Modelling the distribution of mortgage debt

Staff working papers set out research in progress by our staff, with the aims of encouraging comments and debate
Published on 03 July 2019

Staff Working Paper No. 808

By Iren Levina, Robert Sturrock, Alexandra Varadi and Gavin Wallis.
 
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.

 

PDFModelling the distribution of mortgage debt

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