We investigate the relationship between building energy efficiency and the probability of mortgage default. To this end, we construct a novel panel data set by combining Dutch loan-level mortgage information with provisional building energy ratings provided by the Netherlands Enterprise Agency. Using the logit regression and the extended Cox model, we find that building energy efficiency is associated with a lower probability of mortgage default. There are three possible channels that might drive the results: (i) personal borrower characteristics captured by the choice of an energy-efficient building, (ii) improvements in building performance that could help to free-up the borrower’s disposable income, and (iii) improvements in dwelling value that lower the loan-to-value ratio. We address all three channels. In particular, we find that the default rate is lower for borrowers with less disposable income. The results hold for a battery of robustness checks. This suggests that the energy efficiency ratings complement borrowers’ credit information and that a lender using information from both sources can make superior lending decisions than a lender using only traditional credit information. These aspects are not only crucial for shaping future energy policy, but also have implications for the risk management of European financial institutions.

我们研究了建筑节能与抵押违约概率之间的关系。为此，我们将荷兰的贷款级抵押信息与荷兰企业局提供的临时建筑能耗等级相结合，构建了一个新颖的面板数据集。使用logit回归和扩展的Cox模型，我们发现建筑节能与抵押违约的可能性较低有关。可能通过三种途径推动结果：（i）通过选择节能建筑来体现个人借款人的特征；（ii）改善建筑性能以帮助释放借款人的可支配收入；以及（iii） ）住房价值的改善，从而降低了贷款对价值的比率。我们处理所有三个渠道。特别是，我们发现可支配收入较少的借款人的违约率较低。该结果可用于一系列健壮性检查。这表明能效等级对借款人的信用信息起到了补充作用，与仅使用传统信用信息的贷方相比，使用这两种来源的信息的贷方可以做出更好的贷款决策。这些方面不仅对制定未来的能源政策至关重要，而且对欧洲金融机构的风险管理也具有重要意义。这表明能效等级对借款人的信用信息起到了补充作用，与仅使用传统信用信息的贷方相比，使用这两种来源的信息的贷方可以做出更好的贷款决策。这些方面不仅对制定未来的能源政策至关重要，而且对欧洲金融机构的风险管理也具有重要意义。这表明能效等级对借款人的信用信息起到了补充作用，与仅使用传统信用信息的贷方相比，使用这两种来源的信息的贷方可以做出更好的贷款决策。这些方面不仅对制定未来的能源政策至关重要，而且对欧洲金融机构的风险管理也具有重要意义。