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Risk differentials between green and brown assets?

Guin, Benjamin, Korhonen, Perttu and Moktan, Sidharth (2022) Risk differentials between green and brown assets? Economics Letters, 213. ISSN 0165-1765

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Identification Number: 10.1016/j.econlet.2022.110320

Abstract

We examine the relative riskiness of residential mortgages depending on the energy efficiency of the underlying property. Using a unique micro-level dataset in the UK, our analyses suggest that mortgages against energy-efficient properties are less frequently in payment arrears than mortgages against energy-inefficient properties. This result is robust to controlling for other relevant determinants of mortgage default including borrower income and loan-to-value (LTV). We conclude that the energy efficiency of a property is a relevant predictor of mortgage payment arrears. This result adds to the evidence base on risk differentials between green and brown assets.

Item Type: Article
Official URL: https://www.sciencedirect.com/journal/economics-le...
Additional Information: © 2022 The Bank of England
Divisions: Economics
Subjects: H Social Sciences > HG Finance
JEL classification: G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
Q - Agricultural and Natural Resource Economics; Environmental and Ecological Economics > Q4 - Energy > Q40 - General
Date Deposited: 16 Mar 2022 10:42
Last Modified: 30 Apr 2022 00:06
URI: http://eprints.lse.ac.uk/id/eprint/114366

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