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|a 1018-5941
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|a BD-DhAAL
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|a Gross, Marco.
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|a What Drives Mortgage Default Risk in Europe and the U.S.? /
|c Marco Gross, Thierry Tressel, Xiaodan Ding, Eugen Tereanu.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2022.
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|a 1 online resource (38 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a We present an analysis of the sensitivity of household mortgage probabilities of default (PDs) and loss given default (LGDs) on unemployment rates, house price growth, interest rates, and other drivers. A structural micro-macro simulation model is used to that end. It is anchored in the balance sheets and income-expense flow data from about 95,000 households and 230,000 household members from 21 EU countries and the U.S. We present country-specific nonlinear regressions based on the structural model simulation-implied relation between PDs and LGDs and their drivers. These can be used for macro scenario-conditional forecasting, without requiring the conduct of the micro simulation. We also present a policy counterfactual analysis of the responsiveness of mortgage PDs, LGDs, and bank capitalization conditional on adverse scenarios related to the COVID-19 pandemic across all countries. The economics of debt moratoria and guarantees are discussed against the background of the model-based analysis.
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|a Mode of access: Internet
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|a Central Banks and Their Policies
|2 imf
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|a Economics
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|a General Financial Markets
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|a Macroeconomics
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|a Multiple or Simultaneous Equation Models
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|a Ding, Xiaodan.
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|a Tereanu, Eugen.
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|a Tressel, Thierry.
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|a IMF Working Papers; Working Paper
|v ;No. 2022/065
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|z Full text available on IMF
|u https://elibrary.imf.org/openurl?genre=journal&issn=1018-5941&volume=2022&issue=065
|z IMF e-Library
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