Economics at your fingertips  

Looking behind mortgage delinquencies

Sauro Mocetti () and Eliana Viviano

Journal of Banking & Finance, 2017, vol. 75, issue C, 53-63

Abstract: Delinquency rates for mortgages originated before and after the financial crisis are examined using a novel and large panel obtained by merging data from tax records and credit registers. First, we estimate the selection into the mortgage market using an exogenous index of local credit supply as exclusion restriction. Second, controlling for selection we estimate the impact of income shocks on the delinquency rate. We find that since 2008 the selection process has led to the halving of the delinquency rate. Conditional on the creation of a new mortgage, job losses nearly double the delinquency risk; estimates uncorrected for selection are severely downward biased.

Keywords: Mortgage delinquency; Income; Selection; Lending policies (search for similar items in EconPapers)
JEL-codes: D12 E51 G01 G21 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Looking behind mortgage delinquencies (2015) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

Page updated 2019-04-14
Handle: RePEc:eee:jbfina:v:75:y:2017:i:c:p:53-63