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Mortgage arrears, regulation and institutions: Cross-country evidence

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  • Stanga, Irina
  • Vlahu, Razvan
  • de Haan, Jakob

Abstract

Using a newly constructed database for 26 countries over 2000-2014, we analyze cross-country and within-country differences in mortgage arrears. We find that restrictive macro-prudential policies, in particular lower regulatory loan-to-value ratios, are significantly associated with a lower share of mortgage arrears in total residential debt. Likewise, better institutions are related with lower delinquency rates, both directly and by enhancing the impact of macro-prudential policies and the right to recourse. We also find that the effect of macro-prudential policies is conditioned by several mortgage market characteristics, such as the maturity of loans, interest rate fixity, and tax deductibility of interest payments.

Suggested Citation

  • Stanga, Irina & Vlahu, Razvan & de Haan, Jakob, 2020. "Mortgage arrears, regulation and institutions: Cross-country evidence," Journal of Banking & Finance, Elsevier, vol. 118(C).
    • Handle: RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301552
    DOI: 10.1016/j.jbankfin.2020.105889
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    More about this item

    Keywords

    Mortgage market; Arrears; Macro-prudential regulation; Institutions;
    All these keywords.

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • D14 - Microeconomics - - Household Behavior - - - Household Saving; Personal Finance
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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