Risky mortgages, credit shocks and cross-border spillovers

This paper describes a novel methodology of measuring risky and conservative mortgage credit using household survey data for 17 European Union countries the United Kingdom. In addition, we construct time series both types embed them into global vector autoregressive (GVAR) model, so as to study how shocks variables affect domestic output propagate across through cross-border banking exposures. The results show that decrease in can have long-lasting positive effects on GDP, originating country its most exposed peers, while fall is detrimental. some geographies, negative reduce output, feature linked lower relevance homeownership which implies plays less prominent role economy.