Risk Heterogeneity and Credit Supply: Evidence from the Mortgage Market
Published Date
Copyright 2013
ISBN 022605280X
DOI 10.1086/669185
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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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Copy CitationTimothy Besley, Neil Meads, and Paolo Surico, NBER Macroeconomics Annual 2012, Volume 27 (University of Chicago Press, 2012), chap. 6, https://www.nber.org/books-and-chapters/nber-macroeconomics-annual-2012-volume-27/risk-heterogeneity-and-credit-supply-evidence-mortgage-market.
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