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Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case

Author

Listed:
  • Monica Billio

    (Department of Economics, University Of Venice CÃ Foscari)

  • Michele Costola

    (Department of Economics, University Of Venice CÃ Foscari)

  • Loriana Pelizzon

    (Research Center SAFE, Goethe University Frankfurt)

  • Max Riedel

    (Department of Economics, University Of Venice CÃ Foscari; Research Center SAFE, Goethe University Frankfurt)

Abstract

We investigate the relation between buildings' energy efficiency and the probability of mortgage default. To this end, we construct a novel panel dataset by combining Dutch loan-level mortgage information with provisional building energy ratings that are provided by the Netherlands Enterprise Agency. By employing the logistic regression and the extended Cox model, we find that buildings' energy efficiency is associated with lower likelihood of mortgage default. We also show that energy efficiency provides a further mitigation of default risk for borrowers with a lower income potentially because of the savings coming from lower utility bills, which have a major impact on the borrower with less disposable income. The results hold for a battery of robustness checks.

Suggested Citation

  • Monica Billio & Michele Costola & Loriana Pelizzon & Max Riedel, 2020. "Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case," Working Papers 2020:06, Department of Economics, University of Venice "Ca' Foscari".
  • Handle: RePEc:ven:wpaper:2020:06
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Mortgages; Energy Efficiency; Credit Risk;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

    NEP fields

    This paper has been announced in the following NEP Reports:

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