Following the crisis, macroprudential regulations targeting mortgage-market vulnerabilities were widely adopted, their success often relying on the response of financial intermediaries. We provide evidence from Canada suggesting banks may have behaved strategically to limit the effectiveness of recently implemented mortgage stress tests. Before implementation, borrowers had to prove they could make mortgage payments based on the interest rate specified in the contract. The new tests require borrowers to show they can afford payments based on a typically higher qualifying rate, derived from the mode of 5-year rates posted by the six largest banks. The government’s objective was to cool credit markets, but, since many mortgages are government-insured, the big banks’ interests were not aligned. We find evidence of rate manipulation using a difference-in-differences approach comparing changes in spreads for 5-year mortgages with 3-year spreads, unaffected by the policy. The qualifying rates were lowered encouraging continued borrowing, muting the tests’ impact.

中文翻译：

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银行对宏观审慎政策的战略反应：来自加拿大抵押贷款压力测试的证据*

危机之后，针对抵押贷款市场脆弱性的宏观审慎监管被广泛采用，其成功往往依赖于金融中介机构的反应。我们提供来自加拿大的证据，表明银行可能采取了策略性的行为来限制最近实施的抵押贷款压力测试的有效性。在实施之前，借款人必须证明他们可以根据合同规定的利率支付抵押贷款。新的测试要求借款人证明他们可以根据通常更高的合格利率支付费用，该利率源自六家最大银行公布的 5 年利率模式。政府的目标是为信贷市场降温，但由于许多抵押贷款由政府担保，大银行的利益不一致。我们发现利率操纵的证据是使用差异中的差异方法比较不受政策影响的 5 年期抵押贷款和 3 年期利差的利差变化。合格率降低，鼓励继续借贷，降低了测试的影响。