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Identifying the Effect of Securitization on Foreclosure and Modification Rates Using Early-Payment DefaultsManuel AdelinoDuke University - Fuqua School of Business Kristopher GerardiFederal Reserve Bank of Atlanta Paul WillenFederal Reserve Bank of Boston - Research Department; National Bureau of Economic Research (NBER) April 1, 2013 Federal Reserve Bank of Atlanta Working Paper Series No. 2010-8 Abstract: This paper develops and estimates an instrumental variables strategy for identifying the causal effect of securitization on the incidence of mortgage modification and foreclosure based on the early-payment default analysis performed by Piskorsi, Seru, and Vig (2010). Estimation results show that securitized mortgages are more likely to be modified and less likely to be foreclosed on by servicers. These results are consistent with the interpretation in Adelino et al. (2013) that low modification rates are not the result of contract frictions inherent in the mortgage securitization process.
Number of Pages in PDF File: 28 Keywords: foreclosure, mortgage, house prices JEL Classification: D11, D12, G21 working papers seriesDate posted: May 6, 2010 ; Last revised: April 2, 2013Suggested CitationContact Information
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