Estimating dynamic models with aggregate shocks and an application to mortgage default in Colombia
We estimate a dynamic model of mortgage default for a cohort of Colombian debtors between 1997 and 2004. We use the estimated model to study the effects on default of a class of policies that affected the evolution of mortgage balances in Colombia during the 1990's. We propose a framework for e...
- Autores:
-
Carranza Romero, Juan Esteban
Navarro, Salvador
- Tipo de recurso:
- Work document
- Fecha de publicación:
- 2010
- Institución:
- Universidad ICESI
- Repositorio:
- Repositorio ICESI
- Idioma:
- eng
- OAI Identifier:
- oai:repository.icesi.edu.co:10906/65275
- Acceso en línea:
- http://hdl.handle.net/10906/65275
http://biblioteca2.icesi.edu.co/cgi-olib?session=-1&infile=details.glu&loid=241302&rs=5541225&hitno=-1
- Palabra clave:
- Colombia
Crisis Económica
Mercado
Economía
Economics
- Rights
- openAccess
- License
- http://creativecommons.org/licenses/by-nc-nd/4.0/
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Estimating dynamic models with aggregate shocks and an application to mortgage default in Colombia |
| title |
Estimating dynamic models with aggregate shocks and an application to mortgage default in Colombia |
| spellingShingle |
Estimating dynamic models with aggregate shocks and an application to mortgage default in Colombia Colombia Crisis Económica Mercado Economía Economics |
| title_short |
Estimating dynamic models with aggregate shocks and an application to mortgage default in Colombia |
| title_full |
Estimating dynamic models with aggregate shocks and an application to mortgage default in Colombia |
| title_fullStr |
Estimating dynamic models with aggregate shocks and an application to mortgage default in Colombia |
| title_full_unstemmed |
Estimating dynamic models with aggregate shocks and an application to mortgage default in Colombia |
| title_sort |
Estimating dynamic models with aggregate shocks and an application to mortgage default in Colombia |
| dc.creator.fl_str_mv |
Carranza Romero, Juan Esteban Navarro, Salvador |
| dc.contributor.author.spa.fl_str_mv |
Carranza Romero, Juan Esteban Navarro, Salvador |
| dc.subject.proposal.spa.fl_str_mv |
Colombia Crisis Económica Mercado Economía |
| topic |
Colombia Crisis Económica Mercado Economía Economics |
| dc.subject.proposal.eng.fl_str_mv |
Economics |
| description |
We estimate a dynamic model of mortgage default for a cohort of Colombian debtors between 1997 and 2004. We use the estimated model to study the effects on default of a class of policies that affected the evolution of mortgage balances in Colombia during the 1990's. We propose a framework for estimating dynamic behavioral models accounting for the presence of unobserved state variables that are correlated across individuals and across time periods. We extend the standard literature on the structural estimation of dynamic models by incorporating an unobserved common correlated shock that affects all individuals' static payoffs and the dynamic continuation payoffs associated with different decisions. Given a standard parametric specification the dynamic problem, we show that the aggregate shocks are identified from the variation in the observed aggregate behavior. The shocks and their transition are separately identified, provided there is enough cross-sectionavl ariation of the observeds tates. |
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2010 |
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2010-09-01 |
| dc.date.accessioned.none.fl_str_mv |
2012-02-27T16:49:04Z |
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2012-02-27T16:49:04Z |
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http://purl.org/coar/resource_type/c_8042 |
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Documento de trabajo |
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info:eu-repo/semantics/draft |
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http://purl.org/coar/version/c_b1a7d7d4d402bcce |
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info:eu-repo/semantics/workingPaper |
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http://purl.org/coar/resource_type/c_8042 |
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draft |
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19001568 |
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http://hdl.handle.net/10906/65275 |
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http://biblioteca2.icesi.edu.co/cgi-olib?session=-1&infile=details.glu&loid=241302&rs=5541225&hitno=-1 |
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eng |
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eng |
| dc.relation.ispartof.none.fl_str_mv |
Borradores de Economía y Finanzas; No. 24 - Septiembre 2010 |
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Borradores de Economía y Finanzas;No. 24 - Septiembre 2010 |
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http://creativecommons.org/licenses/by-nc-nd/4.0/ |
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info:eu-repo/semantics/openAccess |
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Atribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0) |
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http://creativecommons.org/licenses/by-nc-nd/4.0/ Atribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0) http://purl.org/coar/access_right/c_abf2 |
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openAccess |
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1 - 46 páginas |
