Estimating the Mortgage Default Probability in Cyprus: Evidence using micro data

Savvas Antoniou (), Ioanna Evangelou (), Theodosis Kallenos and Nektarios Michail
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Savvas Antoniou: Central Bank of Cyprus
Ioanna Evangelou: Central Bank of Cyprus

No 2022-1, Working Papers from Central Bank of Cyprus

Abstract: As financial institutions are exposed to the mortgage market, the identification of the characteristics associated with high default risk is crucial for the economy’s financial stability and growth. In this paper, we examine for the determinants of mortgage default for households, using both their economic and socio-demographic characteristics. Using panel data from the Eurosystem Household Finance and Consumption Survey from 2009 to 2017, we find that the mortgage debt service to income ratio, as well as the debt to total household wealth ratio, are positively related with a higher mortgage default probability. In addition, salaried employment reduces such probability and households with more than four members are more prone to mortgage arrears.

Keywords: Eurosystem HFCS; survey; defaults; probability; households (search for similar items in EconPapers)
JEL-codes: C51 C83 G21 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2022-06
New Economics Papers: this item is included in nep-rmg and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Journal Article: Estimating the Mortgage Default Probability in Cyprus: Evidence using micro data (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:cyb:wpaper:2022-1

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