미국 주택담보대출 연체의 재해석

This study analyzes the probability of delinquency for 30-year-maturity conforming residential mortgages in the United States based on Freddie Mac’s Single Family Loan-Level Dataset. While we operationally define a defaulted loan as a loan that has been delinquent for more than 90 days, many researchers think of delinquency as a necessary stage in preparation for default. We re-interpret delinquency after reclassifying the delinquent loans group. We employ a bivariate binomial probit model with sample selection. This study finds that a negative equity level in collateral does not influence the first delinquency decision, while a seasonal dummy shows a statistically significant impact on the first delinquency decision. We conjecture more generally that some portion of first delinquency decisions are based on the trembling hands of decision-makers.