Leverage Regulation and Market Structure: A Structural Model of the U.K. Mortgage Market
构建了抵押贷款需求和银行竞争的结构模型，利用英国数据发现风险加权资本要求每提高1个百分点，银行边际成本平均上升约26个基点，并模拟了杠杆监管对市场集中度和银行权益缓冲的影响。
ABSTRACT I develop a structural model of mortgage demand and lender competition to study how leverage regulation affects the U.K. mortgage market. Using variation in risk‐weighted capital requirements across lenders and mortgages with different loan‐to‐values (LTVs), I show that a 1‐percentage‐point increase in risk‐weighted capital requirements increases lenders' marginal cost of originating mortgages by about 26 basis points (11%) on average. I use the estimated model to study proposed leverage regulations. Counterfactual analyses show that large lenders exploit a regulatory cost advantage, which increases concentration by about 20%, and suggest that banning high‐LTV mortgages may reduce large lenders' equity buffer.