Possible income misstatement on mortgage loan applications: Evidence from the Canadian housing market
通过对比加拿大2004-2014年首次购房者抵押贷款申请与税务记录的收入增长差异，构建收入虚报指标，发现房价上涨会激励借款人虚报收入，且虚报严重的市场违约率更高。
Abstract We construct a measure of possible income misstatement (PIM) for first‐time homebuyers by quantifying the gap between growth in incomes reported on mortgage applications and growth in incomes reported on tax files from 2004 to 2014 in Canada. Using a two‐stage least square framework to correct for the endogenous nature of house prices and PIM, we find robust evidence that part of the observed dispersion in PIM is caused by house price variation. This suggests borrowers have greater incentive to misstate income in high‐priced markets. We report evidence that markets with a tendency for income misstatement also had higher default rates.