Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/336299 
Erscheinungsjahr: 
2020
Quellenangabe: 
[Journal:] Latin American Journal of Central Banking (LAJCB) [ISSN:] 2666-1438 [Volume:] 1 [Issue:] 1/4 [Article No.:] 100009 [Year:] 2020 [Pages:] 1-18
Verlag: 
Elsevier, Amsterdam
Zusammenfassung: 
This paper is aimed at finding individual and systemic determinants of housing default in a full-recourse economy. We propose an empirical strategy that accounts for rare events and choice-based sampling bias and estimates the contribution of idiosyncratic and systemic determinants, as well as their interactions. To support our empirical approach, we adapt and extend a well-known model of mortgage default for nonrecourse economies (Geanakoplos and Zame, 2014), adding a nonpecuniary cost for defaulting to account for possible loss of utility due to the full-recourse framework. This model applies to economies such as Spain, Australia, and Chile, where defaulters can be prosecuted until their debts are completely settled. Under the proposed model, we obtain an analytical expression involving default determinants for micro and macro mortgage loans. As a case study, we estimate this relationship for the Chilean economy using information from the Chilean Survey of Household Finance (EFH). As stated by our micro-macro model, household financial conditions and their interactions with systemic determinants account for an important part of the cross-sectional probability of mortgage default.
Schlagwörter: 
Credit market
Default
Full-recourse economy
Mortgage loan
Rare events
Survey data
JEL: 
C35
D53
E44
G21
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