Войти

Risk Heterogeneity and Credit Supply: Evidence from the Mortgage Market (Besley T., Meads N., Surico P.)

Bank Lending Mortgage Risk-taking and Risk Management

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.
External link Download
Libref/ Besley T., Meads N., Surico P. (2010) “Risk Heterogeneity and Credit Supply: Evidence from the Mortgage Market”, CEPR Discussion Paper No. DP7633, pp. 1-35
© Программирование — Александр Красильников, 2008
    Дизайн — переработанная версия стартовой страницы ГУ–ВШЭ.