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Industrial Real Estate Mortgage Default Experience of the New York State Job Development Authority Second Loan Program: A Preliminary Investigation

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  • Robert A. Simons

Abstract

This paper explores the loan loss experience of a public industrial lending authority, employing contemporaneous borrower net equity as a link to mortgage loan default. The relationship between default, net equity and bankruptcy is tested on a small longitudinal data set of loans using nonparametric statistics and a proportional hazard model. Results show that negative net equity and firm bankruptcy are strongly associated with default among the study population. Further, the borrowers studied did not exercise the put option promptly, suggesting potential benefits from monitoring net equity one year or more prior to default. Copyright American Real Estate and Urban Economics Association.

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  • Robert A. Simons, 1994. "Industrial Real Estate Mortgage Default Experience of the New York State Job Development Authority Second Loan Program: A Preliminary Investigation," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 22(4), pages 631-646.
  • Handle: RePEc:bla:reesec:v:22:y:1994:i:4:p:631-646
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    References listed on IDEAS

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    1. Joe Peek & James A. Wilcox, 1991. "The Measurement and Determinants of Single-Family House Prices," Real Estate Economics, American Real Estate and Urban Economics Association, pages 353-382.
    2. Ozanne, Larry & Thibodeau, Thomas, 1983. "Explaining metropolitan housing price differences," Journal of Urban Economics, Elsevier, vol. 13(1), pages 51-66, January.
    3. Patric H. Hendershott & Thomas G. Thibodeau, 1990. "The Relationship between Median and Constant Quality House Prices: Implications for Setting FHA Loan Limits," Real Estate Economics, American Real Estate and Urban Economics Association, pages 323-334.
    4. Hendershott, Patric H & Peek, Joe, 1992. "Treasury Bill Rates in the 1970s and 1980s," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 24(2), pages 195-214, May.
    5. Case, Karl E & Shiller, Robert J, 1989. "The Efficiency of the Market for Single-Family Homes," American Economic Review, American Economic Association, pages 125-137.
    6. Karl E. Case & Robert J. Shiller, 1990. "Forecasting Prices and Excess Returns in the Housing Market," Real Estate Economics, American Real Estate and Urban Economics Association, pages 253-273.
    7. H. Leroy Gill & Donald R. Haurin, 1991. "User Cost and the Demand for Housing Attributes," Real Estate Economics, American Real Estate and Urban Economics Association, pages 383-396.
    8. Gabriel, Stuart A. & Shack-Marquez, Janice & Wascher, William L., 1993. "Does migration arbitrage regional labor market differentials?," Regional Science and Urban Economics, Elsevier, vol. 23(2), pages 211-233, April.
    9. Case, Karl E & Shiller, Robert J, 1989. "The Efficiency of the Market for Single-Family Homes," American Economic Review, American Economic Association, pages 125-137.
    10. Winkler, Anne E., 1992. "The impact of housing costs on the living arrangements of single mothers," Journal of Urban Economics, Elsevier, vol. 32(3), pages 388-403, November.
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