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An empirical characterization of mortgage default in Colombia between 1997 and 2004

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  • Juan Esteban Carranza
  • Dairo Estrada

Abstract

This paper examines the relationship between mortgage default decisions and relevant observable variables under the light of a random utility model. The focus of the study is the Colombian mortgage market between 1997 and 2004 using two separate data sets that are matched using simulation techniques. The estimation allows the computation of mortgage default probabilities that are directly related to an underlying model of optimal default. Results are sharp and indicate that variation in current income has little effect on mortgage default, compared to housing prices and mortgage balances.

Suggested Citation

  • Juan Esteban Carranza & Dairo Estrada, 2007. "An empirical characterization of mortgage default in Colombia between 1997 and 2004," Borradores de Economia 450, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:borrec:450
    DOI: 10.32468/be.450
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    References listed on IDEAS

    as
    1. Rust, John, 1987. "Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher," Econometrica, Econometric Society, vol. 55(5), pages 999-1033, September.
    2. Julio Escobar & Carlos Huertas & Dora Alicia Mora & José Vicente Romero, 2006. "Indice De Precios De La Vivienda Usada En Colombia -Ipvu-Método De Ventas Repetidas," Borradores de Economia 2837, Banco de la Republica.
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    Cited by:

    1. Patrick Bajari & Chenghuan Sean Chu & Minjung Park, 2008. "An Empirical Model of Subprime Mortgage Default From 2000 to 2007," NBER Working Papers 14625, National Bureau of Economic Research, Inc.
    2. Salvador Navarro & Juan Esteban Carranza, 2008. "An empirical dynamic model of mortgage default in Colombia between 1997 and 2004," 2008 Meeting Papers 269, Society for Economic Dynamics.

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    More about this item

    Keywords

    Banking; Location; Competition; Colombia.;
    All these keywords.

    JEL classification:

    • D4 - Microeconomics - - Market Structure, Pricing, and Design
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • L13 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Oligopoly and Other Imperfect Markets
    • R12 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Size and Spatial Distributions of Regional Economic Activity; Interregional Trade (economic geography)

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