IDEAS home Printed from https://ideas.repec.org/a/bla/reesec/v19y1991i4p473-494.html
   My bibliography  Save this article

Modelling Mortgage Terminations in Turbulent Times

Author

Listed:
  • Richard L. Cooperstein
  • F. Stevens Redburn
  • Harry G. Meyers

Abstract

Techniques used to predict mortgage defaults during a relatively stable period proved less successful during the turbulent financial cycle of the early 1980s. An alternative specification of the relationship between defaults, homeowner equity, and interest‐rate movements better captures the effect of interest rates on default probability. Results confirm the powerful effect of equity on mortgage defaults and the strong, but asymmetric, influence of interest rates on both defaults and prepayments. The new specification allows direct measurement of the interest‐rate effect on defaults, distinguishing the effect when rates rise or fall.

Suggested Citation

  • Richard L. Cooperstein & F. Stevens Redburn & Harry G. Meyers, 1991. "Modelling Mortgage Terminations in Turbulent Times," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 19(4), pages 473-494, December.
    • Handle: RePEc:bla:reesec:v:19:y:1991:i:4:p:473-494
    DOI: 10.1111/1540-6229.00563
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1540-6229.00563
    Download Restriction: no
    File URL: https://libkey.io/10.1111/1540-6229.00563?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Peter J. Elmer, 1992. "PLAM Default Risk," Journal of Real Estate Research, American Real Estate Society, vol. 7(2), pages 157-168.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    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:bla:reesec:v:19:y:1991:i:4:p:473-494. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using this form .

    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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/areueea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.