Mortgage Default Risk: New Evidence from Internet Search Queries
74 Pages Posted: 31 Jul 2016 Last revised: 15 Nov 2016
Date Written: November 7, 2016
Abstract
We use Google search query data to develop a broad-based and real-time index of mortgage default risk. Unlike established indicators, our Mortgage Default Risk Index (MDRI) directly reflects households' concerns regarding their risk of mortgage default. The MDRI predicts housing returns, mortgage delinquency indicators, and subprime credit default swaps. These results persist both in- and out-of-sample and at multiple data frequencies. Together, research findings suggest internet search queries yield valuable new insights into household mortgage default risk.
Keywords: Mortgage Default Risk
JEL Classification: R30, G02, G12
Suggested Citation: Suggested Citation