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Leverage Regulation and Market Structure: A Structural Model of the U.K. Mortgage Market

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  • MATTEO BENETTON

Abstract

I develop a structural model of mortgage demand and lender competition to study how leverage regulation affects the U.K. mortgage market. Using variation in risk‐weighted capital requirements across lenders and mortgages with different loan‐to‐values (LTVs), I show that a 1‐percentage‐point increase in risk‐weighted capital requirements increases lenders' marginal cost of originating mortgages by about 26 basis points (11%) on average. I use the estimated model to study proposed leverage regulations. Counterfactual analyses show that large lenders exploit a regulatory cost advantage, which increases concentration by about 20%, and suggest that banning high‐LTV mortgages may reduce large lenders' equity buffer.

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  • Matteo Benetton, 2021. "Leverage Regulation and Market Structure: A Structural Model of the U.K. Mortgage Market," Journal of Finance, American Finance Association, vol. 76(6), pages 2997-3053, December.
    • Handle: RePEc:bla:jfinan:v:76:y:2021:i:6:p:2997-3053
    DOI: 10.1111/jofi.13072
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    2. Paolo Emilio Mistrulli & Tommaso Oliviero & Zeno Rotondi & Alberto Zazzaro, 2023. "Job Protection and Mortgage Conditions: Evidence from Italian Administrative Data," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(6), pages 1211-1237, December.
    3. Viral V. Acharya & Katharina Bergant & Matteo Crosignani & Tim Eisert & Fergal Mccann, 2022. "The Anatomy of the Transmission of Macroprudential Policies," Journal of Finance, American Finance Association, vol. 77(5), pages 2533-2575, October.
    4. Liu, Lu, 2023. "The demand for long-term mortgage contracts and the role of collateral," Bank of England working papers 1009, Bank of England.
    5. Ferrari, Alessandro & Loseto, Marco, 2023. "Liquidity constraints and demand for maturity the case of mortgages," Working Paper Series 2859, European Central Bank.
    6. Myśliwski, Mateusz & Rostom, May, 2022. "Value of information, search, and competition in the UK mortgage market," Bank of England working papers 967, Bank of England.
    7. Gareth Anderson & Saleem Bahaj & Matthieu Chavaz & Angus Foulis & Gabor Pinter, 2023. "Lending Relationships and the Collateral Channel," Review of Finance, European Finance Association, vol. 27(3), pages 851-887.
    8. Mircea Epure & Irina Mihai & Camelia Minoiu & José-Luis Peydró, 2017. "Global financial cycle, household credit, and macroprudential policies," Economics Working Papers 1590, Department of Economics and Business, Universitat Pompeu Fabra, revised Mar 2023.
    9. Huber, Amy Wang, 2023. "Market power in wholesale funding: A structural perspective from the triparty repo market," Journal of Financial Economics, Elsevier, vol. 149(2), pages 235-259.
    10. Liu, Lu, 2023. "The demand for long-term mortgage contracts and the role of collateral," ESRB Working Paper Series 142, European Systemic Risk Board.
    11. Di Maggio, Marco & Egan, Mark & Franzoni, Francesco, 2022. "The value of intermediation in the stock market," Journal of Financial Economics, Elsevier, vol. 145(2), pages 208-233.
    12. Fisher, Jack & Gavazza, Alessandro & Liu, Lu & Ramadorai, Tarun & Tripathy, Jagdish, 2021. "Refinancing cross-subsidies in the mortgage market," Bank of England working papers 948, Bank of England.
    13. Matteo Benetton & Philippe Bracke & João F Cocco & Nicola Garbarinoifo, 2022. "Housing Consumption and Investment: Evidence from Shared Equity Mortgages," Review of Financial Studies, Society for Financial Studies, vol. 35(8), pages 3525-3573.
    14. Paravisini, Daniel & Rappoport, Veronica & Schnabl, Philipp, 2023. "Specialization in bank lending: evidence from exporting firms," LSE Research Online Documents on Economics 119458, London School of Economics and Political Science, LSE Library.
    15. Damen, Sven & Schildermans, Stef, 2022. "Capital requirements, mortgage rates and house prices," Journal of Banking & Finance, Elsevier, vol. 143(C).

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