We explore the role of consumer risk appetite in the initiation of credit cycles and as an early trigger of the U.S. mortgage crisis. We analyze a panel data set of mortgages originated between the years 2000 and 2009 and follow their performance up to 2014. After controlling for all the usual...

In this paper we analyse a semi-parametric estimation technique for competing risks models based on series expansion of the joint density of the unobserved heterogeneity components. This technique allows for unrestricted correlation among the risks. The finite sample behavior of the estimation...