Similar Search Results

Down Payment and Mortgage Rates : Evidence from Equity Loans

Benetton, Matteo - 2018

-post default rate. Lenders see down payment as a signal for unobservable risk, but the relative importance of this signal is …

Persistent link: https://www.econbiz.de/10012926534

Does Energy Efficiency Predict Mortgage Performance?

Guin, Benjamin - 2020

-inefficient properties. This result is robust when controlling for other relevant determinants of mortgage default including borrower income …

Persistent link: https://www.econbiz.de/10012842278

Mortgages, Cash-Flow Shocks and Local Employment

Cumming, Fergus - 2019

This paper quantifies the local impact of monetary policy through the cash-flow channel during the Crisis by combining novel micro datasets with near-universal coverage of UK mortgages and employment. I estimate that a reduction in mortgage payments equivalent to 1% of household income led to...

Persistent link: https://www.econbiz.de/10012896399

Determinants of Distress in the UK Owner-Occupier and Buy-to-Let Mortgage Markets

Lazarov, Vladimir S - 2019

surrounds the conditions under which mortgage borrowers enter distress, ie get into arrears or default. This paper develops a …

Persistent link: https://www.econbiz.de/10012897696

Three Triggers? Negative Equity, Income Shocks and Institutions As Determinants of Mortgage Default

Linn, Andrew - 2019

In understanding the determinants of mortgage default, the consensus has moved from an ‘option theory' model to the … ‘double trigger' hypothesis. Nonetheless, that consensus is based on within-country studies of default. This paper examines … the determinants of mortgage default across five European countries, using a large dataset of over 2.3 million active …

Persistent link: https://www.econbiz.de/10012865249

Modelling the Distribution of Mortgage Debt

Levina, Iren - 2019

This paper presents an approach to modelling the flow and the stock of mortgage debt, using loan‑level data. Our approach allows us to consider different macroeconomic scenarios for the housing market, lenders' and borrowers' behaviour, and different calibrations of macroprudential policy...

Persistent link: https://www.econbiz.de/10012866275

Interest Rates, Debt and Intertemporal Allocation : Evidence from Notched Mortgage Contracts in the United Kingdom

Best, Michael - 2015

Using a novel source of quasi-experimental variation in interest rates, we study the response of household debt and intertemporal consumption allocation to interest rates. We also develop a new approach to structurally estimate the Elasticity of Intertemporal Substitution (EIS). In the United...

Persistent link: https://www.econbiz.de/10013017596

How Do Banks and Households Manage Interest Rate Risk? Evidence from Mortgage Applications and Banks’ Responses

Basten, Christoph - 2018

We exploit a unique dataset that features both un-intermediated mortgage requests and independent responses from multiple banks to each request. We show that households typically are not prudent risk managers, but prioritize minimizing current mortgage payments over insurance against future rate...

Persistent link: https://www.econbiz.de/10012917143

Mortgages : Estimating Default Correlation and Forecasting Default Risk

Neumann, Tobias - 2018

Default correlation is a key driver of credit risk. In the Basel regulatory framework it is measured by the asset value … appropriate for UK and US mortgages. This model also forecasts mortgage default rates accurately and parsimoniously. The model … generates value-at-risk estimates for future mortgage default rates, which can be used to inform stress-testing and …

Persistent link: https://www.econbiz.de/10012925775

A Tiger by the Tail : Estimating the UK Mortgage Market Vulnerabilities from Loan-Level Data

Chakraborty, Chiranjit - 2018

Following the global financial crisis, macroprudential regulators in a number of countries took actions to mitigate risks arising from stressed mortgage markets to financial and economic stability. Having disaggregated information on the stock of mortgages allows policymakers to analyse...

Persistent link: https://www.econbiz.de/10012925785