Risk heterogeneity and credit supply: evidence from the mortgage market

Timothy Bealey, Neil Meads and Paolo Surico

MPRA Paper from University Library of Munich, Germany

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 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.

Keywords: individual mortgage data; credit supply; risk pricing; heterogeneous effects; instrumental variable. (search for similar items in EconPapers)
JEL-codes: D10 E21 G21 (search for similar items in EconPapers)
Date: 2010-02
New Economics Papers: this item is included in nep-ban, nep-rmg and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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https://mpra.ub.uni-muenchen.de/20905/1/MPRA_paper_20905.pdf original version (application/pdf)

Related works:
Journal Article: Risk Heterogeneity and Credit Supply: Evidence from the Mortgage Market (2013)
Chapter: Risk Heterogeneity and Credit Supply: Evidence from the Mortgage Market (2012)
Working Paper: Risk Heterogeneity and Credit Supply: Evidence from the Mortgage Market (2010)
Working Paper: Risk heterogeneity and credit supply: evidence from the mortgage market (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:20905

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