BE, IT, NL & UK Correlation Analysis – 2019

This report presents the empirical findings on the relation between buildings’ energy efficiency and the associated mortgage default risk. The analyses are conducted for four European countries: Belgium, Italy, the Netherlands, and UK. The results differ from country to country due to the size and composition of the underlying datasets, and due to varying variable definitions. Despite these challenges, however, the overall message of these analyses is: energy efficient buildings are correlated with lower credit risk.

To summarize, the results from Italy and UK indicate, but do not strictly confirm, a negative relation between energy efficiency and the probability of mortgage default. This can be attributed to the nature of the underlying datasets. The loan-level analyses for Belgium and the Netherlands, on the other hand, indicate a robust, negative and significant correlation between the two variables of interest.