Mortgage Default Risk: New Evidence from Internet Search Queries

Marcelle Chauvet, Stuart Gabriel, Chandler Lutz

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

Resumé

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.
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.
SprogEngelsk
TidsskriftJournal of Urban Economics
Vol/bind96
Sider91–111
ISSN0094-1190
DOI
StatusUdgivet - nov. 2016

Emneord

  • Mortgage default risk

Citer dette

Chauvet, Marcelle ; Gabriel, Stuart ; Lutz, Chandler. / Mortgage Default Risk : New Evidence from Internet Search Queries. I: Journal of Urban Economics. 2016 ; Bind 96. s. 91–111
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Chauvet, M, Gabriel, S & Lutz, C 2016, 'Mortgage Default Risk: New Evidence from Internet Search Queries' Journal of Urban Economics, bind 96, s. 91–111. DOI: 10.1016/j.jue.2016.08.004

Mortgage Default Risk : New Evidence from Internet Search Queries. / Chauvet, Marcelle; Gabriel, Stuart; Lutz, Chandler.

I: Journal of Urban Economics, Bind 96, 11.2016, s. 91–111.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

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Chauvet M, Gabriel S, Lutz C. Mortgage Default Risk: New Evidence from Internet Search Queries. Journal of Urban Economics. 2016 nov;96:91–111. Tilgængelig fra, DOI: 10.1016/j.jue.2016.08.004

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