IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/7535.html
   My bibliography  Save this paper

Defaults en carteras hipotecarias, macroeconomía y arreglos institucionales: Más allá de los modelos de Credit-Scoring tradicionales
[Mortgage defaults, macroeconomics, and institutional arrangements: Beyond the standard Credit Scoring]

Author

Listed:
  • Mermelstein, David A.

Abstract

This paper explores determinants of mortgage default, enlightening the transmission mechanisms between the economic cycle, institutional arrangements and the microeconomic event of individual default. It revises the scope and limitations of standard credit-scoring models, that is those generic classification models used by banks to discriminate good from bad debtors. Starting from a microeconomic model of mortgage default, it is shown that there will be some level of strategic defaults, even in a hypothetical world in which standard Credit-Scoring models work perfectly. That means a specification error in standard models, which only capture the solvency-tied fundamentals of repayment, but no the strategic ones triggered by macroeconomic and institutional factors. Some alternative methods and policy measures are suggested.

Suggested Citation

  • Mermelstein, David A., 2006. "Defaults en carteras hipotecarias, macroeconomía y arreglos institucionales: Más allá de los modelos de Credit-Scoring tradicionales [Mortgage defaults, macroeconomics, and institutional arrangemen," MPRA Paper 7535, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:7535
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/7535/1/MPRA_paper_7535.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Mark Schreiner, 2001. "A Scoring Model of the Risk of Costly Arrears at a Microfinance Lender in Bolivia," Development and Comp Systems 0109005, University Library of Munich, Germany.
    2. Padilla, A. Jorge & Pagano, Marco, 2000. "Sharing default information as a borrower discipline device," European Economic Review, Elsevier, vol. 44(10), pages 1951-1980, December.
    3. Mark Schreiner, 2001. "Credit Scoring for Microfinance: Can It Work?," Development and Comp Systems 0108003, University Library of Munich, Germany, revised 27 Dec 2001.
    4. Herrera, Santiago & Perry, Guillermo, 2001. "Tropical bubbles : asset prices in Latin America, 1980-2001," Policy Research Working Paper Series 2724, The World Bank.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Simplice A. Asongu & Nicholas M. Odhiambo, 2018. "Information asymmetry, financialization, and financial access," International Finance, Wiley Blackwell, vol. 21(3), pages 297-315, December.
    2. Christa Hainz, 2011. "Measuring Information Sharing in Credit Markets," ifo DICE Report, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 9(1), pages 21-27, 05.
    3. Beck, Thorsten & De Jonghe, Olivier & Schepens, Glenn, 2013. "Bank competition and stability: Cross-country heterogeneity," Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 218-244.
    4. Love, Inessa & Peria, Maria Soledad Martinez & Singh, Sandeep, 2013. "Collateral registries for movable assets : does their introduction spur firms'access to bank finance ?," Policy Research Working Paper Series 6477, The World Bank.
    5. Salvatore Piccolo & Giancarlo Spagnolo, 2014. "Debt, Managers and Cartels," CSEF Working Papers 365, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    6. Lehner, Maria & Schnitzer, Monika, 2008. "Entry of foreign banks and their impact on host countries," Journal of Comparative Economics, Elsevier, vol. 36(3), pages 430-452, September.
    7. Shusen Qi & Ralph De Haas & Steven Ongena & Stefan Straetmans & Tamas Vadasz, 2017. "Move a Little Closer? Information Sharing and the Spatial Clustering of Bank Branches," Swiss Finance Institute Research Paper Series 17-74, Swiss Finance Institute, revised Jun 2023.
    8. Ghosh, Saibal, 2019. "Loan delinquency in banking systems: How effective are credit reporting systems?," Research in International Business and Finance, Elsevier, vol. 47(C), pages 220-236.
    9. Hainz, Christa, 2009. "Creditor passivity: The effects of bank competition and institutions on the strategic use of bankruptcy filings," Journal of Comparative Economics, Elsevier, vol. 37(4), pages 582-596, December.
    10. Simplice A. Asongu & John C. Anyanwu & Vanessa S. Tchamyou, 2019. "Technology-driven information sharing and conditional financial development in Africa," Information Technology for Development, Taylor & Francis Journals, vol. 25(4), pages 630-659, October.
    11. Behr, Patrick & Sonnekalb, Simon, 2012. "The effect of information sharing between lenders on access to credit, cost of credit, and loan performance – Evidence from a credit registry introduction," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3017-3032.
    12. Guérineau, Samuel & Léon, Florian, 2019. "Information sharing, credit booms and financial stability: Do developing economies differ from advanced countries?," Journal of Financial Stability, Elsevier, vol. 40(C), pages 64-76.
    13. Asongu, Simplice & Anyanwu, John & Tchamyou, Vanessa, 2016. "Information sharing and conditional financial development in Africa," MPRA Paper 74653, University Library of Munich, Germany.
    14. Carlos Madeira, 2020. "The impact of information laws on consumer credit access: evidence from Chile," Working Papers Central Bank of Chile 873, Central Bank of Chile.
    15. Leonardo Gambacorta & Paolo Emilio Mistrulli, 2014. "Bank Heterogeneity and Interest Rate Setting: What Lessons Have We Learned since Lehman Brothers?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(4), pages 753-778, June.
    16. Gorton, Gary & Winton, Andrew, 2003. "Financial intermediation," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 8, pages 431-552, Elsevier.
    17. Degryse, Hans & Bouckaert, Jan, 2001. "Borrower Poaching and Information Display in Credit Markets," CEPR Discussion Papers 2936, C.E.P.R. Discussion Papers.
    18. De Nijs, Romain, 2017. "Behavior-based price discrimination and customer information sharing," International Journal of Industrial Organization, Elsevier, vol. 50(C), pages 319-334.
    19. de Janvry, Alain & McIntosh, Craig & Sadoulet, Elisabeth, 2010. "The supply- and demand-side impacts of credit market information," Journal of Development Economics, Elsevier, vol. 93(2), pages 173-188, November.
    20. Bouckaert, J.M.C. & Degryse, H.A., 2002. "Softening Competition by Enhancing entry : An Example from the Banking Industry," Other publications TiSEM 1cf58bbb-25a9-4e6e-a11f-8, Tilburg University, School of Economics and Management.

    More about this item

    Keywords

    mortgage default; credit scoring; credit markets; institutional arrangements;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:7535. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.