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Shuang Zhu, R. Pace (2011)
Modeling Spatially Interdependent Mortgage DecisionsThe Journal of Real Estate Finance and Economics, 49
Bryan Noeth, Rajdeep Sengupta (2011)
A closer look at house price indexesThe Regional Economist
Saul Adelman, Mark Cross, David Shrider (2010)
Why Do Homeowners Make Mortgage Curtailment PaymentsJournal of Housing Research, 19
Che-Chun Lin, Tyler Yang (2005)
Curtailment as a mortgage performance indicatorJournal of Housing Economics, 14
M. Bailey, R. Muth, Hugh Nourse (1963)
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Mark Billings (2010)
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Che-Chun Lin, Ting-Heng Chu, Laurie Prather, Perry Wang (2004)
Mortgage Curtailment and Default
Shuang Zhu, R. Pace, Walter Morales (2011)
Using Housing Futures in Mortgage ResearchThe Journal of Real Estate Finance and Economics, 48
(2010)
National Delinquency Survey, Third Quarter
K. Case, R. Shiller (1987)
Prices of Single Family Homes Since 1970: New Indexes for Four CitiesReal Estate
P. Lawler, Robin Seiler (2008)
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Christopher Foote, Kristopher Gerardi, L. Goette, P. Willen (2009)
Reducing ForeclosuresCorporate Governance: Social Responsibility & Social Impact eJournal
Eric Ghysels, Alberto Plazzi, W. Torous, Rossen Valkanov (2012)
Forecasting Real Estate PricesEconometric Modeling: Microeconometric Studies of Health
Existing price indices are based on real estate sales. This approach encounters problems when (1) sales are infrequent or (2) when these differ systematically from the overall market (selection bias). Relative to the number of properties sold on the market, a much greater number of properties have borrowers who need to make monthly mortgage payment decisions. Therefore, each month borrowers cast a vote of confidence or no confidence in their price relative to the loan balance. Based on this behavior, we invert the relation between mortgage performance and prices to derive a latent price index. Using a large sample of individual mortgages across the 10 cities investigated, the latent index in each city has a high correlation with the respective Case-Shiller index. In addition, the latent index is partially explained by the housing expectations (derived from futures on the respective Case-Shiller index) which indicates that it is not a purely reactive measure. Overall the results show that the latent index has potential to boost information resources for tracking the important real estate sector.
The Journal of Real Estate Finance and Economics – Springer Journals
Published: Oct 26, 2015
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