Risk Heterogeneity and Credit Supply: Evidence from the Mortgage Market
In: NBER Macroeconomics Annual 2012, Volume 27
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 modeled 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 penalized more for borrowing more.
(This abstract was borrowed from another version of this item.)
|This chapter was published in: ||This item is provided by National Bureau of Economic Research, Inc in its series NBER Chapters with number
12744.||Handle:|| RePEc:nbr:nberch:12744||Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
Web page: http://www.nber.org
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jaume Garcia & Pedro J. Hernández & Ángel López Nicolás, 1998.
"How wide is the gap? An investigation of gender wage differences using quantile regression,"
Economics Working Papers
287, Department of Economics and Business, Universitat Pompeu Fabra.
- Angel López-Nicolás & Jaume García & Pedro J. Hernández, 2001. "How wide is the gap? An investigation of gender wage differences using quantile regression," Empirical Economics, Springer, vol. 26(1), pages 149-167.
- Victor Chernozhukov & Christian Hansen, 2005. "An IV Model of Quantile Treatment Effects," Econometrica, Econometric Society, vol. 73(1), pages 245-261, 01.
- George A. Akerlof, 2009. "How Human Psychology Drives the Economy and Why It Matters," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 91(5), pages 1175-1175.
- Denice DiPasquale & Edward L. Glaeser, 1997.
"Incentives and Social Capital: Are Homeowners Better Citizens?,"
Harvard Institute of Economic Research Working Papers
1815, Harvard - Institute of Economic Research.
- DiPasquale, Denise & Glaeser, Edward L., 1999. "Incentives and Social Capital: Are Homeowners Better Citizens?," Journal of Urban Economics, Elsevier, vol. 45(2), pages 354-384, March.
- Denise DiPasquale & Edward L. Glaeser, 1998. "Incentives and Social Capital: Are Homeowners Better Citizens?," NBER Working Papers 6363, National Bureau of Economic Research, Inc.
- Gabriel Jiménez & Atif Mian & José-Luis Peydró & Jesús Saurina, 2011. "Local versus aggregate lending channels: the effects of securitization on corporate credit supply," Working Papers 1124, Banco de España;Working Papers Homepage.
- Chiang, Raymond C & Chow, Ying-Foon & Liu, Ming, 2002. "Residential Mortgage Lending and Borrower Risk: The Relationship between Mortgage Spreads and Individual Characteristics," The Journal of Real Estate Finance and Economics, Springer, vol. 25(1), pages 5-32, July.
- Atif Mian & Amir Sufi, 2008. "The Consequences of Mortgage Credit Expansion: Evidence from the 2007 Mortgage Default Crisis," NBER Working Papers 13936, National Bureau of Economic Research, Inc.
- Yongheng Deng & John M. Quigley & Robert Van Order, .
"Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options,"
Zell/Lurie Center Working Papers
322, Wharton School Samuel Zell and Robert Lurie Real Estate Center, University of Pennsylvania.
- Yongheng Deng & John M. Quigley & Robert Van Order, 2000. "Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options," Econometrica, Econometric Society, vol. 68(2), pages 275-308, March.
- Deng, Yongheng & Quigley, John M. & Van Order, Robert, 1999. "Mortgage Terminations, Heterogeneity, and the Exercise of Mortgage Options," Berkeley Program on Housing and Urban Policy, Working Paper Series qt96r560pg, Berkeley Program on Housing and Urban Policy.
- James H. Stock & Motohiro Yogo, 2002. "Testing for Weak Instruments in Linear IV Regression," NBER Technical Working Papers 0284, National Bureau of Economic Research, Inc.
- Andrew Chesher, 2005.
"Nonparametric Identification under Discrete Variation,"
Econometric Society, vol. 73(5), pages 1525-1550, 09.
- Andrew Chesher, 2003. "Nonparametric identification under discrete variation," CeMMAP working papers CWP19/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Atif Mian & Amir Sufi, 2009. "The Consequences of Mortgage Credit Expansion: Evidence from the U.S. Mortgage Default Crisis," The Quarterly Journal of Economics, Oxford University Press, vol. 124(4), pages 1449-1496.
- Benjamin J. Keys & Tanmoy Mukherjee & Amit Seru & Vikrant Vig, 2010. "Did Securitization Lead to Lax Screening? Evidence from Subprime Loans," The Quarterly Journal of Economics, Oxford University Press, vol. 125(1), pages 307-362.
- Richard Blundell & Alan Duncan & Costas Meghir, 1998.
"Estimating Labor Supply Responses Using Tax Reforms,"
Econometric Society, vol. 66(4), pages 827-862, July.
- Richard Blundell & Alan Duncan & Costas Meghir, 1995. "Estimating labour supply responses using tax reforms," IFS Working Papers W95/07, Institute for Fiscal Studies.
- Gabriel Jimenez & Steven Ongena & Jose-Luis Peydro & Jesus Saurina, 2012. "Credit Supply and Monetary Policy: Identifying the Bank Balance-Sheet Channel with Loan Applications," American Economic Review, American Economic Association, vol. 102(5), pages 2301-26, August.
- Victor Chernozhukov & Christian Hansen, 2004. "The Effects of 401(K) Participation on the Wealth Distribution: An Instrumental Quantile Regression Analysis," The Review of Economics and Statistics, MIT Press, vol. 86(3), pages 735-751, August.
- Stock, James H & Wright, Jonathan H & Yogo, Motohiro, 2002. "A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 518-29, October.
- Tsai, Ming-Shann & Liao, Szu-Lang & Chiang, Shu-Ling, 2009. "Analyzing yield, duration and convexity of mortgage loans under prepayment and default risks," Journal of Housing Economics, Elsevier, vol. 18(2), pages 92-103, June.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
When requesting a correction, please mention this item's handle: RePEc:nbr:nberch:12744. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.