Borrowing on the wrong side of the tracks: Evidence from mortgage loan discontinuities

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance Pub Date : 2025-04-17 DOI:10.1016/j.jbankfin.2025.107438

Anthony W. Orlando, Gerd Welke

引用次数: 0

Abstract

How much does the liquidity of the secondary market matter for the pricing of the housing market? In this paper, we investigate a discontinuity in the supply of mortgages called the “conforming loan limit.” Mortgage loans smaller than this limit are eligible to be purchased by Fannie Mae and Freddie Mac—and therefore, they are more easily underwritten and more readily supplied by lenders. Using county-level variation in this limit and a border discontinuity model with transaction-level data, we estimate that a 10% increase in this limit leads to a 3% to 4% increase in housing prices. We identify the transmission mechanism primarily at the intensive margins, as the higher conforming loan limit leads to larger individual loans and therefore a greater volume of total lending. We show evidence that this effect is likely driven by greater availability, rather than lower interest pricing, of conforming loans.

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错误的借贷：来自抵押贷款不连续性的证据

二级市场的流动性对房地产市场的定价有多大影响？在本文中，我们研究了抵押贷款供应的不连续性，称为“合格贷款限额”。小于这个限额的抵押贷款有资格被房利美和房地美购买，因此，它们更容易被贷款机构承保，也更容易被贷款机构提供。使用这一限制的县级变化和具有交易级数据的边界不连续模型，我们估计这一限制增加10%会导致房价上涨3%至4%。我们主要在密集边际上确定了传导机制，因为较高的合格贷款限额导致更大的个人贷款，从而导致更大的总贷款量。我们展示的证据表明，这种影响可能是由更大的可用性驱动的，而不是更低的利率定价，符合标准的贷款。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Banking & Finance Multiple-

CiteScore

6.40

自引率

5.40%

发文量

262

期刊介绍： The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.