How Does Monetary Policy Pass‐Through Affect Mortgage Default? Evidence from the Irish Mortgage Market
利用爱尔兰2000年代两种浮动利率抵押贷款的自然实验，发现利率上升1%导致月供增加5.8%的违约概率，且负资产会放大这一效应。
Abstract This paper uses a quasi‐natural experiment to identify the impact of interest rates on mortgage default. Using loan‐level panel data for Ireland, we deal with selection bias by exploiting the variation between two adjustable‐rate mortgages offered in the 2000s. We link interest rates to default directly through borrower installments. We find a strong, statistically significant, impact of interest rates on default; a 1% increase in installment is associated with a 5.8% increase in the likelihood of default. We also find evidence that negative equity amplifies the increase in default risk caused by higher interest rates.