Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/50645
Authors: 
Besley, Timothy
Meads, Neil
Surico, Paolo
Year of Publication: 
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

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