Mortgage Debt Overhang: Reduced Investment by Homeowners at Risk of Default

Journal of Finance - Tập 72 Số 2 - Trang 575-612 - 2017
Brian Melzer1
1Brian T. Melzer is with the Kellogg School of Management, Northwestern University. I thank Gene Amromin, Efraim Benmelech, Daniel Cooper, Kevin Davis, Xavier Giroud, Erik Hurst, Ravi Jagannathan, Jiro Kondo, Lorenz Kueng, Lindsey Leininger, David Matsa, Edwin Mills, Laudo Ogura, Jonathan Parker, Alessandro Previtero, Timothy Riddiough, Kenneth Singleton (the Editor), Joseph Tracy, and two anonymous referees for helpful comments. Seminar participants at Duke University, Ivey Business School, Kellogg School of Management, Loyola University Chicago, Stanford GSB, and the Federal Reserve Banks of Boston and Chicago also provided valuable feedback, as did conference participants at the Summer Real Estate Symposium, NBER Summer Institute (Real Estate and Public Economics), Consumer Expenditure Survey Users' Workshop, and the annual meetings of the Midwest Economics Association, Western Finance Association, and Financial Intermediation Research Society. I gratefully acknowledge ICPSR for providing the Consumer Expenditure data files used in this study, Fiserv for providing Case-Shiller Home Price Index data, and Laura Paszkiewicz from the BLS for help with the Consumer Expenditure data. Aaron Yoon and Kexin Qiao provided helpful research assistance. I received no external financial support for this research. I have read the Journal of Finance's disclosure policy and have no conflicts of interest to disclose.

Tóm tắt

ABSTRACTHomeowners at risk of default face a debt overhang that reduces their incentive to invest in their property: in expectation, some value created by investments in the property will go to the lender. This agency conflict affects housing investments. Homeowners at risk of default cut back substantially on home improvements and mortgage principal payments, even when they appear financially unconstrained. Meanwhile, they do not reduce spending on assets that they may retain in default, including home appliances, furniture, and vehicles. These findings highlight an important financial friction that has stifled housing investment since the Great Recession.

Từ khóa


Tài liệu tham khảo

Admati Anat Peter M.DeMarzo Martin F.Hellwig andPaulPfleiderer 2012 Debt overhang and capital regulation Rock Center for Corporate Governance Working Paper Series No. 114 Stanford University.

10.1111/j.1540-6229.2007.00185.x

Bhutta Neil JaneDokko andHuiShan 2010 The depth of negative equity and mortgage default decisions Federal Reserve Board Working Paper FEDS 2010‐35.

Brady Peter J., 2000, The effects of recent mortgage refinancing, Federal Reserve Bulletin, 86, 441

10.1111/jofi.12252

10.1257/aer.101.5.2108

10.1006/juec.2000.2205

10.1016/j.jfineco.2013.11.011

10.1162/REST_a_00323

CoreLogic 2011 Negative equity report Q1 2011. Available at:http://www.corelogic.com/about-us/news/asset_upload_file726_22145.pdf. Accessed March 15 2012.

Davidoff Thomas 2006 Maintenance and the home equity of the elderly Fisher Center for Real Estate and Urban Economics Paper No. 03‐288. Available at:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=509294.

10.1353/mcb.2006.0079

10.1111/1468-0262.00110

10.1016/j.jue.2009.10.007

10.1016/j.jue.2008.07.006

Freddie Mac 2006 Prepayment penalty mortgages Publication Number 409. Available at:http://www.freddiemac.com/singlefamily/pdf/ppm.pdf. Accessed February 23 2016.

10.1093/rfs/hhr055

10.1016/1051-1377(92)90008-E

10.1111/jofi.12044

10.1016/j.jue.2003.09.004

10.1162/rest.88.4.736

10.1111/1540-6229.00815

10.1006/jhec.2001.0273

10.1016/j.jue.2011.09.005

Haughwout Andrew, 2010, The homeownership gap, Federal Reserve Bank of New York Current Issues in Economics and Finance, 16, 1

10.1111/j.1540-6261.2004.00677.x

10.1353/mcb.2005.0009

Jorgenson Dale W., 1963, Capital theory and investment behavior, American Economic Review, 53, 247

10.1006/juec.1994.1017

Keynes John Maynard, 1920, The Economic Consequences of the Peace

10.1016/0304-3878(88)90044-2

Lamont Owen, 1995, Corporate‐debt overhang and macroeconomic expectations, American Economic Review, 85, 1106

10.1111/j.1540-6261.1992.tb04687.x

10.1016/0094-1190(77)90006-7

10.1093/qje/qjt020

10.1257/aer.101.5.2132

10.1016/0094-1190(92)90022-D

10.1016/j.jedc.2005.10.008

Mulligan Casey B. 2008 A depressing scenario: Mortgage debt becomes unemployment insurance NBER Working Paper No. 14514.

10.1111/j.1540-6261.2004.00692.x

10.1016/j.euroecorev.2014.11.003

10.1162/003355399555927

10.1016/S0304-405X(99)00015-X

10.1162/rest.2006.88.1.177

10.1057/imfer.2010.3

10.1111/j.1540-6261.2012.01793.x

10.1257/jep.4.1.19

Schulhofer‐Wohl Sam, 2012, Negative equity does not reduce homeowners' mobility, Federal Reserve Bank of Minneapolis Quarterly Review, 35, 2

Shiller Robert J. andAllan N.Weiss 1998 Moral hazard in home equity conversion Cowles Foundation Discussion Paper No. 1177.

10.1162/0033553053970197

Sinai Todd andNicholasSouleles 2009 Can owning a home hedge the risk of moving? NBER Working Paper No. 15462.

10.1111/j.1540-6261.2004.00630.x

10.2307/1907382

10.2307/1991374

Thông tin
Thông tin xuất bản

Journal of Finance

Tập 72 Số 2

575-612

Thông tin tác giả