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Assessing the efficacy of borrower-based macroprudential policy using an integrated micro-macro model for European households
We develop an integrated micro-macro model framework that is based on household survey data for a subset of the EU countries that the Household Finance and Consumption Survey (HFCS) contains. The model can be used for conducting scenario and sensitivity analyses with regard to the factors that drive households' income and expenses as well as their asset values and hence the structure of their balance sheet. Moreover, we use it for the purpose of assessing the efficacy of borrower-based macroprudential instruments, namely loan-to-value (LTV) ratio and debt service to income (DSTI) ratio caps. The simulation results from the model can be attached to bank balance sheets and their risk parameters to derive the impact of the policy measures on their capital position. The model framework also allows quantifying the macroeconomic feedback effects that would result from the policy-induced reduction of demand for mortgage loans. The model allows answering the question as to which of the two measures – LTV or DSTI caps – are more effective, both with respect to their ability to reduce household loss rates as well as their impact on the economy.
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Assessing the Efficacy of Borrower-Based Macroprudential Policy Using an Integrated Micro-Macro Model for European Households
In: ECB Working Paper No. 1881
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A False Sense of Security in Applying Handpicked Equations for Stress Test Purposes
In: ECB Working Paper No. 1845
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Measuring the Procyclicality of Impairment Accounting Regimes: A Comparison between IFRS 9 and Us Gaap
In: ECB Working Paper No. 2347
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A Structural Model to Assess the Impact of Bank Capitalization Changes Conditional on a Bail-in versus Bail-out Regime
In: ECB Working Paper No. 2181
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A Structural Model to Study the Bail-Out Process in a Bank and Its Macro-Prudential Policy Implications
In: ECB Working Paper No. 2110
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Working paper
A Study on the Eba Stress Test Results: Influence of Bank, Portfolio, and Country-Level Characteristics
In: ECB Working Paper No. 2022/2648
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Expropriation Risk, Investment Decisions and Economic Sectors
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Working paper