TY - JOUR
T1 - Mortgage Default Risk
T2 - New Evidence from Internet Search Queries
AU - Chauvet, Marcelle
AU - Gabriel, Stuart
AU - Lutz, Chandler
PY - 2016/11
Y1 - 2016/11
N2 - 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.
AB - 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.
KW - Mortgage default risk
KW - Mortgage default risk
U2 - 10.1016/j.jue.2016.08.004
DO - 10.1016/j.jue.2016.08.004
M3 - Journal article
VL - 96
SP - 91
EP - 111
JO - Journal of Urban Economics
JF - Journal of Urban Economics
SN - 0094-1190
ER -