An Empirical Dynamic Model of Mortgage Default in Colombia between 1997 and 2004

Serie

• 2008 Meeting Papers

Resumen

• We estimate a dynamic model of default for a cohort of Colombian debtors between 1997 and 2004, which was a period of unprecedented financial stress in Colombia. We develop a methodological framework based on a fully dynamic behavioral model that accounts for both cross-sectional and aggregate heterogeneity. Specifically, we control for the unobserved heterogeneity using non-matching survey data and a dynamic aggregate shock that can be inferred directly from the observed aggregate behavior. Results indicate that the dynamic structure and the unobserved heterogeneity are crucial for identifying correctly the impact of different factors on default behavior. We also point out that the methodology's applicability goes beyond the estimation of default models.

autores

• Carranza, Juan Esteban
• Navarro, Salvador

fecha de publicación

• 2008

Enfoque geográfico

• Colombia  Country
• South America  Continent

Issue

• 269