TY - JOUR
T1 - Delinquencies, Default and Borrowers' Strategic Behavior toward the Modification of Commercial Mortgages
AU - Buschbom, Stephen L.
AU - Kau, James B.
AU - Keenan, Donald C.
AU - Lyubimov, Constantine
N1 - Publisher Copyright:
© 2018 American Real Estate and Urban Economics Association.
PY - 2021/9/1
Y1 - 2021/9/1
N2 - This article constructs a model of mortgage delinquency which tests the extent to which borrowers anticipate a loan modification resulting from such a delinquency. Using a sample of modified loans from commercial mortgage-backed securities (CMBS), we estimate the present value of modified cash flows and project modification benefits each month for all CMBS loans which serve to proxy for a borrower's anticipation of a beneficial modification. Our results confirm a borrower's anticipation of a modification increases the delinquency hazard, and supports the theory that borrower delinquency is strategically endogenous.
AB - This article constructs a model of mortgage delinquency which tests the extent to which borrowers anticipate a loan modification resulting from such a delinquency. Using a sample of modified loans from commercial mortgage-backed securities (CMBS), we estimate the present value of modified cash flows and project modification benefits each month for all CMBS loans which serve to proxy for a borrower's anticipation of a beneficial modification. Our results confirm a borrower's anticipation of a modification increases the delinquency hazard, and supports the theory that borrower delinquency is strategically endogenous.
UR - http://www.scopus.com/inward/record.url?scp=85044459349&partnerID=8YFLogxK
U2 - 10.1111/1540-6229.12237
DO - 10.1111/1540-6229.12237
M3 - Article
AN - SCOPUS:85044459349
SN - 1080-8620
VL - 49
SP - 936
EP - 967
JO - Real Estate Economics
JF - Real Estate Economics
IS - 3
ER -