This dataset was assembled by Badarinza, Campbell and Ramadorai (2014). For the countries which are part of the euro area, the aggregate monthly volumes and interest rates on new mortgage loans are obtained from the statistical repositories of respective national central banks. These data are part of the harmonized system, introduced by the European Central Bank in 2003, which reports and aggregates credit volumes from country-level mortgage finance institutions. For Sweden, the source is the Swedish statistical agency's Financial Market Statistics report, which contains monthly series of volumes and interest rates on new housing credit agreements, and goes back to 1996. For Australia, the data have been released by the Australian Bureau of Statistics, which covers the period from 1991 to the present. For Denmark, the historical time series are reported by the Danmarks Nationalbank. Finally, the mortgage data for the US are from the Monthly Interest Rate Survey, collected since 1985 by the Federal Housing Financing Board.