across space. Using a sample of 30-year fixed-rate subprime mortgage loans for home purchase, this study finds a substantial level of spatial variation in a borrower’s responsiveness to interest rate change and housing equity change in exercising the default or prepayment option. Further analysis indicates that the observed spatial variation is associated with different levels of resistance to negative shocks, financial literacy, and financial constraints.