Modelling the Distribution of Mortgage Debt
29 Pages Posted: 19 Jul 2019
Date Written: July 3, 2019
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
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