Precancelaciones hipotecarias en Argentina: evidencias empíricas a partir de modelos de duración

Abstract

The expansion of the Argentinean mortgage market has triggered diverse economic studies, not only theoretical but also empirical. However, the behaviour of prepayments has so far remained practically unexplored. This paper thus presents a brief theoretical review of the subject and empirical estimations of duration models based on loans of Banco Hipotecario S.A. Among accelerated failure time models with constant covariates, it could be found that a convex Weibull hazard function, exhibiting positive duration dependence, showed the best fit. The estimation of proportional hazards models, which also incorporated dynamic covariates into the regressions, furthermore allowed us to identify prepayment responses to the Country Risk and to refinancing incentives, as well as Burnout type behaviours.