The Duration of Foreclosures in the Subprime Mortgage Market: A Competing Risks Model with Mixing |
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Authors: | Anthony Pennington-Cross |
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Institution: | (1) Department of Finance, Marquette University, Straz Hall, 328, P.O. Box 1881, Milwaukee, WI 53201-1881, USA |
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Abstract: | This paper examines what happens to mortgages in the subprime mortgage market once foreclosure proceeding are initiated. A
multinomial logit model that allows for the interdependence of the possible outcomes or risks (cure, partial cure, paid off,
and real estate owned) through the correlation of associated unobserved heterogeneities is estimated. The results show that
the duration of foreclosures is impacted by many factors including contemporaneous housing market conditions, the prior performance
of the loan (prior delinquency), and the state-level legal environment. |
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Keywords: | |
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