• A Tiger by the Tail: Estimating the UK Mortgage Market Vulnerabilities from Loan-Level Data

    We produce the first estimate of the stock of all regulated UK mortgages at the level of individual loans, so that policymakers can analyse cohorts of borrowers who may be more vulnerable to stress. Using loan-level data on 14 million mortgages at origination, we apply computer-science algorithms to identify loans likely to remain in the stock and estimate how borrower incomes, house prices and outstanding balances have changed, then validate the results against household surveys and regulatory returns. Our estimate suggests there may have been more vulnerable borrowers in recent years than household surveys indicate.

    Joint with Chiranjit Chakraborty and Mariana Gimpelewicz

    Bank of England Staff Working Paper No. 703 (2017)

  • Did Pre-Crisis Mortgage Lending Limit Post-Crisis Corporate Lending? Evidence from UK Bank Balance Sheets

    We investigate whether UK banks’ pre-crisis exposure to residential mortgages limited their lending to businesses after the collapse of Lehman Brothers in September 2008. Using a quasi-experimental setting and a tailor-made micro-level dataset on bank lending volumes, balance sheets and mortgage loan characteristics, we separate the loan supply effect from loan demand. We find that banks with larger shares of residential mortgages, and with riskier mortgage portfolios, reduced their lending to businesses more after the crisis.

    Joint with Lu Zhang and Dirk Bezemer

    Cited by Nobel laureate and former Federal Reserve Chair Ben S. Bernanke in Brookings Papers on Economic Activity (2018).

    Bank of England Staff Working Paper No. 651 (2017)

  • Macroprudential Policy in an Agent-Based Model of the UK Housing Market

    We develop an agent-based model of the UK housing market, calibrated with micro-data, to study the impact of macroprudential policies on key housing market indicators. Modelling the behaviour and interactions of first-time buyers, homeowners, buy-to-let investors and renters, we examine how the size of the buy-to-let sector and different investor types affect housing booms and busts, and we implement a loan-to-income portfolio limit. We find that a larger buy-to-let sector may amplify house price cycles and increase volatility, and that the limit dampens the house price cycle.

    Joint with Rafa Baptista, J Doyne Farmer, Marc Hinterschweiger, Katie Low, Daniel Tang

    Bank of England Staff Working Paper No. 619 (2016)