IDEAS home Printed from https://ideas.repec.org/p/snb/snbwpa/2015-05.html

Mortgage arrears in Europe: The impact of monetary and macroprudential policies

Author

Listed:
  • Petra Gerlach
  • Seán Lyons

Abstract

Mortgage arrears arise if a household faces affordability problems and/or is in negative equity. Because widespread arrears pose a risk to the stability of banks and limit households' future access to credit, a crucial question is how monetary or macroprudential policies influence their incidence. We use a European household data set to analyse what drives arrears and find that affordability problems, such as unemployment, low income and high mortgage payments, matter, which suggests that monetary policy has an impact. Households facing the dual trigger of affordability problems and negative equity are more likely to go into longer-term arrears; macroprudential regulation preventing high loan-to-value (LTV) ratios can thus also have an impact.

Suggested Citation

  • Petra Gerlach & Seán Lyons, 2015. "Mortgage arrears in Europe: The impact of monetary and macroprudential policies," Working Papers 2015-05, Swiss National Bank.
    • Handle: RePEc:snb:snbwpa:2015-05
    as

    Download full text from publisher

    File URL: https://www.snb.ch/en/publications/research/working-papers/2015/working_paper_2015_05
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. David ARISTEI & Manuela Gallo, 2012. "The Drivers of Household Over-Indebtedness and Delinquency on Mortgage Loans: Evidence from Italian Microdata," Quaderni del Dipartimento di Economia, Finanza e Statistica 105/2012, Università di Perugia, Dipartimento Economia.
    2. Philippon, Thomas & Midrigan, Virgiliu, 2011. "Household Leverage and the Recession," CEPR Discussion Papers 8381, C.E.P.R. Discussion Papers.
    3. Fossen, Frank M., 2011. "Personal bankcuptcy law, wealth and entrepreneurship - Theory and evidence from the introduction of a 'fresh start'," Discussion Papers 2011/8, Free University Berlin, School of Business & Economics.
    4. Michael Ehrmann & Michael Ziegelmeyer, 2017. "Mortgage Choice in the Euro Area: Macroeconomic Determinants and the Effect of Monetary Policy on Debt Burdens," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(2-3), pages 469-494, March.
    5. Ramon Gomez-Salvador & Adriana Lojschova & Thomas Westermann, 2011. "Household Sector Borrowing in the Euro Area: A Micro Data Persective," BCL working papers 58, Central Bank of Luxembourg.
    6. repec:mea:meawpa:14283 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Andrew Linn & Ronan C. Lyons, 2020. "Three Triggers? Negative Equity, Income Shocks and Institutions as Determinants of Mortgage Default," The Journal of Real Estate Finance and Economics, Springer, vol. 61(4), pages 549-575, November.
    2. Mitrašević Mirela, 2021. "The Role of Macroprudential Policy in Bank Housing Loans Portfolio Quality Assurance," Economic Themes, Sciendo, vol. 59(2), pages 281-296, June.
    3. Andrew Linn & Ronan C Lyons, 2018. "The Triple Trigger? Negative Equity, Income Shocks and Institutions as Determinants of Mortgage Default," Trinity Economics Papers tep0718, Trinity College Dublin, Department of Economics.
    4. Silvia Del Prete & Cristina Demma & Paola Rossi, 2017. "From few to many: product differentiation in the Italian mortgage market," Questioni di Economia e Finanza (Occasional Papers) 383, Bank of Italy, Economic Research and International Relations Area.
    5. Aller, Carlos & Grant, Charles, 2018. "The effect of the financial crisis on default by Spanish households," Journal of Financial Stability, Elsevier, vol. 36(C), pages 39-52.
    6. Stanga, Irina & Vlahu, Razvan & de Haan, Jakob, 2020. "Mortgage arrears, regulation and institutions: Cross-country evidence," Journal of Banking & Finance, Elsevier, vol. 118(C).
    7. Ranisavljević Duško & Hadžić Miroljub, 2016. "Realistic Evaluation of the Ratio: Loan-To-value – The Key to Minimising the Credit Risk," Economic Themes, Sciendo, vol. 54(3), pages 449-468, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Du Caju, Philip & Rycx, François & Tojerow, Ilan, 2016. "Unemployment risk and over-indebtedness," Working Paper Series 1908, European Central Bank.
