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Liquidity Problems and Early Payment Default among Subprime Mortgages
The Review of Economics and Statistics ( IF 6.481 ) Pub Date : 2016-12-01 , DOI: 10.1162/rest_a_00610
Nathan B. Anderson , Jane K. Dokko

We compare the twelve-month default probability among subprime borrowers differing only in the number of months before their first lump-sum property tax payment, after which time they may be exposed to reduced liquidity. We show that borrowers with an earlier property tax bill—within three months of origination—have 2% to 6% higher first-year default rates than borrowers facing their first property tax bill ten to twelve months after origination. Lump-sum property tax payments appear to produce a persistent state of low liquidity, the length of which raises the likelihood of default. These results are about one-third the effect size of a transition from 10% positive to 20% negative equity found in the literature. This paper provides causal evidence that liquidity constraints are important predictors of mortgage default.

中文翻译:

次级抵押贷款中的流动性问题和提前还款违约

我们比较次贷借款人十二个月的违约概率,不同之处仅在于第一次支付一次性财产税之前的月数不同,此后他们可能面临流动性下降的风险。我们显示,在发起三个月之内拥有较早财产税法案的借款人,其第一年违约率要比在发起之后十到十二个月面临其第一份财产税法案的借款人高2%至6%。一次性缴纳的财产税似乎会导致持续的低流动性状态,其持续时间增加了违约的可能性。这些结果大约是文献中从10%的正资产向20%的负资产过渡的影响规模的三分之一。本文提供了因果证据,表明流动性约束是抵押贷款违约的重要预测因子。
更新日期:2016-12-01
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