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Modeling Economic Variables in Time to Event Models

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Modeling Economic Variables in Time to Event Models.pdf (228.85 KB)
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Sarmiento, Camilo
Abstract (Spanish)
Este artículo subraya la necesidad de vincular las variables macroeconómicas con la antigüedad del préstamo en el análisis de supervivencia, una condición que es violada por la mayor parte de la literatura económica.
Abstract (English)
This paper underscores the need to link macroeconomic variables to loan age in survival analysis, a condition that is violated by most of the economic literature.
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3 páginas
URI: https://repositorio.escuelaing.edu.co/handle/001/3414
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AG - Centro de Estudios Económicos
References

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Cox R.D. (1972) “Regression Analysis and Life Tables” Journal of the Royal Statistical Society. 187-220.

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Elul, R., N. S. Souleles, S.D. Glennon and R. Hunt (2010). “What "Triggers" Mortgage Default?” The American Economic Review, 490-494.

Foote, C., K. Gerardi, L. Goette, and P. Willen (2010). Reducing Foreclosures: No Easy Answers. In NBER Macroeconomics Annual, Vol. 24. University of Chicago Press: 89-138.

Gyourko, J., J. Tracy (2014) “Reconciling Theory and Empirics on the Role of Unemployment in Mortgage Default.” Journal of Urban Economics: 87-96.

Sarmiento, C. (2012) “The role of the economic environment on mortgage defaults during the Great Recession.” Applied Financial Economics: 243-250.