The risk of home mortgages in Italy: evidence from one million contracts
Emilia Bonaccorsi di Patti () and
Roberto Felici ()
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Roberto Felici: Banca d'Italia
No 32, Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area
This study analyzes the main characteristics of loans for house purchase issued in Italy between 2004 and 2007 employing the data on individual contracts from the Sample Survey of Lending Rates. Variables describing the type of mortgage and the borrower are related to the ex post probability of late payments and defaults. We also estimate the difference in ex post risk between mortgages that have subsequently been securitized and those that have not. The main results are: variable rate contracts proved to be more risky than fixed rate contracts; the difference is larger for mortgages issued at the end of 2005, when market rates were at their lowest; late payments have been more frequent for borrowers that are younger, resident in the South or immigrants from non-EU countries; non-securitized mortgages were more likely to run into difficulties with late payments and defaults than securitized ones.
Keywords: home mortgages; credits (search for similar items in EconPapers)
JEL-codes: G21 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:opques:qef_32_08
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