A High Resolution Agent-based Model of the Hungarian Housing Market

Bence Mero (merob@mnb.hu), Andras Borsos (borsosa@mnb.hu), Zsuzsanna Hosszu (hosszuzs@mnb.hu), Zsolt Olah (olahzs@mnb.hu) and Nikolett Vago (vagon@mnb.hu)
Additional contact information
Bence Mero: Magyar Nemzeti Bank (Central Bank of Hungary)
Andras Borsos: Magyar Nemzeti Bank (Central Bank of Hungary)
Zsuzsanna Hosszu: Magyar Nemzeti Bank (Central Bank of Hungary)
Zsolt Olah: Magyar Nemzeti Bank (Central Bank of Hungary)
Nikolett Vago: Magyar Nemzeti Bank (Central Bank of Hungary)

No 2022/6, MNB Working Papers from Magyar Nemzeti Bank (Central Bank of Hungary)

Abstract: This paper presents a complex, modular, 1:1 scale model of the Hungarian residential housing market. All the 4 million households and their relevant characteristics are represented based on empirical micro-level data coming from the Central Credit Information System, the Pension Payment database and transaction data of property sales collected by the National Tax and Customs Administration and the largest real estate agencies. The model features transactions in the housing and rental markets, a construction sector, buy-to-let investors, housing loans, house price dynamics and a procyclical banking sector regulated by a macroprudential authority. The flats in the model are characterized with detailed attributes regarding their size, state and neighbourhood quality. Households choose the flat with the highest consumer surplus according to standard utility maximization theory. Additionally, we have also implemented demographic trends, including childbearing, marriage and inheritance. This way the model is suitable for analysing various types of macroprudential, fiscal and monetary policies as well as for the assessment of exogenous shock scenarios. Initiating the model simulation from 2018, it managed to reproduce the number of transactions and the observed house price dynamics in most of the regions of Hungary for 2018-2019, while the volume of new housing loans and their distribution regarding income deciles and loan-to-value ratios were also in compliance with the empirical data.

Keywords: agent-based modelling; macroprudential policy; housing market; housing loans (search for similar items in EconPapers)
JEL-codes: C63 D1 D31 E58 R21 R31 (search for similar items in EconPapers)
Pages: 78 pages
Date: 2022
New Economics Papers: this item is included in nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mnb.hu/letoltes/mnb-wp-2022-7-final-1.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mnb:wpaper:2022/7

Access Statistics for this paper

More papers in MNB Working Papers from Magyar Nemzeti Bank (Central Bank of Hungary) Contact information at EDIRC.
Bibliographic data for series maintained by Lorant Kaszab (kaszabl@mnb.hu this e-mail address is bad, please contact repec@repec.org).