An interactive data app for the MDRI can be found here.
The Mortgage Default Risk Index is from Chauvet, Gabriel, and Lutz (2016). The data in the plot are not seasonally and the blue bar in the plot is a bear market in the S&P500. See below for other available MDRI datasets.
Chauvet, Marcelle, Stuart Gabriel, and Chandler Lutz. "Mortgage default risk: New evidence from internet search queries." Journal of Urban Economics 96 (2016): 91-111. DOI Link. SSRN Paper Link.
The Mortgage Default Risk Index (MDRI) captures household mortgage default risk by aggregating internet search queries such as "foreclosure help" and "mortgage help". Chauvet, Gabriel, and Lutz (2016) find that the MDRI is a leading indicator of traditional measures of mortgage default risk.
- You can downlaod all of the date in
Datafolder above