Mortgage default risk: New evidence from internet search queries
Marcelle Chauvet (),
Stuart Gabriel and
Journal of Urban Economics, 2016, vol. 96, issue C, 91-111
We use Google search query data to develop a broad-based and real-time index of mortgage default risk. Unlike established indicators, our Mortgage Default Risk Index (MDRI) directly reflects households’concerns regarding their risk of mortgage default. The MDRI predicts housing returns, mortgage delinquency indicators, and subprime credit default swaps. These results persist both in- and out-of-sample and at multiple data frequencies. Together, research findings suggest internet search queries yield valuable new insights into household mortgage default risk.
Keywords: Mortgage default risk (search for similar items in EconPapers)
JEL-codes: R30 G02 G12 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:juecon:v:96:y:2016:i:c:p:91-111
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