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作者

来源

来源 JOURNAL OF URBAN ECONOMICS,Vol.96,P.91-111

语言

英文

关键字

Mortgage default risk;R30;G02;G12

作者单位

University of California, Riverside, United States;University of California, Los Angeles, United States;Copenhagen Business School, Denmark;University of California, Riverside, United States;University of California, Los Angeles, United States;Copenhagen Business School, Denmark

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 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.