Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/208328
Authors: 
Laliotis, Dimitrios
Buesa, Alejandro
Leber, Miha
Población García, Javier
Year of Publication: 
2019
Series/Report no.: 
ECB Working Paper No. 2294
Abstract: 
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.
Subjects: 
Borrower-based measures
macroprudential policy
house prices
HFCS survey
JEL: 
D14
D31
E50
R21
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-3556-2
Document Type: 
Working Paper

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