Identifying the transmission channels of credit supply shocks to household debt: Price and non-price effects

IF 2.8 2区 经济学 Q1 ECONOMICS European Economic Review Pub Date : 2024-05-16 DOI:10.1016/j.euroecorev.2024.104747
Alexandra Varadi
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Abstract

Using UK matched microdata, I show that credit supply shocks affect mortgage debt via two channels: one that operates through price conditions in credit markets; and another that operates through non-price credit conditions and affects the quantity of credit supplied by lenders. I find substantial heterogeneity in the different channels by household characteristics. Lower-income households and first-time buyers are especially sensitive to changes in the supply of riskier lending. Home-owners, higher-income households and older borrowers increase debt following shocks to either type of credit conditions, with loosening in mortgage spreads, maximum LTI limits and loan approvals being strongly correlated with their borrowing levels. In aggregate, household leverage responds more strongly to supply shocks that change the quantity of credit, as they affect households across the distribution, both at the intensive and at the extensive margin. But a loosening in price and non-price credit conditions simultaneously or a contraction in multiple price indicators at a time can also fuel rapid credit growth.

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识别信贷供应冲击对家庭债务的传导渠道:价格和非价格效应
通过使用英国的匹配微观数据,我发现信贷供应冲击通过两个渠道影响抵押贷款债务:一个渠道通过信贷市场的价格条件发挥作用;另一个渠道通过非价格信贷条件发挥作用,并影响贷款人提供的信贷数量。我发现不同渠道在家庭特征方面存在很大的异质性。低收入家庭和首次购房者对高风险贷款供应量的变化尤为敏感。自住房拥有者、高收入家庭和年长借款人在任何一种信贷条件受到冲击时都会增加债务,抵押贷款利差、最高贷款期限和贷款审批的松动与他们的借款水平密切相关。总体而言,家庭杠杆率对改变信贷数量的供给冲击反应更为强烈,因为这些冲击会影响整个分布的家庭,无论是在密集边际还是在广泛边际。但是,价格和非价格信贷条件同时放松,或多个价格指标同时收缩,也会推动信贷快速增长。
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来源期刊
CiteScore
4.70
自引率
3.60%
发文量
170
期刊介绍: The European Economic Review (EER) started publishing in 1969 as the first research journal specifically aiming to contribute to the development and application of economics as a science in Europe. As a broad-based professional and international journal, the EER welcomes submissions of applied and theoretical research papers in all fields of economics. The aim of the EER is to contribute to the development of the science of economics and its applications, as well as to improve communication between academic researchers, teachers and policy makers across the European continent and beyond.
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