Abstract

We document changes in borrowers’ sensitivity to negative equity and show heightened borrower default propensity as a fundamental driver of crisis period mortgage defaults. Estimates of a time-varying coefficient competing risk hazard model reveal a marked run-up in the default option beta from 0.2 during 2003–06 to about 1.5 during 2012–13. Simulation of 2006 vintage loan performance shows that the marked upturn in the default option beta resulted in a doubling of mortgage default incidence. Panel data analysis indicates that much of the variation in default option exercise is associated with the local business cycle and consumer distress. Results also indicate elevated default propensities in sand states and among borrowers seeking a crisis-period Home Affordable Modification Program loan modification.

中文翻译：

---

金融危机及以后的违约期权行使*

摘要

我们记录了借款人对负资产敏感性的变化，并显示借款人违约倾向的升高是危机期间抵押贷款违约的基本驱动力。时变系数竞争风险危害模型的估计显示，默认选项beta的明显增加，从2003-06年的0.2上升到2012-13年的1.5左右。对2006年老式贷款表现的模拟显示，违约选择权beta的明显回升导致抵押贷款违约发生率翻了一番。面板数据分析表明，默认选择权行使中的许多变化都与当地的商业周期和消费者苦恼相关。结果还表明，在沙州和寻求危机时期房屋可负担性修改计划贷款修改的借款人中，违约倾向较高。