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
LICENSE.txt	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: 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: Thought experiment; Policy Illustration

JEL Classification:
      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: U.S., United States

Time Period(s): 2003 – 2007

Universe: All households taking out an owner-occupier house purchase mortgage in the United States between 2003 and 2007.

Data Type(s): administrative records data; event/transaction data

Collection Notes: 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: Home Mortgage Disclosure Act (HDMA) data. Available here: https://www.ffiec.gov/hmda/hmdaproducts.htm

Unit(s) of Observation: Mortgage originations, Mortgage lending,

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V1 [2019-10-12]

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