The Anatomy of the Transmission of Macroprudential Policies

Viral Acharya, Katharina Bergant, Matteo Crosignani, Tim Eisert and Fergal McCann ()

No 2020/058, IMF Working Papers from International Monetary Fund

Abstract: We analyze how regulatory constraints on household leverage—in the form of loan-to-income and loan-to-value limits—affect residential mortgage credit and house prices as well as other asset classes not directly targeted by the limits. Supervisory loan level data suggest that mortgage credit is reallocated from low-to high-income borrowers and from urban to rural counties. This reallocation weakens the feedback loop between credit and house prices and slows down house price growth in “hot” housing markets. Consistent with constrained lenders adjusting their portfolio choice, more-affected banks drive this reallocation and substitute their risk-taking into holdings of securities and corporate credit.

Keywords: WP; lending limit; Macroprudential Regulation; Household Leverage; Residential Mortgage Credit; House Prices; credit reallocation; mortgage credit; mortgage issuance; house price growth; bank portfolio choice; Housing prices; Mortgages; Credit; Personal income; Residential mortgages; Loans (search for similar items in EconPapers)
Pages: 57
Date: 2020-05-22
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Citations: View citations in EconPapers (38)

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Related works:
Journal Article: The Anatomy of the Transmission of Macroprudential Policies (2022)
Working Paper: The Anatomy of the Transmission of Macroprudential Policies (2020)
Working Paper: The Anatomy of the Transmission of Macroprudential Policies (2020)
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