Mortgage default risk: New evidence from internet search queries

被引：28

作者：

Chauvet, Marcelle ^{[1
]}

Gabriel, Stuart ^{[2
]}

Lutz, Chandler ^{[3
]}

机构：

[1] Univ Calif Riverside, Riverside, CA 92521 USA

[2] Univ Calif Los Angeles, Los Angeles, CA 90095 USA

[3] Copenhagen Business Sch, Frederiksberg, Denmark

来源：

JOURNAL OF URBAN ECONOMICS | 2016年 / 96卷

关键词：

Mortgage default risk; FORECLOSURE;

D O I：

10.1016/j.jue.2016.08.004

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 house-holds'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. (C) 2016 Elsevier Inc. All rights reserved.

引用

页码：91 / 111

页数：21

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