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The delinquency of subprime mortgages

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  • Michelle A. Danis
  • Anthony Pennington-Cross

Abstract

This paper focuses on understanding the determinants of the performance of subprime mortgages. A growing body of literature recognizes the substantial lag between the time that a borrower stops making payments on a mortgage and the termination of the loan. The duration of this lag and the method by which the delinquency is ultimately terminated play a critical role in the costs borne by both borrower and lender. Using nested and multinomial logit, we find that delinquency and default are sensitive to current economic conditions and housing markets. Credit scores and loan characteristics also play important roles.

Suggested Citation

  • Michelle A. Danis & Anthony Pennington-Cross, 2005. "The delinquency of subprime mortgages," Working Papers 2005-022, Federal Reserve Bank of St. Louis.
  • Handle: RePEc:fip:fedlwp:2005-022
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    References listed on IDEAS

    as
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    Keywords

    Mortgages; Subprime mortgage;

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