Impairment and Negative Equity in the Irish Mortgage Market
Robert Kelly,
Yvonne McCarthy and
Kieran McQuinn
No 9/RT/11, Research Technical Papers from Central Bank of Ireland
Abstract:
Understanding the true scale of the difficulties in the Irish mortgage market is of key importance from a financial stability, fiscal and social perspective. To date, much of the analysis and discussion of the Irish market has tended to focus on either the concept of mortgage repayment distress or potential negative equity. However, the combination of these two factors raises fundamental policy issues. Building on earlier work, which used the Survey on Income and Living Conditions (SILC), we marry existing estimates of repayment distress with estimates of negative equity for a representative sample of Irish households. Using copula modelling we then examine the dependence structure across the distributions of mortgage delinquency and solvency for these households. As a result, we are in a position to estimate the probability that a household experiencing repayment distress might also be in negative equity.
Keywords: Credit; Solvency; Delinquency; Copula (search for similar items in EconPapers)
JEL-codes: C16 C81 D14 (search for similar items in EconPapers)
Date: 2011-05
New Economics Papers: this item is included in nep-ure
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Citations: View citations in EconPapers (3)
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Related works:
Journal Article: Impairment and negative equity in the Irish mortgage market (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:cbi:wpaper:9/rt/11
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