Large-scale debt forbearance is a key policy tool during crises, yet targeting is challenging due to information asymmetries. Using transaction-level data from a Portuguese bank during COVID-19, we find that financially fragile households are more likely to enter forbearance, irrespective of...

Physical climate risks can have a large regional impact, which can influence mortgage loans' credit risk and should be priced by the lenders. Motivated by the relevance of climate change for financial intermediaries, our paper aims at analysing if physical climate risks are being reflected in...

Targeted longer-term refinancing operations (TLTROs) helped supporting bank lending to firms and to households in the course of the COVID-19 pandemic. The use of TLTRO funding for mortgage loans to households had explicitly not been included into the targeted loan categories of these schemes,...

In dynamic models of asset markets with asymmetric information and endogenous screening, the anticipation of signaling through delayed sales incentivizes originators to exert greater effort ex ante. A central prediction in those models is a positive relationship between screening effort and the...

Housing markets are affected by a large variety of factors. Among them, governmental regulations play an important role. Besides desired effects, all these policies exert a number of side effects, some of which can even offset the desired effects. In addition, different policies can cancel out...

Using a monthly panel dataset of individuals' debt, we show that house price changes can explain a significant fraction of personal debt composition dynamics. We exploit the variation in local house price growth as shocks to homeowners' housing wealth to study the consequential adjustment of...

Housing and mortgage choices are among the largest financial decisions households make and they substantially impact households' liquidity. This paper explores how monetary policy affects aggregate demand by influencing these portfolio choices. To quantify this channel, I build a...

This paper investigates the role of mortgage refinancing in shaping the estimates of marginal propensity to consume (MPC) and its implications for fiscal policy. Using U.S. household data, we find that MPCs decrease during the year of mortgage refinancing and stabilize afterwards, particularly...

This paper explores how policies that allow lenders to pursue borrowers for remaining debt after mortgage foreclosure (mortgage recourse) influence key aspects of the housing market and the broader macroeconomy. To this end, I develop a dynamic stochastic general equilibrium (DSGE) model...

What stimulus payments replicate the consumption effect of a desired (but potentially infeasible) interest rate cut? Using granular full-population administrative data, we estimate consumption responses to interest rate changes via adjustable-rate mortgage resets and lump-sum cash windfalls from...

This paper examines the impact of mortgage market structures on shaping economic responses to the unprecedented interest rate and inflation dynamics of 2021-2024. We first empirically document that economies with a larger share of variable-rate mortgages exhibit stronger responses in house...

This report constitutes the final deliverable for a study on the impacts of a possible revision of the Mortgage Credit Directive (MCD). The main objective of this study is to provide sound evidence and analysis to support the European Commission for a possible revision of the MCD. This section...

This report presents the findings of a study conducted by ICF on behalf of the European Commission's Directorate-General for Financial Stability, Financial Services and Capital Markets Union (DG FISMA) to provide evidence and analysis to support the Commission's formal evaluation of the Mortgage...

This paper examines the extent to which local newspaper closures affect discrimination against minority borrowers in mortgage lending. I Ąnd that following a newspaper closure, interest rate differentials between minority (black or Hispanic) and comparable non-minority borrowers increase by 5.5...

The study examines housing affordability in Germany from 2017 to 2023 in light of rising real estate prices and challenges in the housing market. It uses the Housing Affordability Index to identify trends and patterns and propose policy measures to tackle the problems. The results show regional...

I study how monetary policy interacts with mortgage underwriting standards in shaping tenure decisions and rental market equilibria. Using property-level data from the American Housing Survey, I show that the increase in mortgage rates between 2021 and 2023 pushed many potential first-time...

Aggregate consumption typically exceeds 60 per cent of GDP and should be pivotal in central bank policy models. Most use semi-structural macro-models, yet consumption is usually inadequately specified. We use a systems approach to estimate new equations for South African consumption, house...

This paper studies the joint distribution of the default and prepayment losses for a large portfolio of loans, based on a bottom-up approach. The repayment behaviors of loans in the portfolio are determined by both systematic and idiosyncratic risk factors and are conditionally independent given...

Population aging poses significant challenges to the sustainability of pension systems. This study presents an integrated methodological approach that uniquely combines actuarial life-cycle modeling with agent-based simulation to assess the potential of Reverse Mortgage Loans (RMLs) as a dual...

This paper examines the impact of mortgage market structures on shaping economic responses to the unprecedented interest rate and inflation dynamics of 2021-2024. We first empirically document that economies with a larger share of variable-rate mortgages exhibit stronger responses in house...

This paper investigates the role of mortgage refinancing in shaping the estimates of marginal propensity to consume (MPC) and its implications for fiscal policy. Using U.S. household data, we find that MPCs decrease during the year of mortgage refinancing and stabilize afterwards, particularly...