改变抵押贷款支付对违约和提前还款的影响:来自HAMP重置的证据

IF 2 3区 经济学 Q2 BUSINESS, FINANCE
Therese C. Scharlemann, S. Shore
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引用次数: 1

摘要

住房负担得起的修改计划(HAMP)是一项政府资助的计划,旨在减少有违约危险的借款人的每月抵押贷款支付额。在五年的低于市场利率之后,HAMP利率可以预见地大幅上升,每年增加一个百分点,直到达到预先确定的市场利率。通过事件研究设计,我们确定了利率上升的因果效应——以及与之相关的月供——对违约(以及拖欠过渡和提前还款)的影响,比较了利率重置时间前后的违约率,分别是利率重置和未重置的贷款。由于利率重置的大小是补贴利率与市场利率之差的一个扭结函数,我们也使用回归扭结设计(RKD)来识别效果。我们发现,利率每增加一个百分点,违约风险就会增加大约20%(例如,从每月0.6%增加到每月0.72%)。我们的估计表明,与抵押贷款利率下降1个百分点相关的付款减少与HAMP的本金减少替代方案(据Scharlemann和Shore(2016)估计)中的本金减少具有相似的违约减少效果,但成本要低得多。JEL代码:G21(抵押贷款),R30(房地产市场,一般)*所表达的观点和意见仅代表作者的观点,并不一定代表金融研究办公室或美国财政部的官方立场或政策。作者要感谢Karen Dynan, Stathis Tompaidis,以及金融研究办公室,南加州大学和布鲁金斯学会的研讨会参与者。作者感谢Emily Haeckel、Mark McArdle和Aaron Ferguson提供的HAMP数据。†美国财政部金融研究办公室。作者声明,她没有与本文所描述的研究相关的相关或重大经济利益。乔治亚州立大学风险管理与保险学系。作者声明他没有与本文所述研究相关的相关或重大经济利益。电子邮件:sshore@gsu.edu
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The effect of changing mortgage payments on default and prepayment: Evidence from HAMP resets
The Home Affordable Modification Program (HAMP) is a government-sponsored program to reduce the monthly mortgage payments of borrowers who are in danger of default. After five years of below-market interest rates, HAMP interest rates jump predictably, increasing annually in increments of up to one percentage point until they reach a pre-determined market rate. We identify the causal effect of increasing interest rates – and with them, monthly payments – on default (as well as on delinquency transitions and prepayment) with an event study design, comparing default rates immediately before and after rate reset times for loans that do and do not reset. Since the size of the interest rate reset is a kinked function of the difference between the subsidized interest rate and the market interest rate, we also identify the effect using a regression kink design (RKD). We find that a one percentage point rate increase led to a roughly 20 percent increase in the default hazard (e.g., from 0.6 percent per month to 0.72 percent per month). Our estimates imply that the payment reduction associated with a one percentage-point decline in the mortgage rate has a similar default-reducing effect as principal reduction in HAMP’s Principal Reduction Alternative (as estimated by Scharlemann and Shore (2016)) at much lower cost. JEL Codes: G21 (Mortgages), R30 (Real Estate Markets, General) ∗Views and opinions expressed are those of the authors and do not necessarily represent official positions or policy of the Office of Financial Research or the U.S. Department of the Treasury. The authors would like to thank Karen Dynan, Stathis Tompaidis, and seminar participants at the Office of Financial Research, the University of Southern California, and Brookings. The authors are grateful for assistance with HAMP data from Emily Haeckel, Mark McArdle, and Aaron Ferguson. †Office of Financial Research, U.S. Treasury Department. The author declares that she has no relevant or material financial interests that relate to the research described in this paper. Email: therese.scharlemann@ofr.treasury.gov ‡Georgia State University, Department of Risk Management and Insurance. The author declares that he has no relevant or material financial interests that relate to the research described in this paper. Email: sshore@gsu.edu
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来源期刊
CiteScore
4.00
自引率
13.60%
发文量
44
期刊介绍: As the official journal of the American Real Estate and Urban Economics Association, Real Estate Economics is the premier journal on real estate topics. Since 1973, Real Estate Economics has been facilitating communication among academic researchers and industry professionals and improving the analysis of real estate decisions. Articles span a wide range of issues, from tax rules to brokers" commissions to corporate real estate including housing and urban economics, and the financial economics of real estate development and investment.
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