Capital Requirements, Mortgage Rates and House Prices

Autor:	Stef Schildermans, Sven Damen
Rok vydání:	2021
Předmět:	Economics and Econometrics History Polymers and Plastics Exploit Economics Estimator Percentage point Industrial and Manufacturing Engineering Basis point Capital requirement Econometrics Business and International Management Line (text file) Sale price Finance
Zdroj:	Journal of banking and finance
ISSN:	1556-5068 0378-4266
DOI:	10.2139/ssrn.3829680
Popis:	We study the effect of an increase in capital requirements for residential mortgages on mortgage rates and house prices. We exploit a unique quasi-experiment in which affected banks faced an increase in risk weights of five percentage points. Using a difference-in-differences estimator, we find that treated banks increase their mortgage rates by 19 basis points. Houses near affected banks have a 2.38% lower sale price after the increase in capital requirements. Our results imply a semi-elasticity of house prices to changes in mortgage rates of 12.3, in line with predictions from a user cost model.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b1f2304668b7a3ba3960e3226357aeff https://doi.org/10.2139/ssrn.3829680 Zobrazit plný text záznamu Full Text from ScienceDirect