Journal of Finance Vol. 77 No. 5 2022

The Anatomy of the Transmission of Macroprudential Policies

Viral V. Acharya^1,2,3,4; KATHARINA BERGANT^1,2,3,4; Matteo Crosignani^1,2,5,3,4; Tim Eisert^1,2,3,4; Fergal McCann^1,2,3,4

¹ Bank of Finland · ² Central Bank of Ireland · ³ Federal Reserve Bank of Boston · ⁴ Erasmus University Rotterdam · ⁵ Federal Reserve Bank of New York

Abstract

We analyze how regulatory constraints on household leverage—in the form of loan‐to‐income and loan‐to‐value limits—affect residential mortgage credit and house prices as well as other asset classes not directly targeted by the limits. Loan‐level data suggest that mortgage credit is reallocated from low‐ to high‐income borrowers and from urban to rural counties. This reallocation weakens the feedback between credit and house prices and slows house price growth in “hot” housing markets. Banks whose lending to households is more affected by the regulatory constraint drive this reallocation, but also substitute their risk‐taking into holdings of securities and corporate credit.

DOI

10.1111/jofi.13170

Volume

77

Issue

5

Pages

2533-2575

Language

en

Sources

bibtex:phds-export.bib openalex crossref

Cite

APA 7 MLA 9 Chicago (author–date) Harvard Elsevier Harvard (JFE, JBF…) The Accounting Review Academy of Management American Marketing Association INFORMS (Management Science) Copy citation Copied ✓