What Drives Mortgage Default Risk in Europe and the U.S.? /

What Drives Mortgage Default Risk in Europe and the U.S.? /

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 shee...

書誌詳細
第一著者:	Gross, Marco
その他の著者:	Ding, Xiaodan, Tereanu, Eugen, Tressel, Thierry
フォーマット:	雑誌
言語:	English
出版事項:	Washington, D.C. : International Monetary Fund, 2022.
シリーズ:	IMF Working Papers; Working Paper ;No. 2022/065
主題:	Central Banks and Their Policies Economics General Financial Markets Macroeconomics Multiple or Simultaneous Equation Models
オンライン･アクセス:	Full text available on IMF

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