Risk heterogeneity and credit supply: Evidence from the mortgage market

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: External MPC Unit Discussion Paper ; No. 29

Classification and Topics

• Classification: Wirtschaft ; Household Behavior: General ; Macroeconomics: Consumption; Saving; Wealth ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
• Subject: mortgage individual data ; credit supply ; risk pricing ; heterogeneous effects ; instrumental variable ; Immobilienmarkt ; Hypothek ; Kreditgeschäft ; Risikopräferenz ; Grundsteuer ; Steuerreform ; Nachfrage ; Großbritannien

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Besley, Timothy ; Meads, Neil ; Surico, Paolo
• Event: Veröffentlichung
• (who): Bank of England, External Monetary Policy Committee Unit
• (where): London
• (when): 2010

Further information

• Handle: http://hdl.handle.net/10419/50645
• Last update: 10.03.2025, 11:46 AM CET