Buildings' energy efficiency and the probability of mortgage default: The Dutch case

Monica Billio, Michele Costola, Loriana Pelizzon () and Max Riedel

No 261, SAFE Working Paper Series from Leibniz Institute for Financial Research SAFE

Abstract: In this paper, we investigate the relation between buildings' energy efficiency and the probability of mortgage default. To this end, we construct a novel panel dataset by combining Dutch loan-level mortgage information with provisional building energy ratings that are calculated by the Netherlands Enterprise Agency. By employing the Logistic regression and the extended Cox model, we find that buildings' energy efficiency is associated with lower likelihood of mortgage default. The results hold for a battery of robustness checks. Additional findings indicate that credit risk varies with the degree of energy efficiency.

Keywords: Mortgages; Energy Efficiency; Credit Risk (search for similar items in EconPapers)
JEL-codes: G21 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-ene, nep-eur, nep-reg and nep-rmg
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https://www.econstor.eu/bitstream/10419/204663/1/1679106104.pdf (application/pdf)

Related works:
Journal Article: Buildings’ Energy Efficiency and the Probability of Mortgage Default: The Dutch Case (2022)
Working Paper: Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:safewp:261

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