Risk differentials between green and brown assets?

Benjamin Guin, Perttu Korhonen and Sidharth Moktan

Economics Letters, 2022, vol. 213, issue C

Abstract: We examine the relative riskiness of residential mortgages depending on the energy efficiency of the underlying property. Using a unique micro-level dataset in the UK, our analyses suggest that mortgages against energy-efficient properties are less frequently in payment arrears than mortgages against energy-inefficient properties. This result is robust to controlling for other relevant determinants of mortgage default including borrower income and loan-to-value (LTV). We conclude that the energy efficiency of a property is a relevant predictor of mortgage payment arrears. This result adds to the evidence base on risk differentials between green and brown assets.

JEL-codes: G21 Q40 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:213:y:2022:i:c:s016517652200026x

DOI: 10.1016/j.econlet.2022.110320

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