Lending pro-cyclicality and macroprudential policy: Evidence from Japanese LTV ratios
| Autor: | Arito Ono, Gregory F. Udell, Hirofumi Uchida, Iichiro Uesugi |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
040101 forestry
Bubble Measure (data warehouse) 050208 finance 05 social sciences Macroprudential policy Real estate 04 agricultural and veterinary sciences Monetary economics Pro-cyclicality 0502 economics and business Business loan Economics 0401 agriculture forestry and fisheries Macro LTV ratios General Economics Econometrics and Finance Finance |
| Zdroj: | Journal of Financial Stability. 53:100819 |
| ISSN: | 1572-3089 |
| Popis: | Using unique micro data compiled from the real estate registry in Japan, we examine more than 400,000 loan-to-value (LTV) business loan ratios to draw implications for caps on LTV ratios as a macroprudential policy measure. We find that the LTV ratio exhibits counter-cyclicality, behavior that would have severely impeded the efficacy of a simple LTV cap had it been imposed. We also find that borrowers obtaining high-LTV loans are more risky but grew faster than those with lower LTV loans, which implies that a simple fixed cap on LTV ratios might inhibit growing (albeit risky) firms from borrowing. |
| Databáze: | OpenAIRE |
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