After the Great Recession of 2008-2009, macroprudential tools such as regulating indebtedness of households and riskiness of financial institutions have been implemented more actively. However, there is limited literature that investigates the effect of such policies on the behavior of households or financial institutions at the micro level. Thanks to unique micro data on households or financial institutions and the possibility to carry out some quasi-experiments, this thesis reveals causality and investigates unobserved channels which lead to visible outcomes at the micro level. The present thesis consists of two parts: one study on the increase in mortgage investments of pension funds by the new Financial Assessment Framework (Chapter 2) and the other on moral hazard behavior of households (strategic divorce in Chapter 3, lower prepayments in Chapter 4) caused by an insurance against negative home equity.

We investigate the cause of the increase in mortgage investments by pension funds after the financial crisis. We show that, after the introduction of the new financial assessment framework in 2015, funds that experienced larger reductions in the funding ratio during the 2008–2012 crisis invested more in mortgages. We test the hypothesis that a past recovery mode has motivated pension funds to invest more in mortgages after the crisis. Funds that seek to further hedge their interest rate risks aim for a different risk/return investment profile. Mortgages could contribute to a less risky portfolio, as they have become even safer since the introduction of several new regulations in 2013. Recovery modes after the crisis combined with the new framework are a cause of the recent surge in mortgage holding by pension funds; we find that this led to a 39% increase in their mortgage investments, despite the fact that these are still low relative to the overall investments of pension funds.