Mortgage Default Risk: New Evidence from Internet Search Queries

Marcelle Chauvet, Stuart Gabriel, Chandler Lutz

Research output: Contribution to journalJournal articleResearchpeer-review


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 languageEnglish
JournalJournal of Urban Economics
Pages (from-to)91–111
Number of pages21
Publication statusPublished - Nov 2016


  • Mortgage default risk

Cite this