The real effects of borrower-based macroprudential policy: Evidence from administrative household-level data

• 成果类型: Article
• 署名作者: van Bekkum, Sjoerd; Gabarro, Marc; Irani, Rustom M.; Peydro, Jose-Luis
• 署名单位: Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; University of Illinois System; University of Illinois Urbana-Champaign; Centre for Economic Policy Research - UK; Imperial College London
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2024.103574
• 发表日期: 2024
• 关键词: Macroprudential policy; mortgage; Household leverage; LTV; Solvency-liquidity trade-off; consumption smoothing

摘要

We analyze the effects of borrower-based macroprudential policy at the household level. We exploit administrative Dutch tax and housing records in conjunction with the introduction of a mortgage loan-to-value (LTV) limit. We find that the regulation sharply reduces mortgage leverage with bunching at the LTV limit. While (regulation) affected households reduce total leverage and interest expenses, they also decrease cash balances to satisfy the LTV limit, generating an important solvency-liquidity trade-off. Nevertheless, affected households experience less financial distress after the introduction of the LTV regulation. Moreover, these households experience better liquidity management and smoother consumption following income loss. Overall, our results highlight the key financial stability and real effects of borrower-based macroprudential policy.