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Estimating Loan-to-Value and Foreclosure Behavior / Arthur Korteweg, Morten Sorensen.
- Format:
- Book
- Author/Creator:
- Korteweg, Arthur.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w17882.
- NBER working paper series no. w17882
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2012.
- Summary:
- We develop and estimate a unified model of house prices, loan-to-value ratios (LTVs), and trade and foreclosure behavior. House prices are only observed for traded properties, and trades are endogenous, creating sample-selection problems for traditional estimators. We develop a Bayesian filtering procedure to recover the price path for each individual property and produce selection-corrected estimates of historical LTVs and foreclosure behavior, both showing large unprecedented changes since 2007. Our model reduces the index revision problem by nearly half, and has applications in economics and finance (e.g., pricing mortgage-backed securities).
- Notes:
- Print version record
- March 2012.
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