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Modelling and Forecasting UK Mortgage Arrears and Possessions.

Abstract:

This paper presents new models for aggregate UK data on mortgage possessions (foreclosures) and mortgage arrears (payment delinquencies). The innovations include the treatment of difficuly to observe variations in loan quality and shifts in forbearance policy by lenders, by common latent variables estimated in a system of equations for arrears and possessions, for quarterly data over 1983-2009. A second innovation is the theory-justified use of an estimate of the proportion of mortgages in ...

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Publisher:
Department of Economics (University of Oxford)
Series:
Discussion paper series
Publication date:
2010-08-01
Language:
English
UUID:
uuid:c7b417cb-2658-4a3b-8f07-2d55bb6158d8
Local pid:
oai:economics.ouls.ox.ac.uk:15001
Deposit date:
2011-08-16

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