Three essays on macroprudential policy

This doctoral thesis gathers three studies on different aspects of macroprudential policy and financial stability. The research questions featured in each of its parts are to be seen as complementary: one chapter concentrates on mortgage credit markets, another one explores the business decisions of...

Descripción completa

Detalles Bibliográficos
Autor: Buesa Olavarrieta, Alejandro
Tipo de recurso: tesis doctoral
Fecha de publicación:2022
País:España
Institución:Universidad Complutense de Madrid (UCM)
Repositorio:Docta Complutense
Idioma:inglés
OAI Identifier:oai:docta.ucm.es:20.500.14352/3448
Acceso en línea:https://hdl.handle.net/20.500.14352/3448
Access Level:acceso abierto
Palabra clave:336(043.2)
Finance
Finanzas
id ES_09ef3f5ceebcd30b3cae63c03e48b073
oai_identifier_str oai:docta.ucm.es:20.500.14352/3448
network_acronym_str ES
network_name_str España
repository_id_str
spelling Three essays on macroprudential policyBuesa Olavarrieta, Alejandro336(043.2)FinanceFinanzasFinanzasThis doctoral thesis gathers three studies on different aspects of macroprudential policy and financial stability. The research questions featured in each of its parts are to be seen as complementary: one chapter concentrates on mortgage credit markets, another one explores the business decisions of banking institutions, while the remaining one considers the potential international implications of borrower-based measures.The first paper introduces a simplified picture of the mortgage credit market and itsbehaviour under regulatory constraints related to borrower-based macroprudential policies. More precisely, the chapter presents an assessment of the effects of loan-to-value (LTV) ratiocaps for housing mortgages using an agent-based model. Sellers, buyers and banks interact within a computational framework that enables the application of LTV caps to a one-stephousing market. The initial exercise, which relies upon simulated distributions of buyers and sellers, is followed by a more realistic setup calibrated through actual European data from the Household Finance and Consumption Survey. In both cases, the application of an LTV cap results in a modified distribution of buyers along property values, bidding prices and properties sold, depending on the shape of the probability distributions of the LTV ratio, wealth and debt-to- income ratios considered. The results are of similar magnitude to other studies in the literature embodying other analytical approaches and suggest that this methodology can potentially be used to gauge the impact of common macroprudential measures...Universidad Complutense de MadridPoblación García, Francisco JavierRuiz Andújar, JesúsUniversidad Complutense de Madrid20222022-02-0920222022-02-09doctoral thesishttp://purl.org/coar/resource_type/c_db06info:eu-repo/semantics/doctoralThesisapplication/pdfhttps://hdl.handle.net/20.500.14352/3448reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/34482026-06-02T12:44:21Z
dc.title.none.fl_str_mv Three essays on macroprudential policy
title Three essays on macroprudential policy
spellingShingle Three essays on macroprudential policy
Buesa Olavarrieta, Alejandro
336(043.2)
Finance
Finanzas
Finanzas
title_short Three essays on macroprudential policy
title_full Three essays on macroprudential policy
title_fullStr Three essays on macroprudential policy
title_full_unstemmed Three essays on macroprudential policy
title_sort Three essays on macroprudential policy
dc.creator.none.fl_str_mv Buesa Olavarrieta, Alejandro
author Buesa Olavarrieta, Alejandro
author_facet Buesa Olavarrieta, Alejandro
author_role author
dc.contributor.none.fl_str_mv Población García, Francisco Javier
Ruiz Andújar, Jesús
Universidad Complutense de Madrid
dc.subject.none.fl_str_mv 336(043.2)
Finance
Finanzas
Finanzas
topic 336(043.2)
Finance
Finanzas
Finanzas
description This doctoral thesis gathers three studies on different aspects of macroprudential policy and financial stability. The research questions featured in each of its parts are to be seen as complementary: one chapter concentrates on mortgage credit markets, another one explores the business decisions of banking institutions, while the remaining one considers the potential international implications of borrower-based measures.The first paper introduces a simplified picture of the mortgage credit market and itsbehaviour under regulatory constraints related to borrower-based macroprudential policies. More precisely, the chapter presents an assessment of the effects of loan-to-value (LTV) ratiocaps for housing mortgages using an agent-based model. Sellers, buyers and banks interact within a computational framework that enables the application of LTV caps to a one-stephousing market. The initial exercise, which relies upon simulated distributions of buyers and sellers, is followed by a more realistic setup calibrated through actual European data from the Household Finance and Consumption Survey. In both cases, the application of an LTV cap results in a modified distribution of buyers along property values, bidding prices and properties sold, depending on the shape of the probability distributions of the LTV ratio, wealth and debt-to- income ratios considered. The results are of similar magnitude to other studies in the literature embodying other analytical approaches and suggest that this methodology can potentially be used to gauge the impact of common macroprudential measures...
publishDate 2022
dc.date.none.fl_str_mv 2022
2022-02-09
2022
2022-02-09
dc.type.none.fl_str_mv doctoral thesis
http://purl.org/coar/resource_type/c_db06
dc.type.openaire.fl_str_mv info:eu-repo/semantics/doctoralThesis
format doctoralThesis
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/3448
url https://hdl.handle.net/20.500.14352/3448
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidad Complutense de Madrid
publisher.none.fl_str_mv Universidad Complutense de Madrid
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869403134749573120
score 15.300724

Similares en LA Referencia