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|a We assess the effects of regulatory caps in the loan-to-value (LTV) ratio using agent-based models (ABMs). Our approach builds upon a straightforward ABM where we model the interactions of sellers, buyers and banks within a computational framework that enables the application of LTV caps. The results are first presented using simulated data and then we calibrate the probability distributions based on actual European data from the HFCS survey. The results suggest that this approach can be viewed as a useful alternative to the existing analytical frameworks for assessing the impact of macroprudential measures, mainly due to the very few assumptions the method relies upon and the ability to easily incorporate additional and more complex features related to the behavioral response of borrowers to such measures.
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We assess the effects of regulatory caps in the loan-to-value (LTV) ratio using agent-based models (ABMs). Our approach builds upon a straightforward ABM where we model the interactions of sellers, buyers and banks within a computational framework that enables the application of LTV caps. The results are first presented using simulated data and then we calibrate the probability distributions based on actual European data from the HFCS survey. The results suggest that this approach can be viewed as a useful alternative to the existing analytical frameworks for assessing the impact of macroprudential measures, mainly due to the very few assumptions the method relies upon and the ability to easily incorporate additional and more complex features related to the behavioral response of borrowers to such measures. |
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Laliotis, Dimitrios VerfasserIn aut, An agent-based model for the assessment of LTV caps Dimitrios Laliotis, Alejandro Buesa, Miha Leber and Francisco Javier Población García, Frankfurt am Main, Germany European Central Bank [2019], 1 Online-Ressource (circa 42 Seiten) Illustrationen, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Working paper series / European Central Bank no 2294 (July 2019), We assess the effects of regulatory caps in the loan-to-value (LTV) ratio using agent-based models (ABMs). Our approach builds upon a straightforward ABM where we model the interactions of sellers, buyers and banks within a computational framework that enables the application of LTV caps. The results are first presented using simulated data and then we calibrate the probability distributions based on actual European data from the HFCS survey. The results suggest that this approach can be viewed as a useful alternative to the existing analytical frameworks for assessing the impact of macroprudential measures, mainly due to the very few assumptions the method relies upon and the ability to easily incorporate additional and more complex features related to the behavioral response of borrowers to such measures., Buesa, Alejandro VerfasserIn aut, Leber, Miha VerfasserIn aut, Población García, Javier VerfasserIn (DE-588)1129791319 (DE-627)884384993 (DE-576)486548473 aut, Europäische Zentralbank Working paper series no 2294 (July 2019) 2294 (DE-627)372370322 (DE-576)108090442 (DE-600)2123559-4 1725-2806, https://doi.org/10.2866/71742 Resolving-System kostenfrei Volltext, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2294~ee8ffa5e24.en.pdf Verlag kostenfrei Volltext, http://hdl.handle.net/10419/208328 Resolving-System kostenfrei, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2294~ee8ffa5e24.en.pdf LFER, LFER 2019-08-12T00:00:00Z |
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Laliotis, Dimitrios, Buesa, Alejandro, Leber, Miha, Población García, Javier, An agent-based model for the assessment of LTV caps, Europäische Zentralbank, Working paper series, no 2294 (July 2019), We assess the effects of regulatory caps in the loan-to-value (LTV) ratio using agent-based models (ABMs). Our approach builds upon a straightforward ABM where we model the interactions of sellers, buyers and banks within a computational framework that enables the application of LTV caps. The results are first presented using simulated data and then we calibrate the probability distributions based on actual European data from the HFCS survey. The results suggest that this approach can be viewed as a useful alternative to the existing analytical frameworks for assessing the impact of macroprudential measures, mainly due to the very few assumptions the method relies upon and the ability to easily incorporate additional and more complex features related to the behavioral response of borrowers to such measures. |
| title |
An agent-based model for the assessment of LTV caps |
| title_auth |
An agent-based model for the assessment of LTV caps |
| title_full |
An agent-based model for the assessment of LTV caps Dimitrios Laliotis, Alejandro Buesa, Miha Leber and Francisco Javier Población García |
| title_fullStr |
An agent-based model for the assessment of LTV caps Dimitrios Laliotis, Alejandro Buesa, Miha Leber and Francisco Javier Población García |
| title_full_unstemmed |
An agent-based model for the assessment of LTV caps Dimitrios Laliotis, Alejandro Buesa, Miha Leber and Francisco Javier Población García |
| title_in_hierarchy |
no 2294 (July 2019). An agent-based model for the assessment of LTV caps ([2019]) |
| title_short |
An agent-based model for the assessment of LTV caps |
| title_sort |
agent based model for the assessment of ltv caps |
| url |
https://doi.org/10.2866/71742, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2294~ee8ffa5e24.en.pdf, http://hdl.handle.net/10419/208328 |
