The Delinquency of Subprime Mortgages

FRB of St. Louis Working Paper No. 2005-022A

40 Pages Posted: 28 Jul 2005

See all articles by Michelle A. Danis

Michelle A. Danis

Government of the United States of America - Office of Federal Housing Enterprise Oversight

Anthony Pennington-Cross

Marquette University - Dept. of Finance

Date Written: March 2005

Abstract

This paper focuses on understanding the determinants of the performance of subprime mortgages. A growing body of literature recognizes the substantial lag between the time that a borrower stops making payments on a mortgage and the termination of the loan. The duration of this lag and the method by which the delinquency is ultimately terminated play a critical role in the costs borne by both borrower and lender. Using nested and multinomial logit, we find that delinquency and default are sensitive to current economic conditions and housing markets. Credit scores and loan characteristics also play important roles.

Keywords: Mortgages, Subprime, Delinquency

JEL Classification: G21, C25

Suggested Citation

Danis, Michelle A. and Pennington-Cross, Anthony N., The Delinquency of Subprime Mortgages (March 2005). FRB of St. Louis Working Paper No. 2005-022A. Available at SSRN: https://ssrn.com/abstract=761804 or http://dx.doi.org/10.2139/ssrn.761804

Michelle A. Danis (Contact Author)

Government of the United States of America - Office of Federal Housing Enterprise Oversight ( email )

1700 G Street NW
Washington, DC 20552
United States

Anthony N. Pennington-Cross

Marquette University - Dept. of Finance ( email )

P.O. Box 1881
Milwaukee, WI 53201-1881
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
651
Abstract Views
3,871
rank
39,057
PlumX Metrics