Mortgage loss-given-default (LGD) increased significantly when house prices plummeted during the financial crisis; but it has remained over 40% in recent years despite a strong housing recovery. Our results indicate that the sustained high LGDs postcrisis is due to a combination of an overhang of crisis-era foreclosures and prolonged liquidation timelines, which have offset higher sales recoveries. Simulations show that cutting foreclosure timelines by 1 year would cause LGD to decrease by 5–8 percentage points, depending on the trade-off between lower liquidation expenses and lower sales recoveries. Using difference-in-differences tests, we also find that recent consumer protection programs have extended foreclosure timelines and increased loss severities in spite of their potential benefits of increasing loan modifications and enhancing consumer protections.

中文翻译：

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抵押贷款损失严重程度：是什么让它们如此之高？

金融危机期间房价暴跌时，抵押贷款违约损失率（LGD）显着增加；尽管房地产复苏强劲，但近年来仍保持在 40% 以上。我们的结果表明，危机后持续的高 LGD 是由于危机时期的止赎和清算时间延长，抵消了更高的销售复苏。模拟表明，将止赎时间缩短 1 年将导致 LGD 减少 5 到 8 个百分点，这取决于较低的清算费用和较低的销售回收率之间的权衡。使用差异检验，