Posted: 10 Nov 2009 Last revised: 16 Nov 2011
Date Written: November 9, 2009
This paper examines what happens to mortgages in the subprime mortgage market once foreclosure proceeding are initiated. A multinominial logit model that allows for the interdependence of the possible outcomes or risks (cure, partial cure, paid off, and real estate owned) through the correlation of associated unobserved heterogeneities is estimated. The results show that the duration of foreclosures is impacted by many factors including contemporaneous housing market conditions, the prior performance of the loan (prior delinquency), ad the state-level legal environment.
Keywords: mortgages, subprime, foreclosure
JEL Classification: D12, G12, G21, C25
Suggested Citation: Suggested Citation
Pennington-Cross, Anthony, The Duration of Foreclosures in the Subprime Mortgage Market: A Competing Risks Model with Mixing (November 9, 2009). Journal of Real Estate Finance and Economics, Vol. 40, No. 2, 2010. Available at SSRN: https://ssrn.com/abstract=1502857