Impairment and negative equity in the Irish mortgage market
AbstractAmongst the many housing markets across the OECD presently experiencing difficulties, the Irish case stands out. Between 2004 and 2007, a significant house price bubble emerged in Ireland, while the real economy was enjoying persistently strong growth rates. The sharp decline in house prices post 2007 coupled with the significant increase in unemployment has generated a combination of difficulties for the Irish residential market. To date, much of the analysis and discussion of the Irish market has tended to focus on either the concept of mortgage repayment distress or potential negative equity. By examining the issue of credit default in the Irish mortgage market, we focus on the interaction between delinquency (repayment distress) and solvency (negative equity). Building on earlier work, which used the Survey on Income and Living Conditions (SILC), we marry existing estimates of repayment distress with estimates of negative equity for a representative sample of Irish households. Using copula modelling we then examine the dependence structure across the distributions of mortgage delinquency and solvency for these households. As a result, we are in a position to estimate the probability that a household experiencing repayment distress might also be in negative equity.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Housing Economics.
Volume (Year): 21 (2012)
Issue (Month): 3 ()
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/622881
D14; C16; C81; Credit; Solvency; Delinquency; Copula;
Other versions of this item:
- Kelly, Robert & McCarthy, Yvonne & McQuinn, Kieran, 2011. "Impairment and Negative Equity in the Irish Mortgage Market," Research Technical Papers 9/RT/11, Central Bank of Ireland.
- D14 - Microeconomics - - Household Behavior - - - Household Saving; Personal Finance
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Genest, Christian & Rémillard, Bruno & Beaudoin, David, 2009. "Goodness-of-fit tests for copulas: A review and a power study," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 199-213, April.
- Fernando Ferreira & Joseph Gyourko & Joseph Tracy, 2008.
"Housing Busts and Household Mobility,"
NBER Working Papers
14310, National Bureau of Economic Research, Inc.
- Yvonne McCarthy & Kieran McQuinn, 2011. "How Are Irish Households Coping with their Mortgage Repayments? Information from the Survey on Income and Living Conditions," The Economic and Social Review, Economic and Social Studies, vol. 42(1), pages 71-94.
- Neil Bhutta & Jane Dokko & Hui Shan, 2010. "The depth of negative equity and mortgage default decisions," Finance and Economics Discussion Series 2010-35, Board of Governors of the Federal Reserve System (U.S.).
- McCarthy, Yvonne & McQuinn, Kieran, 2010. "How are Irish households coping with their mortgage repayments? Information from the SILC Survey," Research Technical Papers 2/RT/10, Central Bank of Ireland.
- Georgarakos, Dimitris & Lojschová, Adriana & Ward-Warmedinger, Melanie, 2010.
"Mortgage indebtedness and household financial distress,"
Working Paper Series
1156, European Central Bank.
- Georgarakos, Dimitris & Lojschova, Adriana & Ward-Warmedinger, Melanie E., 2009. "Mortgage Indebtedness and Household Financial Distress," IZA Discussion Papers 4631, Institute for the Study of Labor (IZA).
- Hugo Benítez-Silva & Selcuk Eren & Frank Heiland & Sergi Jiménez-Martín, 2008.
"How well do individuals predict the selling prices of their homes?,"
Economics Working Papers
1065, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 2008.
- Hugo Benitez-Silva & Selcuk Eren & Frank Heiland & Sergi Jimenez-Martin, 2007. "How well do Individuals predict the Selling Prices of their Homes?," Department of Economics Working Papers 07-06, Stony Brook University, Department of Economics.
- Hugo Benitez-Silva & Selcuk Eren & Frank Heiland & Sergi Jimenez-Martín, 2009. "How Well Do Individuals Predict the Selling Prices of Their Homes?," Economics Working Paper Archive wp_571, Levy Economics Institute, The.
- Hugo Benítez-Silva & Selcuk Eren & Frank Heiland & Sergi Jiménez-Martín, 2008. "How Well do Individuals Predict the Selling Prices of their Homes?," Working Papers 2008-10, FEDEA.
- Andrew Haughwout & Ebiere Okah & Joseph Tracy, 2009. "Second chances: subprime mortgage modification and re-default," Staff Reports 417, Federal Reserve Bank of New York.
- David Duffy, 2010.
"Negative Equity in the Irish Housing Market,"
The Economic and Social Review,
Economic and Social Studies, vol. 41(1), pages 109-132.
- Henley, Andrew, 1998. "Residential Mobility, Housing Equity and the Labour Market," Economic Journal, Royal Economic Society, vol. 108(447), pages 414-27, March.
- Wilson Sy, 2007. "A Causal Framework for Credit Default Theory," Research Paper Series 204, Quantitative Finance Research Centre, University of Technology, Sydney.
- Olivier Scaillet, 2005.
"Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters,"
FAME Research Paper Series
rp145, International Center for Financial Asset Management and Engineering.
- Scaillet, Olivier, 2007. "Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters," Journal of Multivariate Analysis, Elsevier, vol. 98(3), pages 533-543, March.
- Keeney, Mary J. & O’Donnell, Nuala, 2009. "Financial Capability:New Evidence for Ireland," Research Technical Papers 1/RT/09, Central Bank of Ireland.
- Reamonn Lyndon & Yvonne McCarthy, 2013.
"What Lies Beneath? Understanding Recent Trends in Irish Mortgage Arrears,"
The Economic and Social Review,
Economic and Social Studies, vol. 44(1), pages 117â150.
- Lydon, Reamonn & McCarthy, Yvonne, 2011. "What Lies Beneath? Understanding Recent Trends in Irish Mortgage Arrears," Research Technical Papers 14/RT/11, Central Bank of Ireland.
- Kennedy, Gerard & McIndoe Calder, Tara, 2011. "The Irish Mortgage Market: Stylised Facts, Negative Equity and Arrears," Research Technical Papers 12/RT/11, Central Bank of Ireland.
- McGuinness, Anne, 2011. "The Distribution of Property Level Mortgage Arrears," Economic Letters 06/EL/11, Central Bank of Ireland.
- McCarthy, Yvonne & McQuinn, Kieran, 2013. "Price expectations, distressed mortgage markets and the housing wealth effect," Research Technical Papers 06/RT/13, Central Bank of Ireland.
- McCarthy, Yvonne & McQuinn, Kieran, 2013. "Credit conditions in a boom and bust property market," Research Technical Papers 08/RT/13, Central Bank of Ireland.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.