Mortgage Default Risk: New Evidence from Internet Search Queries

Marcelle Chauvet, Stuart Gabriel, Chandler Lutz

Publikation: Bidrag til tidsskriftTidsskriftartikel

Abstrakt

We use Google search query data to develop a broad-based and real-time index of mortgage default risk. Unlike established indicators, our Mortgage Default Risk Index (MDRI) directly reflects households’concerns regarding their risk of mortgage default. The MDRI predicts housing returns, mortgage delinquency indicators, and subprime credit default swaps. These results persist both in- and out-of-sample and at multiple data frequencies. Together, research findings suggest internet search queries yield valuable new insights into household mortgage default risk.
OriginalsprogEngelsk
TidsskriftJournal of Urban Economics
Vol/bind96
Sider (fra-til)91–111
Antal sider21
ISSN0094-1190
DOI
StatusUdgivet - nov. 2016

Emneord

  • Mortgage default risk

Citationsformater