IDEAS home Printed from https://ideas.repec.org/a/bla/reesec/v28y2000i4p581-621.html
   My bibliography  Save this article

Mortgage Lending, Sample Selection and Default

Author

Listed:
  • Stephen L Ross

Abstract

Traditional models of mortgage default suffer from sample-selection bias because they do not control for the loan approval process. This paper estimates a sample-selection-corrected default model using the 1990 Boston Federal Reserve loan application sample and the 1992 Federal Housing Authority (FHA) foreclosure sample. A single-equation FHA default model appears to suffer from substantial selection bias, but the bias primarily arises from the omission of credit history and other variables that are only in the application sample. Therefore, default models that contain detailed information on applicants may not suffer from substantial selection bias. Finally, a test for prejudice-based discrimination is developed and conducted, but the findings are inconclusive. Copyright American Real Estate and Urban Economics Association.

Suggested Citation

  • Stephen L Ross, 2000. "Mortgage Lending, Sample Selection and Default," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 28(4), pages 581-621.
  • Handle: RePEc:bla:reesec:v:28:y:2000:i:4:p:581-621
    as

    Download full text from publisher

    File URL: http://www.blackwell-synergy.com/doi/abs/
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Agier, Isabelle & Szafarz, Ariane, 2013. "Microfinance and Gender: Is There a Glass Ceiling on Loan Size?," World Development, Elsevier, vol. 42(C), pages 165-181.
    2. Diaz-Serrano, Luis, 2004. "Income Volatility and Residential Mortgage Delinquency: Evidence from 12 EU Countries," IZA Discussion Papers 1396, Institute for the Study of Labor (IZA).
    3. Ozhegov, Evgeniy, 2017. "Estimating the demand function for differentiated product with endogenous characteristics and heterogeneity of preferences: The case of mortgage loans," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 45, pages 93-115.
    4. Gary-Bobo, Robert J. & Larribeau, Sophie, 2003. "The Bank's Market Power and the Interest Rate Elasticity of Demand for Housing: An Econometric Study of Discrimination on French Mortgage Data," CEPR Discussion Papers 3745, C.E.P.R. Discussion Papers.
    5. Agata M. Lozinskaia & Evgeniy M. Ozhegov & Alexander M. Karminsky, 2016. "Discontinuity in Relative Credit Losses: Evidence from Defaults on Government-Insured Residential Mortgages," HSE Working papers WP BRP 55/FE/2016, National Research University Higher School of Economics.
    6. Diaz-Serrano, Luis, 2005. "Income volatility and residential mortgage delinquency across the EU," Journal of Housing Economics, Elsevier, vol. 14(3), pages 153-177, September.
    7. Moulton, Stephanie & Haurin, Donald R. & Shi, Wei, 2015. "An analysis of default risk in the Home Equity Conversion Mortgage (HECM) program," Journal of Urban Economics, Elsevier, vol. 90(C), pages 17-34.
    8. Dharmapala Dhammika & Ross Stephen L, 2004. "Racial Bias in Motor Vehicle Searches: Additional Theory and Evidence," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 3(1), pages 1-23, September.
    9. Stephen L. Ross, 2003. "What Is Known about Testing for Discrimination: Lessons Learned by Comparing across Different Markets," Working papers 2003-21, University of Connecticut, Department of Economics, revised Nov 2003.
    10. Ghent, Andra C. & Hernández-Murillo, Rubén & Owyang, Michael T., 2014. "Differences in subprime loan pricing across races and neighborhoods," Regional Science and Urban Economics, Elsevier, vol. 48(C), pages 199-215.
    11. Song Han, 2001. "On the Economics of Discrimination in Credit Markets," Finance and Economics Discussion Series 2002-02, Board of Governors of the Federal Reserve System (U.S.).
    12. Lozinskaia Agata & Ozhegov Evgeniy, 2016. "Key Determinants of Demand, Credit Underwriting, and Performance on Government-Insured Mortgage Loans in Russia," EERC Working Paper Series 16/03e, EERC Research Network, Russia and CIS.
    13. Lozinskaya, Agatha & Ozhegov, Evgeniy, 2014. "Estimation of mortgage lending credit risk," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 35(3), pages 3-17.
    14. Yan Zhang, 2013. "Fair Lending Analysis of Mortgage Pricing: Does Underwriting Matter?," The Journal of Real Estate Finance and Economics, Springer, vol. 46(1), pages 131-151, January.
    15. Evgeniy M. Ozhegov, 2014. "The Underwriting, Choice And Performance Of Government-Insured Mortgages In Russia," HSE Working papers WP BRP 31/FE/2014, National Research University Higher School of Economics.
    16. Song Han, 2011. "Creditor Learning and Discrimination in Lending," Journal of Financial Services Research, Springer;Western Finance Association, vol. 40(1), pages 1-27, October.

    More about this item

    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:bla:reesec:v:28:y:2000:i:4:p:581-621. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/areueea.html .

    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.

    We have no references for this item. You can help adding them by using 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.