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http://ssrn.com/abstract=1948569
 
 

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The Role of Neighborhood Characteristics in Mortgage Default Risk: Evidence from New York City


Sewin Chan


New York University (NYU) - Robert F. Wagner Graduate School of Public Service

Michael Gedal


New York University - Robert F. Wagner Graduate School of Public Service

Vicki Been


New York University School of Law

Andrew Haughwout


Federal Reserve Bank of New York

October 24, 2011

NYU Law and Economics Research Paper No. 11-36

Abstract:     
Using a rich database of non-prime mortgages from New York City, we find that census tract level neighborhood characteristics are important predictors of default behavior, even after controlling for an extensive set of controls for loan and borrower characteristics. First, default rates increase with the rate of foreclosure notices and the number of lender-owned properties (REOs) in the tract. Second, default rates on home purchase mortgages are higher in census tracts with larger shares of black residents, regardless of the borrower’s own race. We explore possible explanations for this second finding and conclude that it likely reflects differential treatment of black neighborhoods by the mortgage industry in ways that are unobserved in our data.

Number of Pages in PDF File: 48

Keywords: mortgage, default, neighborhoods, race

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Date posted: October 24, 2011  

Suggested Citation

Chan, Sewin and Gedal, Michael and Been, Vicki and Haughwout, Andrew, The Role of Neighborhood Characteristics in Mortgage Default Risk: Evidence from New York City (October 24, 2011). NYU Law and Economics Research Paper No. 11-36. Available at SSRN: http://ssrn.com/abstract=1948569 or http://dx.doi.org/10.2139/ssrn.1948569

Contact Information

Sewin Chan (Contact Author)
New York University (NYU) - Robert F. Wagner Graduate School of Public Service ( email )
The Puck Building
295 Lafayette Street, Second Floor
New York, NY 10012
United States

Michael Gedal
New York University - Robert F. Wagner Graduate School of Public Service ( email )
New York, NY 10012
United States
Vicki Been
New York University School of Law ( email )
40 Washington Square South
New York, NY 10012-1099
United States
212-998-6223 (Phone)
212-995-4341 (Fax)
Andrew F. Haughwout
Federal Reserve Bank of New York ( email )
33 Liberty Street
New York, NY 10045
United States
212-720-2685 (Phone)
212-720-1844 (Fax)
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