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Digital |
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Cali de Lat: 03 24 00 N degrees minutes Lat: 3.4000 decimal degrees Long: 076 30 00 W degrees minutes Long: -76.5000 decimal degrees |
| dc.publisher.spa.fl_str_mv |
Universidad Icesi |
| dc.publisher.faculty.spa.fl_str_mv |
Facultad de Ciencias Administrativas y Económicas |
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Economía y Negocios Internacionales |
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Departamento de Economía |
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Santiago de Cali |
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Universidad ICESI |
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Carranza Romero, Juan EstebanNavarro, Salvadorjecarranza@icesi.edu.coCali de Lat: 03 24 00 N degrees minutes Lat: 3.4000 decimal degrees Long: 076 30 00 W degrees minutes Long: -76.5000 decimal degrees2012-02-27T16:49:04Z2012-02-27T16:49:04Z2010-09-0119001568http://hdl.handle.net/10906/65275http://biblioteca2.icesi.edu.co/cgi-olib?session=-1&infile=details.glu&loid=241302&rs=5541225&hitno=-1instname:Universidad Icesireponame:Biblioteca Digitalrepourl:https://repository.icesi.edu.co/We estimate a dynamic model of mortgage default for a cohort of Colombian debtors between 1997 and 2004. We use the estimated model to study the effects on default of a class of policies that affected the evolution of mortgage balances in Colombia during the 1990's. We propose a framework for estimating dynamic behavioral models accounting for the presence of unobserved state variables that are correlated across individuals and across time periods. We extend the standard literature on the structural estimation of dynamic models by incorporating an unobserved common correlated shock that affects all individuals' static payoffs and the dynamic continuation payoffs associated with different decisions. Given a standard parametric specification the dynamic problem, we show that the aggregate shocks are identified from the variation in the observed aggregate behavior. The shocks and their transition are separately identified, provided there is enough cross-sectionavl ariation of the observeds tates.1 - 46 páginasDigitalapplication/pdfengUniversidad IcesiFacultad de Ciencias Administrativas y EconómicasEconomía y Negocios InternacionalesDepartamento de EconomíaSantiago de CaliBorradores de Economía y Finanzas; No. 24 - Septiembre 2010Borradores de Economía y Finanzas;No. 24 - Septiembre 2010EL AUTOR, expresa que la obra objeto de la presente autorización es original y la elaboró sin quebrantar ni suplantar los derechos de autor de terceros, y de tal forma, la obra es de su exclusiva autoría y tiene la titularidad sobre éste. PARÁGRAFO: en caso de queja o acción por parte de un tercero referente a los derechos de autor sobre el artículo, folleto o libro en cuestión, EL AUTOR, asumirá la responsabilidad total, y saldrá en defensa de los derechos aquí autorizados; para todos los efectos, la Universidad Icesi actúa como un tercero de buena fe. Esta autorización, permite a la Universidad Icesi, de forma indefinida, para que en los términos establecidos en la Ley 23 de 1982, la Ley 44 de 1993, leyes y jurisprudencia vigente al respecto, haga publicación de este con fines educativos Toda persona que consulte ya sea la biblioteca o en medio electróico podrá copiar apartes del texto citando siempre la fuentes, es decir el título del trabajo y el autor.http://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessAtribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0)http://purl.org/coar/access_right/c_abf2Estimating dynamic models with aggregate shocks and an application to mortgage default in ColombiaComunidad Universidad Icesi – InvestigadoresColombiaCrisis EconómicaMercadoEconomíaEconomicshttp://purl.org/coar/resource_type/c_8042Documento de trabajoinfo:eu-repo/semantics/drafthttp://purl.org/coar/version/c_b1a7d7d4d402bcceinfo:eu-repo/semantics/workingPaperORIGINALestimating_dynamic_models.pdfestimating_dynamic_models.pdfapplication/pdf2477907https://repository.icesi.edu.co/bitstreams/5f9b8cf1-42e2-7785-e053-2cc003c84dc5/downloadae711a52a146a1427411112f3f02970aMD51CC-LICENSElicense_urllicense_urltext/plain49https://repository.icesi.edu.co/bitstreams/5f9b8cf1-42e3-7785-e053-2cc003c84dc5/downloadfd26723f8d7edacdb29e3f03465c3b03MD52license_textlicense_textapplication/octet-stream21926https://repository.icesi.edu.co/bitstreams/5f9b8cf1-42e4-7785-e053-2cc003c84dc5/downloadd388d4ceb74a99207c499bfab8db1a10MD53license_rdflicense_rdfapplication/octet-stream22765https://repository.icesi.edu.co/bitstreams/5f9b8cf1-42e5-7785-e053-2cc003c84dc5/download56265f5776a16a05899187d30899c530MD54TEXTestimating_dynamic_models.pdf.txtestimating_dynamic_models.pdf.txttext/plain90955https://repository.icesi.edu.co/bitstreams/5f9b8cf1-4301-7785-e053-2cc003c84dc5/download0e9f97274e0e75208edc54c58d00f96aMD55THUMBNAILestimating_dynamic_models.pdf.jpgestimating_dynamic_models.pdf.jpgIM Thumbnailimage/jpeg9798https://repository.icesi.edu.co/bitstreams/5afc58fe-745a-46c0-b966-7f12d5b656a9/download5eb1147b0ac62de3ac3c3c0af76a2106MD5610906/65275oai:repository.icesi.edu.co:10906/652752025-06-22 22:01:25.456http://creativecommons.org/licenses/by-nc-nd/4.0/Atribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0)open.accesshttps://repository.icesi.edu.coBiblioteca Digital - Universidad Icesiadquisicion-bib@listas.icesi.edu.co |