We study the distribution of savings from mortgage refinancing across income groups during the COVID-19 pandemic. Between February and June 2020, the difference in savings from refinancing between high- and low-income borrowers was 10 times higher than before. This was the result of two factors:...

We propose a model selection methodology for credit default modeling in the presence of a large number of variables and candidate models. Accurate credit default models are critical to financial institutions for making effective underwriting and pricing decisions in terms of profit maximization...

Although a broad-based increase in house prices has been observed over the past year, not everyone is convinced the rise of house prices will persist and lead to a steady recovery of the economy. The main reason for this skepticism is uncertainty about the "shadow inventory:" foreclosed homes...

In this study we use property-level transaction data to construct several different out-of-sample forecasts for the sales of individual homes in 10 counties in Florida. We utilize a number of common forecast combination methods and analyze the properties of their forecast errors. The results...

This paper studies the problem of missing observations on the outcome variable in a discrete choice network model. The research question is motivated by an empirical study of the spillover effect of home mortgage delinquencies, where mortgage repayment decisions can only be observed for a sample...

We study the distribution of savings from mortgage refinancing across income groups during the COVID-19 pandemic. Between February and June 2020, the difference in savings from refinancing between high- and low-income borrowers was ten times higher than before the pandemic. This was the result...

This paper identifies instruments for house prices and foreclosure rates and estimates a Dynamic Spatial Simultaneous Equation System (DSSES) to investigate the dynamics of them across space and time. Shocks to the foreclosure rate in one state not only affect house prices in that state but also...

In the first portion of this paper, we utilize millions of loan-level servicing records for mortgages originated between 2004 and 2016 to study the performance of predictive models of mortgage default. We find that the logistic regression model -- the traditional workhorse for consumer credit...