Table 7 Results of ATF (accelerated time...

Table 7

Results of ATF (accelerated time failure) regressions by periods

	1	2	3	4	5	6 (A)	6 (B)
Model A: Monthly average Δhouse price (%)
Intercept	4.945***	3.649***	3.999***	3.920***	4.200***	4.160***	5.252***
Loan rate	–	–	–	–	–	–	−0.471***
Monthly averaged spread (%)	−3.668***	−5.892***	−5.997***	−8.273***	−3.081***	8.940***	–
Monthly average Δhouse price (%)	−0.863***	0.464***	−0.146***	−0.165***	−1.000***	−0.689***	−0.719***
CLTV	−0.028***	−0.004***	−0.003***	−0.005***	−0.015***	−0.012***	−0.014***
DTI	−0.005***	−0.001**	−0.001***	−0.001***	0.001***	0.002***	0.002***
Relative loan amount ratio	0.128**	0.026***	−0.070***	−0.044***	0.037***	0.136***	0.139***
Grade 7 or higher (%)	−0.042**	−0.048***	0.025**	0.055***	0.101***	−0.015	0.053**
Loan maturity	0.033***	0.010***	0.007***	0.011***	0.013***	0.011***	0.020***
Borrower age	0.006***	0.00***	0.004***	0.005***	0.000	0.000	0.003***
LR	60,181	56,692	71,040	112,047	239,755	495,129	505,288
Weib scale	1.623	2.015	3.401	2.505	1.644	1.521	1.358
Weib shape	140.510	38.422	54.570	50.416	66.756	64.279	190.875
30 yr maturity (D)	0.397***	0.077***	0.053***	0.132***	0.152***	0.137***	0.241***
Young borrower (D)	−0.072***	−0.088***	−0.060***	−0.069***	−0.001	−0.001	−0.059***
Model B: Δexpected house price (%)
Intercept	4.456***	3.732***	4.051***	3.941***	4.140***	4.290***	5.180***
Loan rate	–	–	–	–	–	–	−0.375***
Monthly averaged spread (%)	−4.437***	−6.350***	−6.323***	−8.350***	−1.760***	8.180***	–
ΔExpected house price (%)	−8.349***	2.108***	−2.393***	−2.924***	−9.180***	−11.2***	−12.3***
CLTV	−0.016***	−0.005***	−0.004***	−0.005***	−0.015***	−0.016***	−0.018***
DTI	−0.004***	−0.001***	−0.001***	−0.001***	0.001***	0.003***	0.003***
Relative loan amount ratio	0.002	0.023**	−0.086***	−0.043***	0.059***	0.171***	0.179***
Grade 7 or higher (%)	−0.033*	−0.041**	0.039****	0.051***	0.102***	−0.016	0.042*
Loan maturity	0.021***	0.010***	0.008***	0.011***	0.011***	0.012***	0.020***
Borrower age	0.008***	0.007***	0.004***	0.005***	0.000	−0.001**	0.002***
LR	59,583	56,911	69,459	111,507	238,423	481,839	491,522
Weib scale	1.667	1.999	2.909	2.571	1.665	1.600	1.443
Weib shape	86.179	41.769	57.438	51.479	62.806	73.078	177.277
30 yr Maturity(D)	0.208***	0.082***	0.088***	0.133***	0.132***	0.155***	0.251***
Young borrower(D)	−0.118***	−0.090***	−0.053***	−0.074***	−0.001	0.011**	−0.037***

	1	2	3	4	5	6 (A)	6 (B)
Model A: Monthly average Δhouse price (%)
Intercept	4.945***	3.649***	3.999***	3.920***	4.200***	4.160***	5.252***
Loan rate	–	–	–	–	–	–	−0.471***
Monthly averaged spread (%)	−3.668***	−5.892***	−5.997***	−8.273***	−3.081***	8.940***	–
Monthly average Δhouse price (%)	−0.863***	0.464***	−0.146***	−0.165***	−1.000***	−0.689***	−0.719***
CLTV	−0.028***	−0.004***	−0.003***	−0.005***	−0.015***	−0.012***	−0.014***
DTI	−0.005***	−0.001**	−0.001***	−0.001***	0.001***	0.002***	0.002***
Relative loan amount ratio	0.128**	0.026***	−0.070***	−0.044***	0.037***	0.136***	0.139***
Grade 7 or higher (%)	−0.042**	−0.048***	0.025**	0.055***	0.101***	−0.015	0.053**
Loan maturity	0.033***	0.010***	0.007***	0.011***	0.013***	0.011***	0.020***
Borrower age	0.006***	0.00***	0.004***	0.005***	0.000	0.000	0.003***
LR	60,181	56,692	71,040	112,047	239,755	495,129	505,288
Weib scale	1.623	2.015	3.401	2.505	1.644	1.521	1.358
Weib shape	140.510	38.422	54.570	50.416	66.756	64.279	190.875
30 yr maturity (D)	0.397***	0.077***	0.053***	0.132***	0.152***	0.137***	0.241***
Young borrower (D)	−0.072***	−0.088***	−0.060***	−0.069***	−0.001	−0.001	−0.059***
Model B: Δexpected house price (%)
Intercept	4.456***	3.732***	4.051***	3.941***	4.140***	4.290***	5.180***
Loan rate	–	–	–	–	–	–	−0.375***
Monthly averaged spread (%)	−4.437***	−6.350***	−6.323***	−8.350***	−1.760***	8.180***	–
ΔExpected house price (%)	−8.349***	2.108***	−2.393***	−2.924***	−9.180***	−11.2***	−12.3***
CLTV	−0.016***	−0.005***	−0.004***	−0.005***	−0.015***	−0.016***	−0.018***
DTI	−0.004***	−0.001***	−0.001***	−0.001***	0.001***	0.003***	0.003***
Relative loan amount ratio	0.002	0.023**	−0.086***	−0.043***	0.059***	0.171***	0.179***
Grade 7 or higher (%)	−0.033*	−0.041**	0.039****	0.051***	0.102***	−0.016	0.042*
Loan maturity	0.021***	0.010***	0.008***	0.011***	0.011***	0.012***	0.020***
Borrower age	0.008***	0.007***	0.004***	0.005***	0.000	−0.001**	0.002***
LR	59,583	56,911	69,459	111,507	238,423	481,839	491,522
Weib scale	1.667	1.999	2.909	2.571	1.665	1.600	1.443
Weib shape	86.179	41.769	57.438	51.479	62.806	73.078	177.277
30 yr Maturity(D)	0.208***	0.082***	0.088***	0.133***	0.132***	0.155***	0.251***
Young borrower(D)	−0.118***	−0.090***	−0.053***	−0.074***	−0.001	0.011**	−0.037***

Note(s): The table reports the results of ATF regressions of six subperiods. The dependent variable is the elapsed period until 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