Econ Papers Daily / 期刊论文
缺失的贷款价值比周期
The Missing Loan-to-Value Cycle
摘要
We show that the equilibrium loan-to-value (LTV) distribution in the US mortgage market has been remarkably stable over the last quarter century, both in aggregate and region-by-region, despite large, cross-sectionally heterogeneous house price cycles. While high-LTV mortgages changed from being explicitly government backed to privately securitized and back, their overall fraction re- mained unchanged. A repeat-sales methodology and an analysis of loan performance confirm that this stability in the distribution of LTVs holds even within subgroups of the population. These findings are inconsistent with models of credit cycles that use changes in collateral constraints to generate boom-bust dynamics in house prices.
中文摘要
我们证明，美国抵押贷款市场的均衡贷款价值比分布在过去25年中保持显著稳定，无论是在总体层面还是区域层面，尽管房价周期存在显著的横截面异质性。高贷款价值比抵押贷款从明确由政府支持转变为私人证券化，再回归政府支持，但其总体占比始终未变。重复销售方法及贷款表现分析进一步证实，即使在人口子群体内部，贷款价值比分布的稳定性依然成立。这些发现与利用抵押品约束变化生成房价繁荣-萧条动态的信贷周期模型不一致。