The Subprime Virus

Sumit Agarwal, Brent William Ambrose, Yildiray Yildirim

Research output: Contribution to journalArticle

5 Citations (Scopus)

Abstract

We examine the correlation between prime mortgage default risk and the introduction of subprime mortgages in a local area. We motivate our analysis with a model of a default contagion effect that spreads the effect of a mortgage foreclosure from one property to surrounding properties. Through numerical analysis, we demonstrate the effect of subprime mortgage originations to the risk of prime mortgages. Finally, we offer empirical support for our model by examining the spatial variation in MSA prime mortgage default rates and the level of subprime mortgage activity.

Original languageEnglish (US)
Pages (from-to)891-915
Number of pages25
JournalReal Estate Economics
Volume43
Issue number4
DOIs
StatePublished - Dec 1 2015

Fingerprint

Subprime
Subprime mortgages
Virus
Mortgage default
Mortgages
Default risk
Foreclosure
Contagion effect
Numerical analysis
Default rate
Spatial variation

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics

Cite this

Agarwal, Sumit ; Ambrose, Brent William ; Yildirim, Yildiray. / The Subprime Virus. In: Real Estate Economics. 2015 ; Vol. 43, No. 4. pp. 891-915.
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Agarwal, S, Ambrose, BW & Yildirim, Y 2015, 'The Subprime Virus', Real Estate Economics, vol. 43, no. 4, pp. 891-915. https://doi.org/10.1111/1540-6229.12108

The Subprime Virus. / Agarwal, Sumit; Ambrose, Brent William; Yildirim, Yildiray.

In: Real Estate Economics, Vol. 43, No. 4, 01.12.2015, p. 891-915.

Research output: Contribution to journalArticle

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