Determinants and consequences of mortgage default
AbstractWe study a unique data set of borrower-level credit information from TransUnion, one of the three major credit bureaus, which is linked to a database containing detailed information on the borrowers’ mortgages. We find that the updated credit score is an important predictor of mortgage default in addition to the credit score at origination. However, the 6-month change in the credit score also predicts default: A positive change in the credit score significantly reduces the probability of delinquency or foreclosure. Next, we analyze the consequences of default on a borrower’s credit score. The credit score drops on average 51 points when a borrower becomes 30-days delinquent on his mortgage, but the effect is much more muted for transitions to more severe delinquency states and even foreclosure.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Federal Reserve Bank of Cleveland in its series Working Paper with number 1019.
Date of creation: 2010
Date of revision:
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Daniel Roesch & Harald Scheule, 2011.
"Securitization Rating Performance and Agency Incentives,"
182011, Hong Kong Institute for Monetary Research.
- Daniel Rösch & Harald Scheule, 2011. "Securitization rating performance and agency incentives," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 287-314 Bank for International Settlements.
- Campbell, John Y. & Cocco, João F., 2014.
"A model of mortgage default,"
CFS Working Paper Series
452, Center for Financial Studies (CFS).
- Luigi Guiso & Paolo Sodini, 2012.
"Household Finance. An Emerging Field,"
EIEF Working Papers Series
1204, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2012.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lee Faulhaber).
If references are entirely missing, you can add them using this form.