ReadMe for “Heterogeneity and the Macroeconomic Effects of Changes in Loan-to-Value Limits”
Emmanuel De Veirman and Jasper de Jong
Journal of Money, Credit and Banking 
 
1. Folder LTV distributions

This folder shows how we used Loan Level Data to compute the effect of LTV limits on the average LTV.
Because the Loan Level Data are confidential, we cannot provide these data.  

dist_new2.m computes statistics for the LTV distributions, including those relevant for determining the fraction of exceptions.
Furthermore, it plots the annual time series for Figure 1 in the paper. 

dist_new.m generates distributions from the Pearson system as a proxy for the empirical pre-cap LTV distribution.
Next, it varies the standard deviation within the Pearson system. It uses the function pearstrunc.m.

Derive LTV shocks.do : this file uses cleaned confidential Loan Level Data to compute the average LTV conditional on
different levels for the LTV limit. This is the main file. 

Derive LTV shocks – sigma distr.do : this file does the same, but for generated LTV distributions with different cross-sectional
standard deviations, for Section 5 of the paper. 

Shocks_final_new.xlsx: this file uses the levels for the average LTV implied by different levels of the LTV limit
so as to compute the implied series for changes in the average LTV. 
The worksheet “Main” does so with the output from “Derive LTV shocks.do”, 
while the sheet “Sigma” does so with the output from “ Derive LTV shocks – sigma distr.do”.

2 . Folder VECM estimation

This folder replicates the VECM estimates and impulse responses.

alldatarobu3.xlsx contains the macro data, as labeled towards the top of MainVECM.m. One of these is our survey-based time series for the average LTV.
As the paper and online appendix explains, we construct our LTV series based on data from the DNB Household Survey.

These data are available for scientific use from https://en.centerdata.nl/projecten/dnb-household-survey-dhs-spaaronderzoek after signing a statement.
As the website states, users cannot share the data. This folder therefore does not include these data. 

The Excel file MainMacroSeries contains the macro series.

PrepVECM.prg processes the macro data and does VECM specification checks.

MainVECM.m uses the processed macro data, along with the succession of impulses from Shocks_final_new.xlsx, to produce impulse responses.

3. Folder MatlabTools

These are Matlab tools which we use elsewhere.