Energy Costs and Default Risk in Green Mortgage Securitisations

This repository contains the programs to reproduce the dataset construction in SAS Enterprise Guide and to run the Stata regressions used in “Energy Costs and Default Risk in Green Mortgage Securitisations”. Raw loan-level data are proprietary and cannot be shared. The archive includes: (i) SAS EG project (.egp) to create the analysis dataset; (ii) Stata do-files to estimate the models and produce the main tables; (iii) README with exact software versions, execution order, SHA-256 checksums, license and citation. Some regressions with interaction fixed effects were executed on the Reading Academic Computing Cluster (RACC) due to memory and time requirements. The results are reproducible with equivalent resources. Software: SAS Enterprise Guide 8.3 Update 3 (8.3.3.181) 64-bit; Stata 9.5; OS: Windows 11.