This paper deals with the analysis of the relationship between the spoilage of the quality of the portfolio of securitized mortgages in Mexico and relevant economic and financial variables. Through an autoregressive distributed lags (ARDL) model, evidence was collected on the importance of certain variables to explain that spoilage. The selection of variables was based on the review of national and international literature, related to both systematic risk and non-compliance with mortgage loans. Knowledge of the causal variables of such spoilage can be useful for issuers of mortgage-backed securities, as it could help them better understand the risk faced by those securities. Naturally, this knowledge can also be used to guide the decision making of investors, as well as portfolio and risk managers.
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