Risk heterogeneity and credit supply: Evidence from the mortgage market
Journal
NBER Macroeconomics Annual
Subject
Economics
Publishing details
Authors / Editors
Besley T;Meads N;Surico P
Biographies
Publication Year
2012
Abstract
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 modeled 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 penalized more for borrowing more.
Keywords
Mortgage individual data, Credit supply, Risk pricing, Heterogeneous effects, Instrumental variable
Available on ECCH
No