Determinants of mortgage arrears in Europe: evidence from household microdata

References

• Ai, C., & Norton, E.C. (2003). Interaction terms in logit and probit models. Economics Letters, 80, 123–129.
   Web of Science ®Google Scholar
• Ampudia, M., van Vlokhoven, H., & Zochowski, D. (2016). Financial fragility of euro area households. Journal of Financial Stability, 207(C), 250–262.
   Web of Science ®Google Scholar
• Aristei, D., & Gallo, M. (2016). The determinants of households’ repayment difficulties on mortgage loans: Evidence from Italian microdata. International Journal of Consumer Studies, 40(4), 453–465.
   Web of Science ®Google Scholar
• Aron, J., & Muellbauer, J. (2010). Modelling and forecasting UK mortgage arrears and possessions. London: Department for Communities and Local Government.
   Google Scholar
• Bhutta, N., Dokko, J., & Shan, H. (2010). The depth of negative equity and mortgage default decisions. Federal Reserve Board Finance and Economics Discussion Series, 2010–35. Retrieved from https://www.federalreserve.gov/pubs/feds/2010/201035/201035pap.pdf
   Google Scholar
• Blanco, R., & Gimeno, R. (2012). Determinants of default ratios in the segment of loans to households in Spain. ( Banco de Espana Documentos de Trabajo 1210). Madrid: Bank of Spain.
   Google Scholar
• Böheim, R., & Taylor, M.P. (2000). My home was my castle: Evictions and repossessions in Britain. Journal of Housing Economics, 9, 287–319.
   Web of Science ®Google Scholar
• Borgersen, T.-A. (2016). Housing appreciations and the (in)stable relation between housing and mortgage markets. International Journal of Housing Policy, 16(1), 91–110.
   Web of Science ®Google Scholar
• Brown, S. (2015). Household repayment behaviour and neighbourhood effects. Urban Studies, 52(6), 1169–1188.
   Web of Science ®Google Scholar
• Claessens, S., & Klapper, L.F. (2005). Bankruptcy around the world: Explanations of its relative use. American Law and Economics Review, 7(1), 253–283.
   Google Scholar
• Connor, G., & Flavin, T. (2013). Irish mortgage default optionality, mimeo. Ireland: Maynooth University.
   Google Scholar
• Dawson, C., & Henley, A. (2012). Something will turn up? Financial over-optimism and mortgage arrears. Economics Letters, 117(1), 49–52.
   Web of Science ®Google Scholar
• Demyanyk, Y., Koijen, R. S. J., & Van Hemert, O. (2010). Determinants and consequences of mortgage default. ( Federal Reserve Bank of Cleveland Working Paper 10–19). Cleveland, OH: Federal Reserve Bank of Cleveland.
   Google Scholar
• Diaz-Serrano, L. (2005). Income volatility and residential mortgage delinquency across the EU. Journal of Housing Economics, 14(3), 153–177.
   Web of Science ®Google Scholar
• Doling, J., Horsewood, N., & Neuteboom, P. (2007). Why do European home owners experience loan repayment difficulties? Some preliminary results combining macro and micro approaches. International Journal of Housing Policy, 7(2), 193–209.
   Google Scholar
• Duygan-Bump, B., & Grant, C. (2009). Household debt repayment behaviour: What role do institutions play? Economic Policy, 24(57), 107–140.
   Web of Science ®Google Scholar
• Elmer, P.J., & Seelig, S.A. (1999). Insolvency, trigger events, and consumer risk posture in the theory of single-family mortgage default. Journal of Housing Research, 10(1), 1–25.
   Google Scholar
• Elul, R., Souleles, N.S., Chomsisengphet, S., Glennon, D., & Hunt, R. (2010). What “triggers” mortgage default? American Economic Review, 100(2), 490–494.
   Web of Science ®Google Scholar
• European Central Bank. (2009). Housing finance in the euro area. Frankfurt: European Central Bank.
   Google Scholar
• European Mortgage Federation. (2009). Country fact sheet Poland. Brussels: European Mortgage Federation.
   Google Scholar
• European Mortgage Federation. (2012). Country fact sheets Hungary and United Kingdom. Brussels: European Mortgage Federation.
   Google Scholar
• Figueira, C., Glen, J., & Nellis, J. (2005). A dynamic analysis of mortgage arrears in the UK housing market. Urban Studies, 42(10), 1755–1769.
   Web of Science ®Google Scholar
• Foote, C.L., Gerardi, K., & Willen, P.S. (2008). Negative equity and foreclosure: Theory and evidence. Journal of Urban Economics, 64(2), 234–245.
   Web of Science ®Google Scholar
• Ford, J., Burrows, R., & Nettleton, S. (2001). Homeownership in a risk society: A social analysis of mortgage arrears and possessions. Bristol: Policy Press.
   Google Scholar
• Frade, C., & Abreu Lopes, C. (2009). Overindebtedness and financial stress: A comparative study in Europe. In J. Niemi, I. Ramsay, & W. C. Whitford (Eds.), Consumer credit, debt and bankruptcy: Comparative and international perspectives (pp. 249–272). Oxford: Hart Publishing.
   Google Scholar
• Georgarakos, D., & Furth, S. (2015). Household repayment behavior: The role of social capital, institutional, political and religious beliefs. European Journal of Political Economy, 37, 249–265.
