Swiss Journal of Economics and Statistics

, Volume 151, Issue 2, pp 89–123 | Cite as

The Exposure of Mortgage Borrowers to Interest Rate Risk and House Price Risk — Evidence from Swiss Loan Application Data

Open Access


We study the exposure of mortgage borrowers in Switzerland to interest rate and house price risks and examine how the households' choice of risky mortgages is related to individual interest rate expectations and risk-aversion. Our analysis is based on a unique data set of household mortgage applications from September 2012 until January 2014. Our assessment of risk exposure among mortgage borrowers in Switzerland is highly sensitive to the underlying assumptions on mortgage costs, household income and house value. Our main results suggest that the exposure of mortgage borrowers to interest rate and house price risks is limited in the medium term. We further document that the choice of mortgage contract seems to be more influenced by affordability concerns than risk concerns. In particular, individual interest rate expectations hardly affect mortgage contract choice.

JEL Codes: G21 D14 R21 R31 


Mortgage Default Mortgage Choice Household Finance Mortgage Risk 


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Copyright information

© Swiss Society of Economics and Statistics 2015

Authors and Affiliations

  1. 1.University of St.GallenSt.GallenSwitzerland

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