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Risk assessment of mortgage covered bonds: International evidence

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  • Gürtler, Marc
  • Neelmeier, Philipp

Abstract

We investigate factors influencing risk premiums of mortgage covered bonds issued in 22 countries and 10 currencies. We show that previously published results for euro-denominated mortgage covered bonds issued in France, Germany, Spain, and the UK can be verified for our much broader transnational dataset. Furthermore, we transfer results on factors influencing risk premiums of public covered bonds to the international mortgage-covered-bond market. Finally, we show that despite having similar factors influencing risk premiums, there are differences in the effects of variables describing the quality of the cover assets between public and mortgage covered bonds.

Suggested Citation

  • Gürtler, Marc & Neelmeier, Philipp, 2019. "Risk assessment of mortgage covered bonds: International evidence," Finance Research Letters, Elsevier, vol. 28(C), pages 292-298.
    • Handle: RePEc:eee:finlet:v:28:y:2019:i:c:p:292-298
    DOI: 10.1016/j.frl.2018.05.004
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    References listed on IDEAS

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    1. Hansen, Bruce E., 1999. "Threshold effects in non-dynamic panels: Estimation, testing, and inference," Journal of Econometrics, Elsevier, vol. 93(2), pages 345-368, December.
    2. Frank Packer & Ryan Stever & Christian Upper, 2007. "The covered bond market," BIS Quarterly Review, Bank for International Settlements, September.
    3. Gürtler, Marc & Neelmeier, Philipp, 2018. "Empirical analysis of the international public covered bond market," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 163-181.
    4. João M. Pinto & Mafalda C. Correia, 2017. "Are Covered Bonds Different from Asset Securitization Bonds?," Working Papers de Gestão (Management Working Papers) 01, Católica Porto Business School, Universidade Católica Portuguesa.
    5. Prokopczuk, Marcel & Siewert, Jan B. & Vonhoff, Volker, 2013. "Credit risk in covered bonds," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 102-120.
    6. Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese, 2012. "The term structure of illiquidity premia," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1381-1391.
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    More about this item

    Keywords

    Mortgage covered bonds; Risk premiums; Pfandbrief;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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