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作者

来源

REGIONAL SCIENCE AND URBAN ECONOMICS,Vol.73,P.68-82

语言

英文

关键字

Discrete choices; Key player analysis; Mortgage defaults; Spatial networks; Rational expectations; SEQUENTIAL ESTIMATION; FORECLOSURE; MODELS; PROPERTY; NETWORK; CHOICE; SALES

作者单位

[Chomsisengphet, Souphala] Off Comptroller Currency, Washington, DC USA. [Liu, Xiaodong] Univ Colorado, Boulder, CO 80309 USA. [Kiefer, Hua] Fed Deposit Insurance Corp, Washington, DC USA. Liu, XD (reprint author), Univ Colorado, Boulder, CO 80309 USA. E-Mail: Souphala.Chomsisengphet@occ.treas.gov; HKiefer@fdic.gov; Xiaodong.Liu@colorado.edu

摘要

This paper investigates spillover effects of mortgage defaults in the neighborhood on a homeowner's default decision. Following the interactions-based model of discrete choices in Lee et al. (2014), we explicitly model a homeowner's default decision as a function of predetermined risk factors as well as rational expectations on her neighbors' default decisions and find strong empirical evidence of spillover effects in forms of time-lagged "contagion effects" and contemporaneous "multiplier effects". Furthermore, the estimated model can be used to identify the "power neighbor" through whom a foreclosure prevention policy can generate the largest impact on a neighborhood. Compared to other homeowners, the "power neighbor" on average has less neighbors that defaulted in the past, a less risky loan, a smaller payment size, a higher credit score, and a more central location in the neighborhood.