Table 5 Results of logit regressions by...

Table 5

Results of logit regressions by periods

Period	1	2	3	4	5	6 (A)	6 (B)
Model A: monthly average Δhouse price (%)
Intercept	0.358^**	1.870^***	0.738^***	0.543^***	0.401^***	0.407^***	−2.803^***
Loan rate	–	–	–	–	–	–	1.518***
Monthly averaged spread (%)	15.044***	3.448***	25.606***	39.754***	6.582***	−18.933***	–
Monthly average Δhouse price (%)	1.956***	−1.301***	0.604***	0.624***	3.107***	1.487***	1.271***
CLTV	0.026***	0.009***	0.003**	0.000	0.029***	0.019***	0.019***
DTI	0.008***	0.001	0.003***	0.006***	−0.001**	−0.002***	−0.001*
Relative loan amount ratio	−0.331***	−0.024	0.669***	0.460***	−0.138***	−0.363***	−0.390***
Grade 7 or higher (%)	0.152***	0.151**	−0.262***	−0.313***	−0.374***	0.077	−0.151***
Loan maturity	−0.021***	−0.017***	−0.023***	−0.033***	−0.037***	−0.020***	−0.041***
Borrower age	−0.019***	−0.029***	−0.038***	−0.031***	−0.008***	−0.008***	−0.019***
LR	13,388	11,084	8,960	14,084	35,495	110,231	109,994
30 yr Maturity(D)	−1.020***	−0.143**	−0.335***	−0.482***	−0.496***	−0.285***	−0.519***
Young borrower (D)	0.277***	0.358***	0.510***	0.454***	0.117***	0.106***	0.339***
Model B: Δexpected house price (%)
Intercept	0.326^*	1.791^***	0.027	0.793^***	0.526^***	0.403^***	−2.559^***
Loan rate	–	–	–	–	–	–	1.428^***
Monthly averaged spread (%)	16.941^***	3.300^***	30.274^***	38.896^***	5.425^***	−21.362^***	–
ΔExpected house price (%)	26.919^***	−4.897^***	18.148^***	1.984^***	35.671^***	24.549^***	22.937^***
CLTV	0.010^***	0.011^***	0.004^**	0.001	0.030^***	0.025^***	0.025^***
DTI	0.008^***	0.000	0.004^***	0.006^***	−0.001^*	−0.005^***	−0.001^*
Relative loan amount ratio	0.010	−0.036	0.981^***	0.404^***	−0.219^***	−0.473^***	−0.509^***
Grade 7 or higher (%)	0.099*	0.147^***	−0.464^***	−0.255^***	−0.397^***	0.065	−0.164^***
Loan maturity	−0.376^***	−0.018^***	−0.031^***	−0.030^***	−0.036^***	−0.023^***	−0.043^***
Borrower age	−0.027^***	−0.029^***	−0.035^***	−0.032^***	−0.009^***	−0.010^***	−0.021^***
LR	12,319	11,133	7,829	14,206	33,265	101,047	101,787
30 yr Maturity(D)	−0.763^***	−0.148^**	−0.397^***	−0.441^***	−0.477^***	−0.320^***	−0.551^***
Young borrower (D)	0.360^***	0.354^***	0.487^***	0.468^***	0.139^***	0.143^***	0.371^***

Period	1	2	3	4	5	6 (A)	6 (B)
Model A: monthly average Δhouse price (%)
Intercept	0.358^**	1.870^***	0.738^***	0.543^***	0.401^***	0.407^***	−2.803^***
Loan rate	–	–	–	–	–	–	1.518***
Monthly averaged spread (%)	15.044***	3.448***	25.606***	39.754***	6.582***	−18.933***	–
Monthly average Δhouse price (%)	1.956***	−1.301***	0.604***	0.624***	3.107***	1.487***	1.271***
CLTV	0.026***	0.009***	0.003**	0.000	0.029***	0.019***	0.019***
DTI	0.008***	0.001	0.003***	0.006***	−0.001**	−0.002***	−0.001*
Relative loan amount ratio	−0.331***	−0.024	0.669***	0.460***	−0.138***	−0.363***	−0.390***
Grade 7 or higher (%)	0.152***	0.151**	−0.262***	−0.313***	−0.374***	0.077	−0.151***
Loan maturity	−0.021***	−0.017***	−0.023***	−0.033***	−0.037***	−0.020***	−0.041***
Borrower age	−0.019***	−0.029***	−0.038***	−0.031***	−0.008***	−0.008***	−0.019***
LR	13,388	11,084	8,960	14,084	35,495	110,231	109,994
30 yr Maturity(D)	−1.020***	−0.143**	−0.335***	−0.482***	−0.496***	−0.285***	−0.519***
Young borrower (D)	0.277***	0.358***	0.510***	0.454***	0.117***	0.106***	0.339***
Model B: Δexpected house price (%)
Intercept	0.326^*	1.791^***	0.027	0.793^***	0.526^***	0.403^***	−2.559^***
Loan rate	–	–	–	–	–	–	1.428^***
Monthly averaged spread (%)	16.941^***	3.300^***	30.274^***	38.896^***	5.425^***	−21.362^***	–
ΔExpected house price (%)	26.919^***	−4.897^***	18.148^***	1.984^***	35.671^***	24.549^***	22.937^***
CLTV	0.010^***	0.011^***	0.004^**	0.001	0.030^***	0.025^***	0.025^***
DTI	0.008^***	0.000	0.004^***	0.006^***	−0.001^*	−0.005^***	−0.001^*
Relative loan amount ratio	0.010	−0.036	0.981^***	0.404^***	−0.219^***	−0.473^***	−0.509^***
Grade 7 or higher (%)	0.099*	0.147^***	−0.464^***	−0.255^***	−0.397^***	0.065	−0.164^***
Loan maturity	−0.376^***	−0.018^***	−0.031^***	−0.030^***	−0.036^***	−0.023^***	−0.043^***
Borrower age	−0.027^***	−0.029^***	−0.035^***	−0.032^***	−0.009^***	−0.010^***	−0.021^***
LR	12,319	11,133	7,829	14,206	33,265	101,047	101,787
30 yr Maturity(D)	−0.763^***	−0.148^**	−0.397^***	−0.441^***	−0.477^***	−0.320^***	−0.551^***
Young borrower (D)	0.360^***	0.354^***	0.487^***	0.468^***	0.139^***	0.143^***	0.371^***

Note(s): The table reports the results of logit regressions of six subperiods. The dependent variable is a dummy for prepayment. All variables are described in Section 4. 1. Key variables in Model A and Model B are Monthly average Δhouse price (%) and ΔExpected house price (%), both of which are obtained from the REB database. The data of loan and borrower characteristics are obtained from HF. The z-statistics not reported are adjusted for heteroskedasticity. ***, ** and * denote statistical significance at the 1, 5 and 10% levels, respectively

[ViewLarge]

Sharing Unavailable