No Reason to Worry About German Mortgages? An Analysis of Macroeconomic and Individual Drivers of Credit Risk
分析了德国住房抵押贷款中宏观经济和借款人层面的信用风险因素，发现违约主要由收入和流动性驱动，而非贷款价值比，支持宏观审慎政策需超越贷款价值比限制。
Abstract This paper analyzes the macroeconomic and borrower-specific credit risk factors of residential real estate mortgages in Germany. Relying on a macroeconomic panel VAR model, we show a significant link between foreclosures, house price dynamics and unemployment. Using microeconomic regressions, we show that defaults are driven mostly by income and liquidity rather than loan-to-value (LTV) ratios. Based on those insights, we calibrate a structural model which predicts a significant increase in mortgage losses in a stress scenario, driven only partially by high-LTV loans. Hence, from a macroprudential perspective our findings support the need for a broad toolkit going beyond LTV-limits.