dc.contributor.author | Borgersen, Trond Arne | |
dc.date.accessioned | 2019-05-14T14:09:52Z | |
dc.date.available | 2019-05-14T14:09:52Z | |
dc.date.created | 2017-11-13T15:37:22Z | |
dc.date.issued | 2017-07-26 | |
dc.identifier.citation | International journal of housing policy. 2018, 18(4), 522-544. | nb_NO |
dc.identifier.issn | 1949-1255 | |
dc.identifier.uri | http://hdl.handle.net/11250/2597607 | |
dc.description.abstract | This paper focuses on mortgage supply and its contribution to the loan-to-value (LTV)-ratio. The paper starts by finding the optimal LTV-ratio for a profit-maximising mortgagee that supply mortgages using housing as collateral. As the LTV-ratio represents the mortgagee's risk exposure, the optimal LTV-ratio is one where the mortgagee is paid for its actual risk exposure. Thinking in terms of social welfare, the profit-maximising LTV-ratio is also optimal for society in our supply side framework. When including additional characteristics from the supply side of the mortgage market, the paper shows how the profit-maximising LTV-ratio varies according to moral hazard, risk pricing, funding structures, lending volumes and collateral values. The supply side characteristics create a wedge between the profit-maximising LTV-ratio and the LTV-ratio optimal for society. The model helps understand the role of mortgage supply in the period preceding the financial crisis, where LTV-ratios increased considerably. Consequently, it also allows for straightforward arguments regarding macro-prudential policy. Highlighting risk exposure, the paper continues by analysing the risk pricing response to falling house prices and an LTV-ratio that exceeds the LTV-ratio at origination. The paper finds a kinked-relation between the mortgage rate and the LTV-ratio ex post, separating risk pricing ex ante and ex post. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Taylor & Francis | nb_NO |
dc.subject | mortgage supply | nb_NO |
dc.subject | LTV | nb_NO |
dc.subject | risk pricing | nb_NO |
dc.title | Mortgage Supply, LTV and Risk Pricing | nb_NO |
dc.type | Journal article | nb_NO |
dc.type | Peer reviewed | nb_NO |
dc.description.version | acceptedVersion | nb_NO |
dc.source.pagenumber | 522-544 | nb_NO |
dc.source.volume | 18 | nb_NO |
dc.source.journal | International journal of housing policy | nb_NO |
dc.source.issue | 4 | nb_NO |
dc.identifier.doi | http://dx.doi.org/10.1080/19491247.2017.1336875 | |
dc.identifier.cristin | 1513592 | |
cristin.unitcode | 224,60,0,0 | |
cristin.unitname | Avdeling for økonomi, språk og samfunnsfag | |
cristin.ispublished | true | |
cristin.fulltext | postprint | |
cristin.qualitycode | 1 | |