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Creditworthiness and buildings' energy efficiency in the Italian mortgage market

  • 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.

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Author:Monica BillioORCiDGND, Michele CostolaORCiD, Loriana PelizzonORCiDGND, Max RiedelORCiDGND
URN:urn:nbn:de:hebis:30:3-646063
URL:https://ssrn.com/abstract=4149430
DOI:https://doi.org/10.2139/ssrn.4149430
Parent Title (English):SAFE working paper ; No. 352
Series (Serial Number):SAFE working paper (352)
Publisher:SAFE
Place of publication:Frankfurt am Main
Document Type:Working Paper
Language:English
Year of Completion:2022
Year of first Publication:2022
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2022/07/04
Issue:June 2022
Page Number:26
Note:
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.
HeBIS-PPN:499050606
Institutes:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
Sammlungen:Universitätspublikationen
Licence (German):License LogoDeutsches Urheberrecht