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- W3196922193 abstract "This paper studies the spillover effect of home mortgage delinquencies using a discrete-choice spatial network model. In our empirical study, a main challenge in estimating this model is that mortgage repayment decisions can only be observed for a sample of all the borrowers in the study region. We show that the nested pseudolikelihood (NPL) algorithm can be readily modified to accommodate this missing data issue. Monte Carlo simulations indicate that the proposed estimator works well in finite samples and ignoring this issue leads to a downward bias in the estimated spillover effect. We estimate the model using data on single-family residential mortgage delinquencies in Clark County of Nevada in 2010, and find strong evidence of spillover effects. We also conduct some counterfactual experiments to illustrate the policy relevance of the spillover effect." @default.
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- W3196922193 date "2021-01-01" @default.
- W3196922193 modified "2023-09-27" @default.
- W3196922193 title "Estimation of Spillover Effects in Home Mortgage Delinquencies with Sampled Loan Performance Data" @default.
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- W3196922193 doi "https://doi.org/10.2139/ssrn.3901990" @default.
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