Impairment and Negative Equity in the Irish Mortgage Market
AbstractUnderstanding the true scale of the difficulties in the Irish mortgage market is of key importance from a financial stability, fiscal and social perspective. 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. However, the combination of these two factors raises fundamental policy issues. 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.
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Bibliographic InfoPaper provided by Central Bank of Ireland in its series Research Technical Papers with number 9/RT/11.
Date of creation: May 2011
Date of revision:
Credit; Solvency; Delinquency; Copula;
Other versions of this item:
- Kelly, Robert & McCarthy, Yvonne & McQuinn, Kieran, 2012. "Impairment and negative equity in the Irish mortgage market," Journal of Housing Economics, Elsevier, vol. 21(3), pages 256-268.
- 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
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