Contractionary macroprudential policy, collateral valuation, and risk-shifting in EU banking / Michael Koetter, Felix Noth, Fabian Wöbbeking ; editor: Halle Institute for Economic Research (IWH) - Member of the Leibniz Association
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Contractionary macroprudential policy, collateral valuation, and risk-shifting in EU banking (revised version November 19, 2025) Discovery
1942661800
URN
urn:nbn:de:gbv:3:2-123456789-1179380
DOI
ISBN
ISSN
Koordinaten
Skalierung
Autorin / Autor
Beiträger
Körperschaft
Erschienen
Halle (Saale), Germany : Halle Institute for Economic Research (IWH) - Member of the Leibniz Association, 2025
Umfang
1 Online-Ressource (III, 42 Seiten, 1,6 MB) : Diagramme, Karte
Ausgabevermerk
This version: November 19, 2025
Sprache
eng
Anmerkungen
Literaturverzeichnis: Seite 32-36
Inhaltliche Zusammenfassung
We study real estate lending responses to tighter macroprudential policy (MPP) in the form of lower required loan-to-value (LTV) ratios. Contract details of 2.4 million mortgage loans originated between 2008 and 2020 reveal significantly fewer new loan issuances in response to contractionary MPP, commensurate with an average reduction in aggregate lending of 21 percent. Loan-level analyses reveal, however, that banks comply with lower LTVs by systematically more benevolent valuations of residential real estate pledged as collateral instead of reducing loan size. Exploiting earthquakes as plausible exogenous shocks to property values corroborates these risk-shifting patterns by banks in the form of inflated property valuations after LTV shocks.
Schriftenreihe
IWH discussion papers ; 2025, no. 4 (February 2025) [rev.] ppn:837399270