As a result of the Basel II reforms, capital requirements on UK mortgages fell substantially in coincidence with the financial crisis. We exploit a novel, loan-level dataset on within-lender variation in risk-weighted capital requirements and a triple-difference identification strategy to estimate the pass through of capital requirements to mortgage rates. We find that a 1pp lower risk-weighted capital requirement leads to a reduction in rates by 10–16bp on average, with stronger effects for less-capitalized lenders. The competitive advantage induced by multi-tier regulation also affects the composition of banks mortgage portfolios, with larger lenders specializing in lower risk loans. Finally, our results support the use of countercyclical capital requirements to sustain lending in a crisis.

由于巴塞尔协议 II 改革，英国抵押贷款的资本要求与金融危机同时大幅下降。我们利用关于风险加权资本要求的贷方内部变化的新型贷款级数据集和三重差异识别策略来估计资本要求对抵押贷款利率的传递。我们发现，风险加权资本要求降低 1 个百分点会导致利率平均降低 10-16 个基点，对资本较少的贷方影响更大。多级监管带来的竞争优势也影响了银行抵押贷款组合的构成，大型贷方专门提供风险较低的贷款。最后，我们的结果支持使用反周期资本要求来维持危机中的贷款。