欧洲央行-抵押贷款利率与浮动利率抵押贷款违约（英）

Working Paper Series Mortgage loan rates and the defaults of variable rate mortgages Emil Bandoni, Friederike Fourné, Barbara Jarmulska Disclaimer: This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. No 3112 AbstractUsing a granular database of variable rate euro area loans and analysing theirdefaults between 2014 and 2019, we show that the effect of interest rate changeson mortgage defaults is highly non-linear. First, we find that the risk associatedwith higher contemporaneous interest rates is concentrated among borrowers whogot the loan at ultra-low interest rates, their default probability being 2.6 timeshigher than our sample average. Second, we show that the effect of interest ratechanges on the default probability is asymmetric: interest rate cuts have rathersmall effects, whereas increases significantly raise default probabilities. Finally,we show that the magnitude of the effect of an interest rate increase depends onthe history of net interest rate changes, with a consecutive interest rate increasehaving a 3 times stronger impact on the default probability than an increasefollowing an interest rate decrease.Keywords: Monetary Policy, Financial Stability, Mortgages. JEL: E52, G21, G51ECB Working Paper Series No 31121Non-technical summaryHousing crises are more frequent than commonly thought: since the late 19th century, ad-vanced economies have faced an average of four housing market turmoils per decade (Dotsiset al., 2023).Housing finance has been shown to play an important role in the GlobalFinancial Crisis (Mian and Sufi, 2009, 2011). A sudden increase in mortgage repaymentobligations could cause households to be unable to service their debt, and an increase inmortgage defaults could damage the entire economy (Aron and Muellbauer, 2016; Campbelland Cocco, 2015). A sudden increase in debt service burdens is of particular concern forborrowers with variable rate loans. While mortgage defaults have been on a downward trendin the euro area since the Global Financial Crisis, the ultra-low interest rate environmentthat started around 2014 contributed to the build-up of stocks of mortgage loans subject tointerest rate increases during the 2022-2024 monetary policy tightening cycle.We extend the existing literature on mortgage defaults by exploring substantial non-linearities in the reaction of household mortgage default probabilities to interest rate changes.We provide evidence of particularly vulnerable groups of borrowers among those who receivedtheir mortgages at particularly low interest rates. We base our analysis on loan-level datafor four euro area countries with a relatively high share of floating rate loans in their stockof mortgages. Our research focuses on loans originated since 1996, and analyses mortgagedefaults in the years 2014-2019. To the best of our knowledge, we are the first to docume