Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/308871 
Year of Publication: 
2023
Citation: 
[Journal:] Journal of Financial Services Research [ISSN:] 1573-0735 [Volume:] 64 [Issue:] 3 [Publisher:] Springer US [Place:] New York, NY [Year:] 2023 [Pages:] 369-399
Publisher: 
Springer US, New York, NY
Abstract: 
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.
Subjects: 
Residential real estate
Mortgages
Credit risk
Stress testing
Germany
JEL: 
G01
G17
G21
G28
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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