How Does Monetary Policy Pass‐Through Affect Mortgage Default? Evidence from the Irish Mortgage Market

This paper uses a quasi-natural experiment to identify the impact of interest rates on mortgage default. Using loan-level panel data for Ireland, we deal with selection bias by exploiting variation between two adjustable-rate mortgages offered in 2000s. We link default directly through borrower installments. find strong, statistically significant, default; 1% increase installment is associated 5.8% likelihood also evidence that negative equity amplifies risk caused higher rates.