Buildings' energy efficiency and the probability of mortgage default: The Dutch case
In this paper, we investigate the relation between buildings' energy efficiency and the probability of mortgage default. To this end, we construct a novel panel dataset by combining Dutch loan-level mortgage information with provisional building energy ratings that are calculated by the Netherlands Enterprise Agency. By employing the Logistic regression and the extended Cox model, we find that buildings' energy efficiency is associated with lower likelihood of mortgage default. The results hold for a battery of robustness checks. Additional findings indicate that credit risk varies with the de... Mehr ...
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| Dokumenttyp: | doc-type:workingPaper |
| Erscheinungsdatum: | 2019 |
| Verlag/Hrsg.: |
Frankfurt a. M.: Goethe University Frankfurt
SAFE - Sustainable Architecture for Finance in Europe |
| Schlagwörter: | ddc:330 / G21 / Mortgages / Energy Efficiency / Credit Risk |
| Sprache: | Englisch |
| Permalink: | https://search.fid-benelux.de/Record/base-29049103 |
| Datenquelle: | BASE; Originalkatalog |
| Powered By: | BASE |
| Link(s) : | http://hdl.handle.net/10419/204663 |
In this paper, we investigate the relation between buildings' energy efficiency and the probability of mortgage default. To this end, we construct a novel panel dataset by combining Dutch loan-level mortgage information with provisional building energy ratings that are calculated by the Netherlands Enterprise Agency. By employing the Logistic regression and the extended Cox model, we find that buildings' energy efficiency is associated with lower likelihood of mortgage default. The results hold for a battery of robustness checks. Additional findings indicate that credit risk varies with the degree of energy efficiency.