Mortgage Default Risk: New Evidence from Internet Search Queries

Marcelle Chauvet; Stuart Gabriel; Chandler Lutz

doi:10.1016/j.jue.2016.08.004

Mortgage Default Risk: New Evidence from Internet Search Queries

Marcelle Chauvet, Stuart Gabriel, Chandler Lutz

Department of Economics

Research output: Contribution to journal › Journal article › Research › peer-review

Abstract

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.

Original language	English
Journal	Journal of Urban Economics
Volume	96
Pages (from-to)	91–111
Number of pages	21
ISSN	0094-1190
DOIs	https://doi.org/10.1016/j.jue.2016.08.004
Publication status	Published - Nov 2016

Keywords

Mortgage default risk

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Cite this

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title = "Mortgage Default Risk: New Evidence from Internet Search Queries",

abstract = "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{\textquoteright}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.",

keywords = "Mortgage default risk, Mortgage default risk",

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AU - Lutz, Chandler

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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.

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