    2. Philip Du Caju & François Rycx & Ilan Tojerow, 2015. "Unemployment Risk and Over-indebtedness A Micro-econometric Perspective," Working Papers CEB 15-046, ULB -- Universite Libre de Bruxelles.
    3. Pierre Mabille, 2019. "Aggregate Precautionary Savings Motives," 2019 Meeting Papers 344, Society for Economic Dynamics.
    4. Martin Beraja, 2017. "Counterfactual Equivalence in Macroeconomics," 2017 Meeting Papers 1400, Society for Economic Dynamics.
    5. Nyakabawo, Wendy & Miller, Stephen M. & Balcilar, Mehmet & Das, Sonali & Gupta, Rangan, 2015. "Temporal causality between house prices and output in the US: A bootstrap rolling-window approach," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 55-73.
    6. Kyle Herkenhoff, 2016. "The Impact of Consumer Credit Access on Employment, Earnings and Entrepreneurship," 2016 Meeting Papers 781, Society for Economic Dynamics.
    7. Benigno, Pierpaolo & Romei, Federica, 2014. "Debt deleveraging and the exchange rate," Journal of International Economics, Elsevier, vol. 93(1), pages 1-16.
    8. Jonathan Heathcote & Fabrizio Perri, 2018. "Wealth and Volatility," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(4), pages 2173-2213.
    9. Palligkinis, Spyros, 2025. "Bank lending rates and the riskiness of euro area household loans," Working Paper Series 3053, European Central Bank.
    10. Ampudia, Miguel & Pavlickova, Akmaral & Slacalek, Jiri & Vogel, Edgar, 2016. "Household heterogeneity in the euro area since the onset of the Great Recession," Journal of Policy Modeling, Elsevier, vol. 38(1), pages 181-197.
    11. Sumit Agarwal & Souphala Chomsisengphet & Neale Mahoney & Strö & Johannes bel, 2015. "Do Banks Pass Through Credit Expansions? The Marginal Profitability of Consumer Lending During the Great Recession," CESifo Working Paper Series 5521, CESifo.
    12. Dancsik, Bálint, 2017. "Számít-e a devizahiteles múlt?. A lakáshitelkamatok rögzítéséről szóló döntés vizsgálata mikroszintű adatokon [Analysing the decision of fixing housing loan interest rates on micro-level data: does FX loan history matter?]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(10), pages 1030-1055.
    13. Cristina Arellano & Yan Bai & Patrick J. Kehoe, 2019. "Financial Frictions and Fluctuations in Volatility," Journal of Political Economy, University of Chicago Press, vol. 127(5), pages 2049-2103.
    14. Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2016. "A Simple Model of Subprime Borrowers and Credit Growth," American Economic Review, American Economic Association, vol. 106(5), pages 543-547, May.
    15. Mocetti, Sauro & Viviano, Eliana, 2017. "Looking behind mortgage delinquencies," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 53-63.
    16. Ying Fan & Kai-Uwe Kühn & Francine Lafontaine, 2017. "Financial Constraints and Moral Hazard: The Case of Franchising," Journal of Political Economy, University of Chicago Press, vol. 125(6), pages 2082-2125.
    17. Albertazzi, Ugo & Fringuellotti, Fulvia & Ongena, Steven, 2024. "Fixed rate versus adjustable rate mortgages: Evidence from euro area banks," European Economic Review, Elsevier, vol. 161(C).
    18. Patrick J. Kehoe & Virgiliu Midrigan & Elena Pastorino, 2019. "Debt Constraints and Employment," Journal of Political Economy, University of Chicago Press, vol. 127(4), pages 1926-1991.
    19. Corina Boar & Denis Gorea & Virgiliu Midrigan, 2022. "Liquidity Constraints in the U.S. Housing Market," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(3), pages 1120-1154.
    20. Zhang, Yahong, 2019. "Household debt, financial intermediation, and monetary policy," Journal of Macroeconomics, Elsevier, vol. 59(C), pages 230-257.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • D14 - Microeconomics - - Household Behavior - - - Household Saving; Personal Finance
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:snb:snbwpa:2015-05. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Enzo Rossi (email available below). General contact details of provider: https://edirc.repec.org/data/snbgvch.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.