WEKO3
アイテム
Lending Pro-Cyclicality and Macro-Prudential Policy : Evidence from Japanese LTV Ratios
http://hdl.handle.net/2261/55636
http://hdl.handle.net/2261/556366ca6859f-378b-49f2-b3a9-b69a8009d342
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
wp033.pdf (267.3 kB)
|
|
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2015-05-11 | |||||
| タイトル | ||||||
| タイトル | Lending Pro-Cyclicality and Macro-Prudential Policy : Evidence from Japanese LTV Ratios | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | loan-to-value (LTV) ratios | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | pro-cyclicality | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | macro-prudential policy | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | bubble | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL classification codes: G28, R33, G21, G32 | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| 著者 |
Ono, Arito
× Ono, Arito× Uchida, Hirofumi× Udell, Gregory× Uesugi, Iichiro |
|||||
| 著者所属 | ||||||
| 著者所属 | Mizuho Research Institute | |||||
| 著者所属 | ||||||
| 著者所属 | Graduate School of Business Administration, Kobe University | |||||
| 著者所属 | ||||||
| 著者所属 | Kelley School of Business, Indiana University | |||||
| 著者所属 | ||||||
| 著者所属 | Institute of Economic Research, Hitotsubashi University | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | Using a large and unique micro dataset compiled from the official real estate registry in Japan, we examine the loan-to-value (LTV) ratios for business loans from 1975 to 2009 to draw some implications for the ongoing debate on the use of LTV ratio caps as a macro-prudential policy measure. We find that the LTV ratio exhibits counter-cyclicality, implying that the increase (decrease) in loan volume is smaller than the increase (decrease) in land values during booms (busts). Most importantly, LTV ratios are at their lowest during the bubble period in the late 1980s and early 1990s. The counter-cyclicality of LTV ratios is robust to controlling for various characteristics of loans, borrowers, and lenders. We also find that borrowers that exhibited high-LTV loans performed no worse ex-post than those with lower LTV loans, and sometimes performed better during the bubble period. Our findings imply that a simple fixed cap on LTV ratios might not only be ineffective in curbing loan volume in boom periods but also inhibit well-performing firms from borrowing. This casts doubt on the efficacy of employing a simple LTV cap as an effective macro-prudential policy measure. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 2012～2016年度科学研究費補助金[基盤研究(S)]「長期デフレの解明」(研究代表者 東京大学経済学研究科・渡辺努, 課題番号：24223003) | |||||
| 書誌情報 |
JSPS Grants-in-Aid for Scientific Research (S) Understanding Persistent Deflation in Japan Working Paper Series 巻 033, 発行日 2014-01 |
|||||
| 出版者 | ||||||
| 出版者 | UTokyo Price Project | |||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.price.e.u-tokyo.ac.jp/researchdata/ | |||||
