The Anatomy of the Transmission of Macroprudential Policies

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

No 14959, CEPR Discussion Papers from Centre for Economic Policy Research

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: Macroprudential regulation; Household leverage; Residential mortgage credit; House prices (search for similar items in EconPapers)
JEL-codes: E21 E44 E58 G21 R21 (search for similar items in EconPapers)
Date: 2020-06
New Economics Papers: this item is included in nep-ban, nep-mac and nep-ure
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Citations: View citations in EconPapers (55)

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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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