   Google Scholar
• Gerardi, K., Herkenhoff, K.F., Ohanian, L.E., & Willen, P.S. (2013). Unemployment, negative equity and strategic default. ( Federal Reserve Bank of Atlanta Working Paper, 2013–4). Atlanta, GA: Federal Reserve Bank of Atlanta.
   Google Scholar
• Gerhardt, M. (2009). Consumer bankruptcy regimes and credit default in the US and Europe: A comparative study. ( Centre for European Policy Studies Working Document, 318). Brussels: Centre for European Policy Studies.
   Google Scholar
• Gerlach-Kristen, P., & Lyons, S. (2015). Mortgage arrears in Europe: The impact of monetary and macroprudential policies. ( SNB Working Paper, 2015–05). Zürich: Swiss National Bank.
   Google Scholar
• Ghent, A.C., & Kudlyak, M. (2011). Recourse and residential mortgage default: Theory and evidence from U.S. states. Review of Financial Studies, 24(9), 3139–3186.
   Web of Science ®Google Scholar
• Gomez-Salvador, R., Lojschova, A., & Westermann, T. (2011). Household sector borrowing in the euro area: A micro data perspective. ECB Occasional Paper, p. 125. Retrieved from https://www.ecb.europa.eu/pub/pdf/scpops/ecbocp125.pdf
   Google Scholar
• Guiso, L., Sapienza, P., & Zingales, L. (2013). The determinants of attitudes toward strategic default on mortgages. Journal of Finance, 68(4), 1473–1515.
   Web of Science ®Google Scholar
• Haffner, M.E.A., Ong, R., & Wood, G.A. (2015). Mortgage equity withdrawal and institutional settings: An explanatory analysis of six countries. International Journal of Housing Policy, 15(3), 235–259.
   Web of Science ®Google Scholar
• Hellebrandt, T., Kawar, S., & Waldron, M. (2009). The economics and estimation of negative equity. Bank of England Quarterly Bulletin, Q2, 110–121.
   Google Scholar
• Jappelli, T., Pagano, M., & Di Maggio, M. (2013). Households' indebtedness and financial fragility. Journal of Financial Management, Markets and Institutions, 2013(1), 23–46.
   Google Scholar
• Kau, J.B., Keenan, D.C., & Kim, T. (1994). Default probabilities for mortgages. Journal of Urban Economics, 35(3), 278–296.
   Web of Science ®Google Scholar
• Li, W., White, M.J., & Zhu, N. (2011). Did bankruptcy reform contribute to the mortgage crisis? American Economic Journal: Economic Policy, 3(4), 123–147.
   Web of Science ®Google Scholar
• Livingstone, S.M., & Lunt, P.K. (1992). Predicting personal debt and debt repayment: Psychological, social and economic determinants. Journal of Economic Psychology, 13(1), 111–134.
   Web of Science ®Google Scholar
• Lydon, R., & McCarthy, Y. (2013). What lies beneath? Understanding recent trends in Irish mortgage arrears. Economic and Social Review, 44(1), 117–150.
   Web of Science ®Google Scholar
• Magri, S., & Pico, R. (2009). Arrears on mortgages: Differences across countries and their effect on the pricing of the loan. Paper presented at the 22nd Australasian Finance and Banking Conference. Retrieved from https://ssrn.com/abstract=1460700
   Google Scholar
• May, O., & Tudela, M. (2005). When is mortgage indebtedness a financial burden to British households? A dynamic probit approach. ( Bank of England Working Paper, 277). London: Bank of England.
   Google Scholar
• McCarthy, Y. (2014). Dis-entangling the mortgage arrears crisis: The role of the labour market, income volatility and negative equity. Journal of the Statistical and Social Inquiry Society of Ireland, 43, 71–90.
   Google Scholar
• Nkusu, M. (2011). Nonperforming loans and macrofinancial vulnerabilities in advanced economies. IMF Working Papers 11/161, 1–27.
   Google Scholar
• Norris, M., Coates, D., & Kane, F. (2007). Breaching the limits of owner occupation? Supporting low-income buyers in the inflated Irish housing market. International Journal of Housing Policy, 7(3), 337–355.
   Google Scholar
• Parkinson, S., Searle, B.A., Smith, S.J., Stoakes, A., & Wood, G. (2009). Mortgage equity withdrawal in Australia and Britain: Towards a wealth-fare state? International Journal of Housing Policy, 9(4), 365–389.
   Google Scholar
• Scanlon, K., Lunde, J., & Whitehead, C. (2011). Responding to the housing and financial crises: Mortgage lending, mortgage products and government policies. International Journal of Housing Policy, 11(1), 23–49.
   Google Scholar
• Turner, B., & Yang, Z. (2006). Security of home ownership – Using equity or benefiting from low debt? International Journal of Housing Policy, 6(3), 279–296.
   Google Scholar
• Wallace, A., & Ford, J. (2010). Limiting possessions? Managing mortgage arrears in a new era. International Journal of Housing Policy, 10(2), 133–154.
   Google Scholar
• Whitley, J., Windram, R., & Cox, P. (2004). An empirical model of household arrears. ( Bank of England Working Paper, 214). London: Bank of England.
   Google Scholar