No Reason to Worry About German Mortgages? An Analysis of Macroeconomic and Individual Drivers of Credit Risk

This paper analyzes the macroeconomic and borrower-specific credit risk factors of residential real estate mortgages in Germany. Relying on a macroeconomic panel VAR model, we show a significant link between foreclosures, house price dynamics and unemployment. Using microeconomic regressions, we sho...

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Detalles Bibliográficos
Autores principales: Barasinska, Nataliya, Haenle, Philipp, Koban, Anne, Schmidt, Alexander
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2023
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10246538/
http://dx.doi.org/10.1007/s10693-023-00409-3
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author Barasinska, Nataliya
Haenle, Philipp
Koban, Anne
Schmidt, Alexander
author_facet Barasinska, Nataliya
Haenle, Philipp
Koban, Anne
Schmidt, Alexander
author_sort Barasinska, Nataliya
collection PubMed
description This paper analyzes the macroeconomic and borrower-specific credit risk factors of residential real estate mortgages in Germany. Relying on a macroeconomic panel VAR model, we show a significant link between foreclosures, house price dynamics and unemployment. Using microeconomic regressions, we show that defaults are driven mostly by income and liquidity rather than loan-to-value (LTV) ratios. Based on those insights, we calibrate a structural model which predicts a significant increase in mortgage losses in a stress scenario, driven only partially by high-LTV loans. Hence, from a macroprudential perspective our findings support the need for a broad toolkit going beyond LTV-limits. SUPPLEMENTARY INFORMATION: The online version contains supplementary material available at 10.1007/s10693-023-00409-3.
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spelling pubmed-102465382023-06-08 No Reason to Worry About German Mortgages? An Analysis of Macroeconomic and Individual Drivers of Credit Risk Barasinska, Nataliya Haenle, Philipp Koban, Anne Schmidt, Alexander J Financ Serv Res Article This paper analyzes the macroeconomic and borrower-specific credit risk factors of residential real estate mortgages in Germany. Relying on a macroeconomic panel VAR model, we show a significant link between foreclosures, house price dynamics and unemployment. Using microeconomic regressions, we show that defaults are driven mostly by income and liquidity rather than loan-to-value (LTV) ratios. Based on those insights, we calibrate a structural model which predicts a significant increase in mortgage losses in a stress scenario, driven only partially by high-LTV loans. Hence, from a macroprudential perspective our findings support the need for a broad toolkit going beyond LTV-limits. SUPPLEMENTARY INFORMATION: The online version contains supplementary material available at 10.1007/s10693-023-00409-3. Springer US 2023-06-07 /pmc/articles/PMC10246538/ http://dx.doi.org/10.1007/s10693-023-00409-3 Text en © The Author(s) 2023 https://creativecommons.org/licenses/by/4.0/Open Access This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/ (https://creativecommons.org/licenses/by/4.0/) .
spellingShingle Article
Barasinska, Nataliya
Haenle, Philipp
Koban, Anne
Schmidt, Alexander
No Reason to Worry About German Mortgages? An Analysis of Macroeconomic and Individual Drivers of Credit Risk
title No Reason to Worry About German Mortgages? An Analysis of Macroeconomic and Individual Drivers of Credit Risk
title_full No Reason to Worry About German Mortgages? An Analysis of Macroeconomic and Individual Drivers of Credit Risk
title_fullStr No Reason to Worry About German Mortgages? An Analysis of Macroeconomic and Individual Drivers of Credit Risk
title_full_unstemmed No Reason to Worry About German Mortgages? An Analysis of Macroeconomic and Individual Drivers of Credit Risk
title_short No Reason to Worry About German Mortgages? An Analysis of Macroeconomic and Individual Drivers of Credit Risk
title_sort no reason to worry about german mortgages? an analysis of macroeconomic and individual drivers of credit risk
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10246538/
http://dx.doi.org/10.1007/s10693-023-00409-3
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