Risk heterogeneity and credit supply: evidence from the mortgage market

Timothy Besley, Neil Meads and Paolo Surico

No 29, Discussion Papers from Monetary Policy Committee Unit, Bank of England

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 heterogrneity with riskier borrowers penalised more for borrowing more.

Keywords: Mortgage individual data; credit supply; risk pricing; heterogenous effects; instrumental variable (search for similar items in EconPapers)
JEL-codes: D10 E21 G21 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2010-02-01
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https://www.bankofengland.co.uk/-/media/boe/files/ ... -the-mortgage-market Full text (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:mpc:wpaper:0029

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