Mortgage Default Risk: New Evidence from Internet Search Queries

74 Pages Posted: 31 Jul 2016 Last revised: 15 Nov 2016

See all articles by Marcelle Chauvet

Marcelle Chauvet

University of California Riverside; University of California Riverside

Stuart A. Gabriel

University of California, Los Angeles - Anderson School of Management

Chandler Lutz

Securities and Exchange Commission

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

Chauvet, Marcelle and Gabriel, Stuart A. and Lutz, Chandler, Mortgage Default Risk: New Evidence from Internet Search Queries (November 7, 2016). Journal of Urban Economics, Vol. 96, No. 91-111, 2016, Available at SSRN: https://ssrn.com/abstract=2816207 or http://dx.doi.org/10.2139/ssrn.2816207

Marcelle Chauvet

University of California Riverside ( email )

Department of Economics
4136 Sproul Hall
Riverside, CA 92527
United States
(951) 827-1587 (Phone)

HOME PAGE: http://sites.google.com/site/marcellechauvet/

University of California Riverside ( email )

Department of Economics
Riverside, CA 92527
United States

HOME PAGE: http://sites.google.com/site/marcellechauvet/

Stuart A. Gabriel (Contact Author)

University of California, Los Angeles - Anderson School of Management ( email )

110 Westwood Plaza
Los Angeles, CA 90095-1481
United States
310-825-2922 (Phone)
310-206-5455 (Fax)

HOME PAGE: http://www.anderson.ucla.edu

Chandler Lutz

Securities and Exchange Commission ( email )

100 F Street, NE
Washington, DC 20549
United States

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
176
Abstract Views
1,170
Rank
307,910
PlumX Metrics