Bealey, Timothy and Meads, Neil and Surico, Paolo (2010): Risk heterogeneity and credit supply: evidence from the mortgage market. Published in: External MPC Unit Discussion Paper No. No.29 (22 February 2010)
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This paper uses a unique data set on more than 600,000 mortgage contracts to estimate a credit supply function which allows for risk-heterogeneity. Non-linearity is modelled using quantile regressions. We propose an instrumental variable approach in which changes in the tax treatment of housing transactions are used as an instrument for loan demand. The results are suggestive of considerable risk heterogeneity with riskier borrowers penalised more for borrowing more.
|Item Type:||MPRA Paper|
|Original Title:||Risk heterogeneity and credit supply: evidence from the mortgage market|
|Keywords:||individual mortgage data, credit supply, risk pricing, heterogeneous effects, instrumental variable.|
|Subjects:||D - Microeconomics > D1 - Household Behavior and Family Economics > D10 - General
E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E21 - Consumption ; Saving ; Wealth
G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
|Depositing User:||Neil Meads|
|Date Deposited:||24 Feb 2010 06:03|
|Last Modified:||21 Sep 2016 14:05|
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