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Precancelaciones hipotecarias en Argentina: evidencias empíricas a partir de modelos de duración

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  • Mariano Selvaggi

    (University of Bristol (UK) - Universidad Argentina de la Empresa (Argentina))

Abstract

The expansion of the Argentinean mortgage market has triggered diverse economic studies, not only theoretical but also empirical. However, the behaviour of prepayments has so far remained practically unexplored. This paper thus presents a brief theoretical review of the subject and empirical estimations of duration models based on loans of Banco Hipotecario S.A. Among accelerated failure time models with constant covariates, it could be found that a convex Weibull hazard function, exhibiting positive duration dependence, showed the best fit. The estimation of proportional hazards models, which also incorporated dynamic covariates into the regressions, furthermore allowed us to identify prepayment responses to the Country Risk and to refinancing incentives, as well as Burnout type behaviours.

Suggested Citation

  • Mariano Selvaggi, 2002. "Precancelaciones hipotecarias en Argentina: evidencias empíricas a partir de modelos de duración," Económica, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 0(1-2), pages 89-119, January-D.
  • Handle: RePEc:lap:journl:529
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    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • G2 - Financial Economics - - Financial Institutions and Services

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