The mortgage market has played a central role in the global financial crisis. One particularly pressing question … surrounds the conditions under which mortgage borrowers enter distress, ie get into arrears or default. This paper develops a … novel micro dataset from residential mortgage loans which UK banks and building societies have pre-positioned with the Bank …

In understanding the determinants of mortgage default, the consensus has moved from an ‘option theory' model to the … the determinants of mortgage default across five European countries, using a large dataset of over 2.3 million active … mortgage loans originated between 1991 and 2013 across over 150 banks. The analysis finds support for both elements of the …

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 …

of new mortgage and small business loans in affected areas, but (ii) sell a higher share of the new mortgages into the …

This paper provides robust evidence for the non-linear effects of mortgage spread shocks during recessions and … expansions in the United States. Estimating a smooth-transition VAR model, we show that mortgage spread shocks hitting in …

risk composition channel of income inequality. Following a rise in income inequality house prices and mortgage debt decline …