The Anatomy of the Transmission of Macroprudential Policies

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

No 27292, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: E21 E44 E58 G21 R21 (search for similar items in EconPapers)
Date: 2020-05
New Economics Papers: this item is included in nep-ban, nep-cba, nep-mac and nep-ure
Note: AP CF
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Citations: View citations in EconPapers (38)

Published as VIRAL V. ACHARYA & KATHARINA BERGANT & MATTEO CROSIGNANI & TIM EISERT & FERGAL MCCANN, 2022. "The Anatomy of the Transmission of Macroprudential Policies," The Journal of Finance, vol 77(5), pages 2533-2575.

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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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