What Explains Differences in Foreclosure Rates? A Response to Piskorski, Seru, and Vig
Preprint
- 1 January 2010
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
This paper develops and estimates an instrumental variables strategy for identifying the causal effect of securitization on the incidence of mortgage modification and foreclosure based on the early-payment default analysis performed by Piskorsi, Seru, and Vig (2010). Estimation results show that securitized mortgages are more likely to be modified and less likely to be foreclosed on by servicers. These results are consistent with the interpretation in Adelino et al. (2013) that low modification rates are not the result of contract frictions inherent in the mortgage securitization process.Keywords
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