Risk Heterogeneity and Credit Supply: Evidence from the Mortgage Market

Timothy Besley, Paolo Surico and Neil Meads

No 7633, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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.

Keywords: Credit supply; Heterogeneous effects; Instrumental variable.; Mortgage individual data; Risk pricing (search for similar items in EconPapers)
JEL-codes: D10 E21 G21 (search for similar items in EconPapers)
Date: 2010-01
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://cepr.org/publications/DP7633 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

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)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:7633

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP7633

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().