宏观审慎措施如何影响抵押贷款标准？——来自欧洲央行银行贷款调查的证据

How do macroprudential measuresaffect mortgage lending standards? Markus Behn, Marco Lo Duca, Cristian Perales Abstract Using information from the ECB’s Bank Lending Survey, we examine how the implemen-tation of borrower-based macroprudential measures (BBMs) between 2009-Q1 and 2023-Q3affected mortgage lending standards in a sample of 15 euro area countries.We find thatbanks generally tightened credit standards around the implementation of BBMs, with the Keywords:mortgages, credit standards, macroprudential policy, borrower-based measuresJEL classification:G21, G28, G51 Non-technical summary Since the global financial crisis of 2008-09, many euro area countries have implemented borrower-based macroprudential measures, for example including limits on loan-to-value (LTV) ratios,debt-service-to-income (DSTI) ratios, or loan maturities.Such measures aim to strengthen In this paper, we examine how these borrower-based measures (BBMs) have affected mortgagelending standards and credit terms & conditions in the implementing countries. For this purpose,we make use of the European Central Bank’s Bank Lending Survey and a comprehensive data set We find that the net percentage of banks reporting a tightening in credit standards or creditterms & conditions is significantly higher around BBM implementation, with the strongest effectsoccurring contemporaneously (i.e., in the quarter of implementation). The tightening effects tend Finally, our analysis shows that tightening of credit standards following BBM implementationtends to be more pronounced in cases where mortgage or house price growth was high (above75th percentile). The differential effects are consistent with the macroprudential objective of smooth-ing the credit cycle and confirm that BBMs can have a relatively strong impact on mortgagesupply, as they impose direct constraints on certain borrowers. At the same time, more muted 1Introduction Borrower-based measures (BBMs) are an essential part of the macroprudential policy toolkit andamong the most actively used instruments in the euro area. They include, for example, limits onloan-to-value ratios, debt-service-to-income ratios, or loan maturities, and are often employed toaddress risks in the residential real estate sector. Specifically, since the global financial crisis of Given their widespread use in recent years, a clear understanding of the impact of BBMson mortgage lending is of vital importance for policy makers and academics alike. Consideringtheir common role as structural backstops, targeting only the most risky borrowers, whether and how strongly BBM implementation affects overall credit standards as well as credit terms andconditions in the implementing countries is a priori unclear. At the same time, it is plausible thatthe impact depends on macro-financial conditions at the time of implementation, insofar as the We find that the net percentage of banks reporting a tightening in credit standards in thethree quarters around BBM implementation is about 23 to 25 percentage points higher than in similar effects are observed for individual sub-components of the latter (i.e., loan-to-value ratios,loan maturities, and other loan size limits).These effects correspond to roughly one standard deviation of the respective BLS variables, suggesting that they are meaningful also from an Differentiating between different types of BBMs, the tightening effects tend to be strongest forpolicy packages involving limits on loan-to-value ratios, which are also the most common in theeuro area. This could either mean that limits on loan-to-value ratios exert a generally stronger impact on credit standards than limits on other metrics such as debt-service-to-income ratios orloan maturities, or that they tend to be calibrated more tightly than other types of measures Finally, our analysis shows that tightening of credit standards following BBM implemen-tation tends to be more pronounced in cases where mortgage or house price growth was high (above75thpercentile). The differential effects are consistent with the macroprudential objectiveof smoothing the credit cycle and confirm that BBMs can have a relatively strong impact onmortgage supply, as they impose direct constraints on certain borrowers (Tereanu et al. 2022). remains a valid policy objective from a financial stability perspective. Our paper contributes to a growing literature on the effects of borrower-based macropru-dential policies on credit and housing markets as well as overall economic outcomes (for recentsurveys, see Galati and Moessner 2018, Biljanovska et al. 2023, or Malovaná et al. 2024). Cross-country studies typically rely on aggregate data and tend to find moderate negative effects ofthe policies on credit and house price growth (Kuttner and Shim 2016, Akinci and Olmstead-Rumsey 2018, Alam et al. 2019, Morgan et al. 2019, Richter et al. 2019).These findings are Besides, we also add to the literature on bank lending standards. De