Resumo

MOSSO-MARTINEZ, Margarita María  e  LOPEZ-HERRERA, Francisco. Economic causes of delinquencies in the securitized mortgage portfolio in Mexico. Anál. econ. [online]. 2020, vol.35, n.89, pp.215-238.  Epub 13-Nov-2020. ISSN 2448-6655.

This paper shows the analysis carried out to determine which macroeconomic risk factors affect the delinquency of the mortgage portfolio securitized in Mexico. Hypothetical risk factors were constructed based on the review of relevant literature and the analysis of principal components of a set of economic variables. Using econometric tools, the relationships between delinquencies and hypothetical risk factors were analyzed, as well as between the former and the economic variables. Evidence shows that economic openness and international money market conditions are risk factors that can affect delinquency. Evidence was also found that the postulated variables are relevant to explain the delinquency of the portfolio studied.

Palavras-chave : delinquency; securitized mortgage portfolio; systematic risk; macroeconomic risk.