lending guidelines, and demand in housing construction and mortgage lending has plummeted. Against this background, the paper …

behaviour of Italian mortgage lenders using a novel loan-level dataset. When policy rates turn negative, banks with higher …

highest percentage of households in arrears in Italy and Spain. The probability of being late in repaying mortgage is lower … second part of the paper, we assess how much the price of the mortgage is linked to the household specific credit risk, as … measured by its predicted probability of being in arrears on mortgage. This analysis regards only Italian households for which …

We present an analysis of the sensitivity of household mortgage probabilities of default (PDs) and loss given default … counterfactual analysis of the responsiveness of mortgage PDs, LGDs, and bank capitalization conditional on adverse scenarios related …

house price appreciation in mortgage markets. We find instruments targeting the cost of bank capital most effective in … slowing down mortgage credit growth, and that the impact is transmitted mainly through price margins, the same banking channel …