A Dynamic Analysis of Mortgage Arrears in the UK Housing Market
Download full text from publisher
References listed on IDEAS
- Engle, Robert & Granger, Clive, 2015.
"Co-integration and error correction: Representation, estimation, and testing,"
Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
- Woodward, Susan E. & Weicher, John, 1989. "Goring the Wrong Ox: A Defense of the Mortgage Interest Deduction," National Tax Journal, National Tax Association;National Tax Journal, vol. 42(3), pages 301-313, September.
- Pain, Nigel & Westaway, Peter, 1997.
"Modelling structural change in the UK housing market: A comparison of alternative house price models,"
Elsevier, vol. 14(4), pages 587-610, October.
- Nigel Pain & Peter Westaway, 1996. "Modelling Structural Change In The UK Housing Market: A Comparison Of Alternative House Price Models," National Institute of Economic and Social Research (NIESR) Discussion Papers 98, National Institute of Economic and Social Research.
- Brookes, Martin & Dicks, Mike & Pradhan, Mahmood, 1994. "An empirical model of mortgage arrears and repossessions," Economic Modelling, Elsevier, vol. 11(2), pages 134-144, April.
- F J Breedon & M A S Joyce, 1993. "House prices, arrears and possessions: A three equation model for the UK," Bank of England working papers 14, Bank of England.
- Ortalo-Magne, Francois & Rady, Sven, 1999.
"Boom in, bust out: Young households and the housing price cycle,"
European Economic Review,
Elsevier, vol. 43(4-6), pages 755-766, April.
- Francois Ortalo-Magne & Sven Rady, 1998. "Boom In, Bust Out: Young Households and the Housing Price Cycle," Finance 9810004, University Library of Munich, Germany, revised 29 Oct 1998.
- Sven Rady, 1998. "Boom In, Bust Out: Young Households and the Housing Price Cycle," FMG Discussion Papers dp310, Financial Markets Group.
- Robert J. Shiller & Karl E. Case & Allan N. Weiss, 1995.
"Mortgage Default Risk and Real Estate Prices: The Use of Index-Based Futures and Options in Real Estate,"
Cowles Foundation Discussion Papers
1098, Cowles Foundation for Research in Economics, Yale University.
- Karl E. Case & Robert J. Shiller & Allan N. Weiss, 1995. "Mortgage Default Risk and Real Estate Prices: The Use of Index-Based Futures and Options in Real Estate," NBER Working Papers 5078, National Bureau of Economic Research, Inc.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- Patric H. Hendershott & Dr. Gwilyn Pryce & Dr. Michael White, 2002. "Household Leverage and the Deductibility of Home Mortgage Interest: Evidence from UK House Purchasers," NBER Working Papers 9207, National Bureau of Economic Research, Inc.
- Jeremy C. Stein, 1995. "Prices and Trading Volume in the Housing Market: A Model with Down-Payment Effects," The Quarterly Journal of Economics, Oxford University Press, vol. 110(2), pages 379-406.
- Alex O. Williams & William Beranek & James Kenkel, 1974. "Default Risk in Urban Mortgages: A Pittsburgh Prototype Analysis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 2(2), pages 101-112.
- Devereux, Michael P. & Lanot, Gauthier, 2003. "Measuring tax incidence: an application to mortgage provision in the UK," Journal of Public Economics, Elsevier, vol. 87(7-8), pages 1747-1778, August.
- Böheim, René & Taylor, Mark P, 2000. "Unemployment Duration and Exit States in Britain," CEPR Discussion Papers 2500, C.E.P.R. Discussion Papers.
- Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-228, August.
- Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003.
"Testing for unit roots in heterogeneous panels,"
Journal of Econometrics,
Elsevier, vol. 115(1), pages 53-74, July.
- Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
- Tom Doan, "undated". "IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test," Statistical Software Components RTS00098, Boston College Department of Economics.
- Miles, David K, 1993. "House Prices, Personal Sector Wealth and Consumption: Some Conceptual and Empirical Issues," The Manchester School of Economic & Social Studies, University of Manchester, vol. 61(0), pages 35-59, Suppl..
- Woodward, Susan E. & Weicher, John, 1989. "Goring the Wrong Ox: A Defense of the Mortgage Interest Deduction," National Tax Journal, National Tax Association, vol. 42(3), pages 301-13, September.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244.
- Peter Kennedy, 2003. "A Guide to Econometrics, 5th Edition," MIT Press Books, The MIT Press, edition 5, volume 1, number 026261183x.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Janine Aron & John Muellbauer, 2010.
"Modelling and Forecasting UK Mortgage Arrears and Possessions,"
Economics Series Working Papers
499, University of Oxford, Department of Economics.
- Janine Aron & John Muellbauer, 2010. "Modelling and Forecasting UK Mortgage Arrears and Possessions," SERC Discussion Papers 0052, Spatial Economics Research Centre, LSE.
- Aron, Janine & Muellbauer, John, 2010. "Modelling and forecasting UK mortgage arrears and possessions," LSE Research Online Documents on Economics 58520, London School of Economics and Political Science, LSE Library.
- Aron, Janine & Muellbauer, John, 2010. "Modelling and Forecasting UK Mortgage Arrears and Possessions," CEPR Discussion Papers 7986, C.E.P.R. Discussion Papers.
- Martín Vallcorba & Javier Delgado, 2007. "Determinantes de la morosidad bancaria en una economía dolarizada. El caso uruguayo," Working Papers 0722, Banco de España;Working Papers Homepage.
- Mitropoulos, Atanasios & Zaidi, Rida, 2009. "Relative indicators of default risk among UK residential mortgages," MPRA Paper 19619, University Library of Munich, Germany.
- Roberto Blanco & Ricardo Gimeno, 2012. "Determinants of default ratios in the segment of loans to households in Spain," Working Papers 1210, Banco de España;Working Papers Homepage.
- Crook, Jonathan & Banasik, John, 2012. "Forecasting and explaining aggregate consumer credit delinquency behaviour," International Journal of Forecasting, Elsevier, vol. 28(1), pages 145-160.
More about this item
Keywordsmortgage arrears; housing market; cointegration;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- R21 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Housing Demand
- R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets
StatisticsAccess and download statistics
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:wpa:wuwpur:0509006. 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: (EconWPA). General contact details of provider: https://econwpa.ub.uni-muenchen.de .
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.
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.