为什么借款人拖欠抵押贷款?一种新的因果归因方法

Peter Ganong, P. Noel
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引用次数: 40

摘要

关于借款人违约有两种流行的理论:一种是战略性违约——债务相对于房屋价值太高;另一种是生活中的不利事件——比如月供相对于可用资源太高。在这些理论之间进行测试一直具有挑战性,部分原因是不良事件的测量存在误差,可能导致衰减偏差。我们开发了一种新的方法来解决这种测量误差,使用一组没有战略违约动机的借款人:房屋净值为正的借款人。我们使用将收入和抵押贷款违约联系起来的高频管理数据来实现该方法。我们的主要发现是,只有3%的违约完全是由负资产引起的,比之前认为的要少得多;换句话说,不良事件是97%的抵押贷款违约的必要条件。尽管这一发现与标准模型的预测形成鲜明对比,但我们表明,它可以在具有高私人抵押贷款违约成本的模型中合理化。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Why Do Borrowers Default on Mortgages? A New Method for Causal Attribution
There are two prevailing theories of borrower default: strategic default—when debt is too high relative to the value of the house—and adverse life events—such that the monthly payment is too high relative to available resources. It has been challenging to test between these theories in part because adverse events are measured with error, possibly leading to attenuation bias. We develop a new method for addressing this measurement error using a comparison group of borrowers with no strategic default motive: borrowers with positive home equity. We implement the method using high-frequency administrative data linking income and mortgage default. Our central finding is that only 3 percent of defaults are caused exclusively by negative equity, much less than previously thought; in other words, adverse events are a necessary condition for 97 percent of mortgage defaults. Although this finding contrasts sharply with predictions from standard models, we show that it can be rationalized in models with a high private cost of mortgage default.
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