Table 1. Variable Definitions and Univariate Descriptive Statistics Gerald A. Hanweck et al. Subprime Mortgage Delinquency and Default Rates by Metropolitan.

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Presentation transcript:

Table 1. Variable Definitions and Univariate Descriptive Statistics Gerald A. Hanweck et al. Subprime Mortgage Delinquency and Default Rates by Metropolitan Area: An Analysis by Origination Vintages and Projections for Journal of Finance and Economics, 2014, Vol. 2, No. 1, doi: /jfe © The Author(s) Published by Science and Education Publishing. Variable NamesVariable DefinitionMean 2005Stdev. 2005Mean 2006 Stdev Default Rates dfw60pVariable is 60 days or more delinquent, in foreclosure, bankruptcy or REO dfw90pVariable is 90 days or more delinquent, in foreclosure, bankruptcy or REO Loan Characteristics wtd_ltv Loan LTV ratios weighted by outstanding balance ratio of the mortgage at origination to the total origination balance in the MSA wtd_fico FICO scores weighted by outstanding balance ratio of the mortgage at origination to the total origination balance in the MSA proparm Proportion of loans that are ARM weighted by outstanding balance ratio of the mortgage at origination to the total origination balance in the MSA propdoc Proportion of loans that have no documentation weighted by outstanding balance ratio of the mortgage at origination to the total origination balance in the MSA propfirst Proportion of loans that are first mortgages weighted by outstanding balance ratio of the mortgage at origination to the total origination balance in the MSA propoccup Proportion of loans where borrowers declare they will occupy the house weighted by outstanding balance ratio of the mortgage at origination to the total origination balance in the MSA propprtype Proportion of loans where the house is a single family detached or townhouse home weighted by outstanding balance ratio of the mortgage at origination to the total origination balance in the MSA proppurpose Proportion of loans where the loan is to purchase the property weighted by outstanding balance ratio of the mortgage at origination to the total origination balance in the MSA propinitrtInitial interest rate (%) Market Characteristics emp_ratio Year-over-year growth in employment for the MSA hpi_ratio*Year-over-year proportional changes in OFHEO housing prices for the MSA hpi_ratio_std**Standard deviation of housing price changes by MSA for the past 12 months msaempsize Size of the MSA measured by the natural logarithm of total MSA employment * Probability of less than zero for hpi_ratio assuming this variable is distributed as a normal pdf: 2005: and 2006: Thus, it is almost twice as likely to have a MSA with a housing price decline in 2006 as in ** Using these data the risk neutral probability of default, equation (6), is less than for 2005 and 2006 at the mean values of wtd_ltv, hpi_ratio_std and risk free rates of 4.6 percent for a 10-year T-Bond rate.