The Risk of Home Mortgages in Italy: Evidence from One Million Contracts

38 Pages Posted: 11 Mar 2009

Date Written: October 14, 2008

Abstract

This study analyzes the main characteristics of loans for house purchase issued in Italy between 2004 and 2007 employing the data on individual contracts from the Sample Survey of Lending Rates. Variables describing the type of mortgage and the borrower are related to the ex post probability of late payments and defaults. We also estimate the difference in ex post risk between mortgages that have subsequently been securitized and those that have not. The main results are: variable rate contracts proved to be more risky than fixed rate contracts; the difference is larger for mortgages issued at the end of 2005, when market rates were at their lowest; late payments have been more frequent for borrowers that are younger, resident in the South or immigrants from non-EU countries; non-securitized mortgages were more likely to run into difficulties with late payments and defaults than securitized ones.

Note: Downloadable document is in Italian.

Keywords: home mortgages, credits

JEL Classification: G21

Suggested Citation

Bonaccorsi di Patti, Emilia and Felici, Roberto, The Risk of Home Mortgages in Italy: Evidence from One Million Contracts (October 14, 2008). Bank of Italy Occasional Paper No. 32. Available at SSRN: https://ssrn.com/abstract=1357368 or http://dx.doi.org/10.2139/ssrn.1357368

Emilia Bonaccorsi di Patti (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
00184 Roma
Italy

Roberto Felici

Bank of Italy ( email )

Via Nazionale 91
00184 Roma
Italy

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