02418cas a2200337 a 4500 AALejournalIMF022607 230101c9999 xx r poo 0 0eng d 5.00 USD 9798400205705 1018-5941 BD-DhAAL BD-DhAAL Gross, Marco. What Drives Mortgage Default Risk in Europe and the U.S.? / Marco Gross, Thierry Tressel, Xiaodan Ding, Eugen Tereanu. Washington, D.C. : International Monetary Fund, 2022. 1 online resource (38 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students 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. Mode of access: Internet Central Banks and Their Policies imf Economics imf General Financial Markets imf Macroeconomics imf Multiple or Simultaneous Equation Models imf Ding, Xiaodan. Tereanu, Eugen. Tressel, Thierry. IMF Working Papers; Working Paper ;No. 2022/065 Full text available on IMF https://elibrary.imf.org/openurl?genre=journal&issn=1018-5941&volume=2022&issue=065 IMF e-Library