NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Neil Meads

Bank of England
MPC Unit
Threadneedle Street
London
EC2R 8AH
England

E-Mail: no email available

NBER Working Papers and Publications

June 2012Risk Heterogeneity and Credit Supply: Evidence from the Mortgage Market
with Timothy Besley, Paolo Surico
in NBER Macroeconomics Annual 2012, Volume 27, Daron Acemoglu, Jonathan Parker, and Michael Woodford, editors
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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