The Delinquency of Subprime Mortgages
FRB of St. Louis Working Paper No. 2005-022A
40 Pages Posted: 28 Jul 2005
Date Written: March 2005
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: Suggested Citation