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Mortgage Default in Local Markets
Author(s) -
Capozza Dennis R.,
Kazarian Dick,
Thomson Thomas A.
Publication year - 1997
Publication title -
real estate economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.064
H-Index - 61
eISSN - 1540-6229
pISSN - 1080-8620
DOI - 10.1111/1540-6229.00731
Subject(s) - econometrics , economics , complement (music) , inference , default risk , sample (material) , database transaction , transaction cost , set (abstract data type) , actuarial science , financial economics , credit risk , microeconomics , computer science , biochemistry , chemistry , chromatography , artificial intelligence , complementation , programming language , gene , phenotype
Using recent theoretical advances and an extensive panel data set on metropolitan areas, this study provides new tests of the contingent claims based model of default. The empirical modeling incorporates a full complement of variables that permit direct tests of the options‐based model including the conditional effects of age and rent‐to‐price ratios. The role of transaction costs and trigger events is examined, and the results confirm the importance of both. The effects of aggregation and short sample periods are explored and demonstrated to affect inference in studies of mortgage default.