Underwater mortgages and mortgage default risk in a recourse market
Underwater mortgages and mortgage default risk in a recourse market
Underwater mortgages and mortgage default risk in a recourse market
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Estimation results<br />
Results<br />
<strong>default</strong> probability: duration<br />
Variabele Coef. Std. Error z<br />
Equity -5.573 0.068 -81.44<br />
dCPI -7.478 0.721 -10.37<br />
cWPI -9.849 0.268 -36.8<br />
UnemL2 23.61 0.504 46.9<br />
Duration=1 -2.353 0.111 -21.19<br />
Duration 1.152 0.019 59.2<br />
Duration 2 -0.086 0.002 -44.58<br />
Duration 3 0.0027 0.0001 47.21<br />
Constante -11.45 0.075 -153.6<br />
Number of observations 34519041<br />
Wald chi2(8) 16283.52<br />
Prob > chi 2 0<br />
Pseudo R 2 0.1201<br />
Log-likelihood -123401.06<br />
Schilder & Francke (UvA/ASRE/Ortec) <strong>Underwater</strong> <strong><strong>mortgage</strong>s</strong>/<strong>mortgage</strong> <strong>default</strong> <strong>risk</strong> ERES 2012 24 / 36
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