Heterogenous Impacts of Macroprudential Policies: Financial Advisors, Regulatory Caps, and Mortgage Risk

Martin Cesnak (), Andrej Cupak (), Pirmin Fessler () and Jan Klacso ()
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Martin Cesnak: National Bank of Slovakia
Andrej Cupak: National Bank of Slovakia
Pirmin Fessler: Oesterreichische Nationalbank
Jan Klacso: National Bank of Slovakia

No WP 3/2025, Working and Discussion Papers from Research Department, National Bank of Slovakia

Abstract: This paper examines the impact of borrower-based macroprudential policy tightening on mortgage lending in Slovakia, focusing in particular on the role of financial advisors in shaping loan characteristics. Using a comprehensive loan-level dataset from Slovak banks, weanalyzetheeffectsofkeyregulatorytools—Loan-to-Value(LTV),Debt-to-Income(DTI), and Debt Service-to-Income (DSTI) limits — on mortgage risk profiles. Our contributions include: (1) showing that restrictive borrower-based measures (BBMs) reduce the riskiest loans but push lower-risk segments toward regulatory thresholds, thus increasing portfolio risk; (2) demonstrating that advisor-mediated loans tend to have higher amounts, LTVs, DTIs, and longer maturities, raising their riskiness; and (3) finding that strict enough DSTI limits not only reduce DSTI but may also indirectly effect other loan characteristics, such as DTI, LTV ratios, and loan volumes, suggesting broader policy impacts. Additionally, we identifysignificantfront-loadingbehaviorfollowingpolicytighteningannouncements, par-ticularly for advisor-mediated loans. These findings highlight the importance of detailed micro-level data in capturing policy effects and informing more effective macroprudential regulation.

JEL-codes: D12 D18 G21 (search for similar items in EconPapers)
Pages: 69 pages
Date: 2025-03
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