Loan to Value Caps and Government-Backed Mortgage Insurance

Autor:	Mauro Mastrogiacomo, Leo de Haan
Přispěvatelé:	Economics
Jazyk:	angličtina
Rok vydání:	2020
Předmět:	Loan to value Economics and Econometrics Government Level data Financial system SDG 8 - Decent Work and Economic Growth Mortgage insurance Loan-to-value ratio Order (exchange) Loan Mortgage loans Loan guarantees Level evidence Business Credit risk Public finance
Zdroj:	de Haan, L & Mastrogiacomo, M 2020, ' Loan to Value Caps and Government-Backed Mortgage Insurance : Loan-Level Evidence from Dutch Residential Mortgages ', Economist (Netherlands), vol. 168, no. 4, pp. 453-473 . https://doi.org/10.1007/s10645-020-09367-w Economist (Netherlands), 168(4), 453-473. Springer Netherlands
ISSN:	0013-063X
DOI:	10.1007/s10645-020-09367-w
Popis:	Using loan level data on mortgage loans originated by Dutch banks during 1996 to 2015, we analyse the determinants of the incidence of non-performance. We find that both the originating loan-to-value ratio (OLTV) and the debt-service-to-income ratio are significantly positively associated with the probability of non-performance. The results suggest that mortgages with government-loan-guarantees perform better. Moreover, several mortgage loan and borrower characteristics, such as the (interest-only) loan type and the underwater status of the borrower, increase credit risk. Our model predictions suggest a novel policy implication: in order to avoid acceleration of non-performance probabilities, the OLTV-limit should be set to about 70–80% for uninsured mortgages, and to about 90% for those with mortgage insurance.
Databáze:	OpenAIRE
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