The Transmission of an Interest Rate Shock, Standard Mitigants and Household Behavior
In: De Nederlandsche Bank Working Paper No. 615
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In: De Nederlandsche Bank Working Paper No. 615
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Working paper
In: De Nederlandsche Bank Working Paper No. 380
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In: De Nederlandsche Bank Working Paper 751, 2022
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In: De Nederlandsche Bank Working Paper No. 746
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In: Ageing in Europe - Supporting Policies for an Inclusive Society
In: de Haan , L & Mastrogiacomo , M 2020 , ' Loan to Value Caps and Government-Backed Mortgage Insurance : Loan-Level Evidence from Dutch Residential Mortgages ' , Economist (Netherlands) , vol. 168 , no. 4 , pp. 453-473 . https://doi.org/10.1007/s10645-020-09367-w
Using loan level data on mortgage loans originated by Dutch banks during 1996 to 2015, we analyse the determinants of the incidence of non-performance. We find that both the originating loan-to-value ratio (OLTV) and the debt-service-to-income ratio are significantly positively associated with the probability of non-performance. The results suggest that mortgages with government-loan-guarantees perform better. Moreover, several mortgage loan and borrower characteristics, such as the (interest-only) loan type and the underwater status of the borrower, increase credit risk. Our model predictions suggest a novel policy implication: in order to avoid acceleration of non-performance probabilities, the OLTV-limit should be set to about 70–80% for uninsured mortgages, and to about 90% for those with mortgage insurance.
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In: De Nederlandsche Bank Working Paper No. 775
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In: De Nederlandsche Bank Working Paper No. 747, 2022
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In: De Nederlandsche Bank Working Paper No. 638, May 2019
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In: Netspar Discussion Paper No. 08/2016-025
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In: De Nederlandsche Bank Working Paper No. 454
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In: De Nederlandsche Bank Working Paper No. 448
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In: Netspar Discussion Paper No. 10/2014-004
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In: IZA Discussion Paper No. 9462
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In: IZA Discussion Paper No. 5339
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