Replication data for: Would Macroprudential Regulation Have Prevented the Last Crisis?
Principal Investigator(s): View help for Principal Investigator(s) David Aikman; Jonathan Bridges; Anil Kashyap; Caspar Siegert
Version: View help for Version V1
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Aikman | 10/21/2021 10:37:AM | ||
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text/plain | 14.6 KB | 10/12/2019 03:01:PM |
Project Citation:
Aikman, David, Bridges, Jonathan, Kashyap, Anil, and Siegert, Caspar. Replication data for: Would Macroprudential Regulation Have Prevented the Last Crisis? Nashville, TN: American Economic Association [publisher], 2019. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114023V1
Project Description
Summary:
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How well equipped are today's macroprudential regimes to deal with a rerun of the factors that led to the global financial crisis? To address the factors that made the last crisis so severe, a
macroprudential regulator would need to implement policies to tackle vulnerabilities from financial system leverage, fragile funding structures, and the build-up in household indebtedness. We
specify and calibrate a package of policy interventions to address these vulnerabilities—policies that include implementing the countercyclical capital buffer, requiring that banks extend the
maturity of their funding, and restricting mortgage lending at high loan-to-income multiples. We then assess how well placed are two prominent macroprudential regulators, set up since the
crisis, to implement such a package. The US Financial Stability Oversight Council has not been designed to implement such measures and would therefore make little difference were we to
experience a rerun of the factors that preceded the last crisis. A macroprudential regulator modeled on the UK's Financial Policy Committee stands a better chance because it has many of the
necessary powers. But it too would face challenges associated with spotting build-ups in risk with sufficient prescience, acting sufficiently aggressively, and maintaining political backing for its
actions.
Scope of Project
Subject Terms:
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Thought experiment;
Policy Illustration
JEL Classification:
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E32 Business Fluctuations; Cycles
E44 Financial Markets and the Macroeconomy
E58 Central Banks and Their Policies
F44 International Business Cycles
G01 Financial Crises
G21 Banks; Depository Institutions; Micro Finance Institutions; Mortgages
G28 Financial Institutions and Services: Government Policy and Regulation
E32 Business Fluctuations; Cycles
E44 Financial Markets and the Macroeconomy
E58 Central Banks and Their Policies
F44 International Business Cycles
G01 Financial Crises
G21 Banks; Depository Institutions; Micro Finance Institutions; Mortgages
G28 Financial Institutions and Services: Government Policy and Regulation
Geographic Coverage:
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U.S.,
United States
Time Period(s):
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2003 – 2007
Universe:
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All households taking out an owner-occupier house purchase mortgage in the United States between 2003 and 2007.
Data Type(s):
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administrative records data;
event/transaction data
Collection Notes:
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The code is provided to replicate Table 4 in Aikman, Bridges, Kashyap and Siegert (2019). It uses application-level (LAR) HMDA data. The code identifies the number and value of mortgage originations for owner-occupier house purchase that would have been affected by a thought experiment where loan-to-income limits were imposed in the U.S. during 2003-2007. The data can be obtained directly from: https://www.ffiec.gov/hmda/hmdaproducts.htm please follow the link for download information.
Methodology
Data Source:
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Home Mortgage Disclosure Act (HDMA) data. Available here: https://www.ffiec.gov/hmda/hmdaproducts.htm
Unit(s) of Observation:
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Mortgage originations,
Mortgage lending,
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