宏观审慎政策、抵押周期和分配效应:来自英国的证据

IF 6.8 1区经济学 Q1 BUSINESS, FINANCE

Review of Financial Studies Pub Date : 2023-09-20 DOI:10.1093/rfs/hhad070

José-Luis Peydró, Francesc Rodriguez-Tous, Jagdish Tripathy, Arzu Uluc

{"title":"宏观审慎政策、抵押周期和分配效应:来自英国的证据","authors":"José-Luis Peydró, Francesc Rodriguez-Tous, Jagdish Tripathy, Arzu Uluc","doi":"10.1093/rfs/hhad070","DOIUrl":null,"url":null,"abstract":"We analyze the distributional effects of macroprudential policy on mortgage cycles by exploiting the U.K. mortgage register and a 2014 15% limit imposed on lenders' high loan-to-income (LTI) mortgages. Constrained lenders issue fewer and more expensive high-LTI mortgages, with stronger effects on low-income borrowers. Unconstrained lenders strongly substitute high-LTI loans in local areas with higher constrained lender presence, but not high-LTI loans to low-income borrowers—consistent with adverse selection problems—implying lower overall credit to low-income borrowers. Consistently, policy-affected areas experience lower house price growth postregulation and, following the Brexit referendum (negative aggregate shock), better house price growth and lower mortgage defaults for low-income borrowers.","PeriodicalId":21124,"journal":{"name":"Review of Financial Studies","volume":"36 12","pages":""},"PeriodicalIF":6.8000,"publicationDate":"2023-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Macroprudential Policy, Mortgage Cycles, and Distributional Effects: Evidence from the United Kingdom\",\"authors\":\"José-Luis Peydró, Francesc Rodriguez-Tous, Jagdish Tripathy, Arzu Uluc\",\"doi\":\"10.1093/rfs/hhad070\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We analyze the distributional effects of macroprudential policy on mortgage cycles by exploiting the U.K. mortgage register and a 2014 15% limit imposed on lenders' high loan-to-income (LTI) mortgages. Constrained lenders issue fewer and more expensive high-LTI mortgages, with stronger effects on low-income borrowers. Unconstrained lenders strongly substitute high-LTI loans in local areas with higher constrained lender presence, but not high-LTI loans to low-income borrowers—consistent with adverse selection problems—implying lower overall credit to low-income borrowers. Consistently, policy-affected areas experience lower house price growth postregulation and, following the Brexit referendum (negative aggregate shock), better house price growth and lower mortgage defaults for low-income borrowers.\",\"PeriodicalId\":21124,\"journal\":{\"name\":\"Review of Financial Studies\",\"volume\":\"36 12\",\"pages\":\"\"},\"PeriodicalIF\":6.8000,\"publicationDate\":\"2023-09-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Review of Financial Studies\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1093/rfs/hhad070\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Review of Financial Studies","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1093/rfs/hhad070","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

我们分析了宏观审慎政策对抵押贷款周期的分配效应，利用了英国抵押贷款登记和2014年对贷款人的高贷款收入比(LTI)抵押贷款施加的15%限制。受约束的贷款人发放的高lti抵押贷款越来越少，价格也越来越高，对低收入借款人的影响更大。不受约束的贷款人在当地强烈替代高lti贷款，但不向低收入借款人提供高lti贷款，这与逆向选择问题一致，意味着低收入借款人的总体信贷水平较低。一贯地，受政策影响的地区在监管后经历了较低的房价增长，在英国退欧公投(负总体冲击)之后，房价增长更好，低收入借款人的抵押贷款违约率更低。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Macroprudential Policy, Mortgage Cycles, and Distributional Effects: Evidence from the United Kingdom

We analyze the distributional effects of macroprudential policy on mortgage cycles by exploiting the U.K. mortgage register and a 2014 15% limit imposed on lenders' high loan-to-income (LTI) mortgages. Constrained lenders issue fewer and more expensive high-LTI mortgages, with stronger effects on low-income borrowers. Unconstrained lenders strongly substitute high-LTI loans in local areas with higher constrained lender presence, but not high-LTI loans to low-income borrowers—consistent with adverse selection problems—implying lower overall credit to low-income borrowers. Consistently, policy-affected areas experience lower house price growth postregulation and, following the Brexit referendum (negative aggregate shock), better house price growth and lower mortgage defaults for low-income borrowers.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Review of Financial Studies Multiple-

CiteScore

16.00

自引率

2.40%

发文量

期刊介绍： The Review of Financial Studies is a prominent platform that aims to foster and widely distribute noteworthy research in financial economics. With an expansive editorial board, the Review strives to maintain a balance between theoretical and empirical contributions. The primary focus of paper selection is based on the quality and significance of the research to the field of finance, rather than its level of technical complexity. The scope of finance within the Review encompasses its intersection with economics. Sponsoring The Society for Financial Studies, the Review and the Society appoint editors and officers through limited terms.