审慎政策、信贷供应和房价:来自意大利的证据

Pierluigi Bologna, Wanda Cornacchia, M. Galardo
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引用次数: 20

摘要

我们通过使用审慎监管的外生变化来估计抵押贷款供应扩张对房价的因果效应:2006年取消了银行的期限转换限制。在废除审慎规则后,只有那些先前受到监管限制的银行的信贷增加了,而其他银行的信贷保持不变。这种差异反应排除了以需求为基础的解释,并充分确定了规则废除是一种外生冲击,我们利用它作为抵押贷款供应扩张的工具。我们估计房价增长对新抵押贷款的弹性接近5%。我们的研究结果还表明,抵押贷款供应扩张对房价的影响在城市和借款人的特征之间存在显著差异。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Prudential Policies, Credit Supply and House Prices: Evidence from Italy
We estimate the causal effect of a mortgage supply expansion on house prices by using an exogenous change in prudential regulation: the abolition in 2006 of a banks' maturity transformation limit. After the repeal of the prudential rule, credit increased only for the banks that were previously constrained by the regulation, while it remained unchanged for the other banks. Such differential response rules out demand-based explanations and fully identify the rule abolition as an exogenous shock that we exploit as an instrument for mortgage supply expansion. We estimate the elasticity of house price growth to new mortgage credit to be close to 5 percent. Our results also show that the effect of a mortgage supply expansion on house prices significantly differs across municipalities' and borrowers' characteristics.
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