LTV vs. DTI Constraints: When Did They Bind, and How Do They Interact?

Marcus Ingholt

No 866, 2018 Meeting Papers from Society for Economic Dynamics

Abstract: I document that the elasticity of mortgage loan origination with respect to house prices is highly dependent on the change in personal incomes and vice versa, using U.S. county-level panel data. I rationalize this in a model with two occasionally binding borrowing constraints: a loan-to-value (LTV) constraint and a debt-service-to-income (DTI) constraint. A Bayesian estimation of the model infers when the LTV and DTI constraints have been binding during 1975-2017, and which shocks that caused them to bind. A macroprudential experiment shows that countercyclical LTV limits cannot dampen mortgage debt growth in expansions, but DTI limits can.

Date: 2018
New Economics Papers: this item is included in nep-dge, nep-mac and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://red-files-public.s3.amazonaws.com/meetpapers/2018/paper_866.pdf (application/pdf)

Related works:
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:red:sed018:866

Access Statistics for this paper

More papers in 2018 Meeting Papers from Society for Economic Dynamics Contact information at EDIRC.
Bibliographic data for series maintained by Christian Zimmermann ().