Cover image for Banks' Liability Structure and Mortgage Lending During the Financial Crisis.
Banks' Liability Structure and Mortgage Lending During the Financial Crisis.
Title:
Banks' Liability Structure and Mortgage Lending During the Financial Crisis.
Author:
Dagher, Jihad.
ISBN:
9781475534627
Personal Author:
Physical Description:
1 online resource (45 pages)
Series:
IMF Working Papers
Contents:
Cover -- Contents -- I. Introduction -- II. Data and Summary Statistics -- A. Data -- B. Summary Statistics -- III. Bank Lending During the Crisis -- A. Empirical Strategy -- B. Model Specification -- C. Definition of the Crisis Period -- D. Benchmark Results -- E. Matching -- 1. Balancing tests -- 2. Regressions on the matched sub-samples -- F. Demand for Credit -- IV. Aggregate Supply Effects -- A. Motivation and Empirical Strategy -- B. Results -- V. Conclusion -- References -- Data Appendix -- Tables -- 1. Summary Statistics -- 2. Selecting the Crisis Year, 2007 vs. 2008 -- 3. LPM Baselines and Robustness -- 4. LPM and Logit for the Matched Sample -- 5. MSA Level Estimations -- 6. Balancing Tests for Two Way Matching -- 7. Demand for Mortgages 2005-2008 -- 8. Aggregate Supply 2005-2008 -- Figures -- 1. Volume of Originations -- 2. Rejection Rates -- 3. TED Spread -- 4. Distribution of CD/A in 2005 Across Banks -- 5. House Prices and Housing Supply Elasticity -- 6. Distribution of Average CD/A in 2005 across MSAs.
Abstract:
We examine the impact of banks' exposure to market liquidity shocks through wholesale funding on their supply of credit during the financial crisis in the United States. We focus on mortgage lending to minimize the impact of confounding demand factors that could potentially be large when comparing banks' overall lending across heterogeneous categories of credit. The disaggregated data on mortgage applications that we use allows us to study the time variations in banks' decisions to grant mortgage loans, while controlling for bank, borrower, and regional characteristics. The wealth of data also allows us to carry out matching exercises that eliminate imbalances in observable applicant characteristics between wholesale and retail banks, as well as various other robustness tests. We find that banks that were more reliant on wholesale funding curtailed their credit significantly more than retail-funded banks during the crisis. The demand for mortgage credit, on the other hand, declined evenly across wholesale and retail banks. To understand the aggregate implications of our findings, we exploit the heterogeneity in mortgage funding across U.S. Metropolitan Statistical Areas (MSAs) and find that wholesale funding was a strong and significant predictor of a sharper decline in overall mortgage credit at the MSA level.
Local Note:
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2017. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
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