NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Risk Heterogeneity and Credit Supply: Evidence from the Mortgage Market

Timothy Besley, Neil Meads, Paolo Surico

Chapter in NBER book NBER Macroeconomics Annual 2012, Volume 27 (2013), Daron Acemoglu, Jonathan Parker, and Michael Woodford, editors (p. 375 - 419)
Conference held April 20-21, 2012
Published in May 2013 by University of Chicago Press
© 2013 by the National Bureau of Economic Research
in NBER Book Series NBER Macroeconomics Annual

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.

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This paper was revised on June 21, 2012

Acknowledgments and Disclosures

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Document Object Identifier (DOI): 10.1086/669185

Commentary on this chapter:
  Comment, José-Luis Peydró
  Comment, Bernard Salanié
  Discussion,
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