TY  - UNPD
A1  - Billio, Monica
A1  - Costola, Michele
A1  - Pelizzon, Loriana
A1  - Riedel, Max
T1  - Creditworthiness and buildings' energy efficiency in the Italian mortgage market
T2  - SAFE working paper ; No. 352
N2  - Energy efficiency represents one of the key planned actions aiming at reducing greenhouse emissions and the consumption of fossil fuel to mitigate the impact of climate change. In this paper, we investigate the relationship between energy efficiency and the borrower’s solvency risk in the Italian market. Specifically, we analyze a residential mortgage portfolio of four financial institutions which includes about 70,000 loans matched with the energy performance certificate of the associated buildings. Our findings show that there is a negative relationship between a building’s energy efficiency and the owner’s probability of default. Findings survive after we account for dwelling, household, mortgage, market control variables, and regional and year fixed effect. Additionally, a ROC analysis shows that there is an improvement in the estimation of the mortgage default probability when the energy efficiency characteristic is included as a risk predictor in the model.
T3  - SAFE working paper - 352 
Y1  - 2022
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/64606
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-646063
UR  - https://ssrn.com/abstract=4149430
N1  - The authors acknowledge EU Horizon 2020 project Energy Efficient Mortgages Action Plan (EeDaPP) funded by the European Commission. Loriana Pelizzon also acknowledges the Leibniz Institute for Financial Research SAFE for financially sponsoring this research.
IS  - June 2022
PB  - SAFE
CY  - Frankfurt am Main
ER  -