Risky Borrowers or Risky Mortgages Disaggregating Effects Using Propensity Score Models
AbstractIn this research, we examine the relative risk of subprime mortgages and a sample of community reinvestment loans originated through the Community Advantage Program (CAP). Using the propensity score matching method, we construct a sample of comparable borrowers with similar risk characteristics but holding the two different loan products. We find that the sample of community reinvestment loans have a lower default risk than subprime loans, very likely because they are not originated by brokers and lack risky features such as adjustable rates and prepayment penalties. Results suggest that similar borrowers holding more sustainable products exhibit significantly lower default risks.
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Bibliographic InfoArticle provided by American Real Estate Society in its journal journal of Real Estate Research.
Volume (Year): 33 (2011)
Issue (Month): 2 ()
Contact details of provider:
Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
Web page: http://www.aresnet.org/
Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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- Chan, Sewin & Gedal, Michael & Been, Vicki & Haughwout, Andrew, 2013.
"The role of neighborhood characteristics in mortgage default risk: Evidence from New York City,"
Journal of Housing Economics,
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- Chan, Sewin & Gedal, Michael & Been, Vicki & Haughwout, Andrew, 2011. "The role of neighborhood characteristics in mortgage default risk: evidence from New York City," MPRA Paper 33941, University Library of Munich, Germany.
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