TY - UNPD A1 - Billio, Monica A1 - Costola, Michele A1 - Pelizzon, Loriana A1 - Riedel, Max T1 - Buildings' energy efficiency and the probability of mortgage default : the Dutch case T2 - SAFE working paper series ; No. 261 N2 - 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. T3 - SAFE working paper - 261 KW - Mortgages KW - Energy Efficiency KW - Credit Risk Y1 - 2019 UR - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/51146 UR - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-511463 IS - First draft: July 15, 2017 ; This draft: October 14, 2019 PB - SAFE CY - Frankfurt am Main ER -