Arbeitspapier
Risk heterogeneity and credit supply: Evidence from the mortgage market
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: External MPC Unit Discussion Paper ; No. 29
- Klassifikation
-
Wirtschaft
Household Behavior: General
Macroeconomics: Consumption; Saving; Wealth
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
mortgage individual data
credit supply
risk pricing
heterogeneous effects
instrumental variable
Immobilienmarkt
Hypothek
Kreditgeschäft
Risikopräferenz
Grundsteuer
Steuerreform
Nachfrage
Großbritannien
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Besley, Timothy
Meads, Neil
Surico, Paolo
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of England, External Monetary Policy Committee Unit
- (wo)
-
London
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Besley, Timothy
- Meads, Neil
- Surico, Paolo
- Bank of England, External Monetary Policy Committee Unit
Entstanden
- 2010
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