Risk Heterogeneity and Credit Supply: Evidence from the Mortgage Market
Chapter in NBER book NBER Macroeconomics Annual 2012, Volume 27 (2013), Daron Acemoglu, Jonathan Parker, and Michael Woodford, editors (p. 375 - 419)
This paper uses data on about 600,000 mortgage contracts to estimate a credit supply function that allows for heterogeneity in risk pricing. The results for the period 1975-2005 are suggestive of significant price heterogeneity with riskier borrowers increasingly penalized for borrowing more. A sub-sample analysis, however, reveals that the period before the financial crisis was characterized by a sharp fall in risk pricing and little evidence of heterogeneity, consistent with a relaxation of credit conditions.
This paper was revised on June 1, 2015
Document Object Identifier (DOI): 10.1086/669185Commentary on this chapter:
Comment, José-Luis Peydró
Comment, Bernard Salanié
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