This paper investigates the influence of expected foreclosure duration on a borrower's future default propensity. We use the lagged actual time-varying state-level foreclosure times as proxies for borrower's expected benefit from default as the form of "free rent.'' While existing literature...

We develop an additive Cox proportional hazard model with time-varying covariates, including spatio-temporal characteristics of weather events, to study the impact of weather extremes (heavy rains and tropical cyclones) on the probability of mortgage default and prepayment. We estimate the model...

Many borrowers make extra principal payments on their mortgages (curtailers). Some of these curtailers subsequently go through foreclosure and lose any benefits from their curtailments. Such curtailers reveal ex-ante non-strategic preferences towards default. We contrast the default sensitivity...