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External MPC Unit Discussion Papers, Bank of England >
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http://hdl.handle.net/10419/50645
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| Title: | | Risk heterogeneity and credit supply: Evidence from the mortgage market  |
| Authors: | | Besley, Timothy Meads, Neil Surico, Paolo |
| Issue Date: | | 2010 |
| Series/Report no.: | | External MPC unit discussion paper 29 |
| Abstract: | | This paper uses a unique data set on more than 600,000 mortgage contracts to estimate a credit supply function which allows for risk-heterogeneity. Non-linearity is modelled using quantile regressions. We propose an instrumental variable approach in which changes in the tax treatment of housing transactions are used as an instrument for loan demand. The results are suggestive of considerable risk heterogeneity with riskier borrowers penalised more for borrowing more. |
| Subjects: | | mortgage individual data credit supply risk pricing heterogeneous effects instrumental variable |
| JEL: | | D10 E21 G21 |
| Document Type: | | Working Paper |
| Appears in Collections: | | External MPC Unit Discussion Papers, Bank of England
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