Abstract

http://ssrn.com/abstract=1699783
 
 

References (28)



 
 

Citations (6)



 


 



Determinants and Consequences of Mortgage Default


Yuliya S. Demyanyk


Federal Reserve Bank of Cleveland

Ralph S. J. Koijen


London Business School - Department of Finance; National Bureau of Economic Research (NBER)

Otto Van Hemert


New York University (NYU) - Department of Finance

January 19, 2011

FRB of Cleveland Working Paper No. 10-19R

Abstract:     
We study a unique data set of borrower-level credit information from TransUnion, one of the three major credit bureaus, which is linked to a database containing detailed information on the borrowers’ mortgages. We find that the updated credit score is an important predictor of mortgage default in addition to the credit score at origination. However, the 6-month change in the credit score also predicts default: A positive change in the credit score significantly reduces the probability of delinquency or foreclosure. Next, we analyze the consequences of default on a borrower’s credit score. The credit score drops on average 51 points when a borrower becomes 30-days delinquent on his mortgage, but the effect is much more muted for transitions to more severe delinquency states and even for foreclosure.

Number of Pages in PDF File: 42

working papers series


Download This Paper

Date posted: October 30, 2010 ; Last revised: March 30, 2011

Suggested Citation

Demyanyk, Yuliya S. and Koijen, Ralph S. J. and Van Hemert, Otto, Determinants and Consequences of Mortgage Default (January 19, 2011). FRB of Cleveland Working Paper No. 10-19R. Available at SSRN: http://ssrn.com/abstract=1699783 or http://dx.doi.org/10.2139/ssrn.1699783

Contact Information

Yuliya Demyanyk (Contact Author)
Federal Reserve Bank of Cleveland ( email )
Research Department
East 6th & Superior
Cleveland, OH 44101-1387
United States
HOME PAGE: http://www.clevelandfed.org/Research/Economists/Demyanyk
Ralph S. J. Koijen
London Business School - Department of Finance ( email )
Sussex Place
Regent's Park
London NW1 4SA
United Kingdom
National Bureau of Economic Research (NBER) ( email )
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Otto Van Hemert
New York University (NYU) - Department of Finance ( email )
Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
Feedback to SSRN


Paper statistics
Abstract Views: 2,295
Downloads: 296
Download Rank: 17,331
References:  28
Citations:  6

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo2 in 0.516 seconds