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Liquidity constraints, home equity and residential mortgage losses

Do, Hung ; Scheule, Harald ; Rösch, Daniel


This paper analyses how mortgage borrower liquidity constraints and home equity drive the realized loss rates given default using loan-level data. We define defaulted loans with zero loss as cures and those with non-zero loss as non-cures. We find economically that borrower liquidity constraints and positive equity explain cure, while negative equity explains non-zero loss. The findings provide ...


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