Modelling the Distribution of Mortgage Debt

29 Pages Posted: 19 Jul 2019

See all articles by Iren Levina

Iren Levina

Bank of England

Robert Sturrock

Independent

Alexandra Varadi

Bank of England

Gavin Wallis

Bank of England

Date Written: July 3, 2019

Abstract

This paper presents an approach to modelling the flow and the stock of mortgage debt, using loan‑level data. Our approach allows us to consider different macroeconomic scenarios for the housing market, lenders’ and borrowers’ behaviour, and different calibrations of macroprudential policy interventions in a consistent way. This, in turn, allows us to take a forward-looking view about potential risks stemming from the distribution of mortgage debt, as well as assess the impact of potential macroprudential policies in a forward‑looking manner.

Keywords: mortgage market, housing market, macroprudential policy, loan‑level data, flow model, stock model

JEL Classification: D04, G21, R20, R21, R31

Suggested Citation

Levina, Iren and Sturrock, Robert and Varadi, Alexandra and Wallis, Gavin, Modelling the Distribution of Mortgage Debt (July 3, 2019). Bank of England Working Paper No. 808, July 2019, Available at SSRN: https://ssrn.com/abstract=3422847 or http://dx.doi.org/10.2139/ssrn.3422847

Iren Levina (Contact Author)

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

Robert Sturrock

Independent ( email )

Alexandra Varadi

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

Gavin Wallis

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

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