Skip to main content
Article
Differential Impacts of Structural and Cyclical Unemployment on Mortgage Default and Prepayment
Journal of Real Estate Finance and Economics
  • Roberto G. Quercia, University of North Carolina at Chapel Hill
  • Anthony Pennington-Cross, Marquette University
  • Chao Yue Tian, University of North Carolina at Chapel Hill
Document Type
Article
Language
eng
Format of Original
22 p.
Publication Date
4-1-2014
Publisher
Springer
Abstract
The Great Recession (the fourth quarter of 2007 through the second quarter of 2009) has been characterized by high rates of foreclosures and unemployment. Using a sample of community reinvestment loans, we examine the impact of structural unemployment and cyclical unemployment on mortgage terminations (default and prepayment). We find that mortgage default and prepayment are more sensitive to changes in the structural component of the local unemployment rate than in the cyclical component. In addition, depending on whether structural unemployment rates are high or low, borrowers and lenders react differently to the incentives to terminate a loan.
Comments

Journal of Real Estate Finance and Economics (April 2014). DOI.

Citation Information
Roberto G. Quercia, Anthony Pennington-Cross and Chao Yue Tian. "Differential Impacts of Structural and Cyclical Unemployment on Mortgage Default and Prepayment" Journal of Real Estate Finance and Economics (2014) ISSN: 1573-045X
Available at: http://works.bepress.com/anthony_pennington_cross/38/