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Modelling the distribution of mortgage debt

Iren Levina (), Robert Sturrock, Alexandra Varadi and Gavin Wallis ()
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Iren Levina: Bank of England, Postal: Bank of England, Threadneedle Street, London, EC2R 8AH
Robert Sturrock: Bank of England

No 808, Bank of England working papers from Bank of England

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 (search for similar items in EconPapers)
JEL-codes: D04 G21 R20 R21 R31 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2019-07-19
New Economics Papers: this item is included in nep-ban and nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:boe:boeewp:0808

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