Could Spain be less different? Exploring the effects of macroprudential policy on the house price cycle
Authors
Issue Date
15-Sep-2022
Physical description
50 p.
Abstract
Haciendo uso de un modelo basado en agentes del mercado inmobiliario español, exploramos los principales factores responsables de la mayor amplitud de los ciclos del precio de la vivienda en España —en comparación con la mayoría de los otros países europeos—, así como el potencial alcance de la política macroprudencial para reducir esta amplitud. En primer lugar, aprovechamos la disponibilidad de una calibración previa del modelo para el Reino Unido, país caracterizado por una menor amplitud del ciclo del precio de la vivienda, para mostrar el prominente papel desempeñado por las distribuciones de varias métricas de riesgo hipotecario: las ratios préstamo-valor, préstamo-ingresos y servicio de la deuda-ingresos. En segundo lugar, utilizamos el modelo para calibrar tanto un límite rígido de la ratio préstamo-valor como un límite suave de la ratio préstamo-ingresos con el objetivo de suavizar el ciclo del precio de la vivienda español de manera que su amplitud se iguale a la del equivalente británico. Finalmente, caracterizamos los efectos de estas políticas a lo largo de las diferentes fases del ciclo, encontrando que ambos instrumentos reducen el crecimiento del crédito y del precio durante la fase expansiva, mientras que hacen disminuir su declive durante la fase contractiva. Además, ambos instrumentos desencadenan un cambio en la composición de la actividad crediticia: en los dos casos se produce un aumento del crédito a inversores en vivienda de alquiler, pero mientras que el límite préstamo-valor conduce a una reducción del crédito a compradores de primera vivienda, con el límite préstamo-ingresos disminuye el crédito tanto a compradores de primera vivienda como a propietarios en busca de una nueva vivienda principal.
Employing an agent-based model of the Spanish housing market, this paper explores the main drivers behind the large amplitude of the Spanish house price cycle —as compared to most other European countries—, as well as the scope for macroprudential policy to reduce this amplitude. First, we exploit the availability of a previous calibration to the UK, which has a less pronounced house price cycle, to show the prominent role played by the distributions of various mortgage risk metrics: loan-to-value, loan-to-income and debt-service-to-income ratios. Second, we use the model to calibrate both a hard loan-to-value limit and a soft loan-to-income limit to smooth the Spanish house price cycle and match the amplitude of the UK equivalent. Finally, we characterise the effects of these calibrated policies over the different phases of the cycle, finding that both instruments reduce credit and price growth during the expansionary phase and also reduce their decline during the contractionary phase. Moreover, both instruments lead to a compositional shift in lending: the loan-to-value policy from first-time buyers to buy-to-let investors and the loan-to-income policy from both first-time buyers and home movers to buy-to-let investors.
Employing an agent-based model of the Spanish housing market, this paper explores the main drivers behind the large amplitude of the Spanish house price cycle —as compared to most other European countries—, as well as the scope for macroprudential policy to reduce this amplitude. First, we exploit the availability of a previous calibration to the UK, which has a less pronounced house price cycle, to show the prominent role played by the distributions of various mortgage risk metrics: loan-to-value, loan-to-income and debt-service-to-income ratios. Second, we use the model to calibrate both a hard loan-to-value limit and a soft loan-to-income limit to smooth the Spanish house price cycle and match the amplitude of the UK equivalent. Finally, we characterise the effects of these calibrated policies over the different phases of the cycle, finding that both instruments reduce credit and price growth during the expansionary phase and also reduce their decline during the contractionary phase. Moreover, both instruments lead to a compositional shift in lending: the loan-to-value policy from first-time buyers to buy-to-let investors and the loan-to-income policy from both first-time buyers and home movers to buy-to-let investors.
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Documentos de Trabajo / Banco de España, 2230
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Subjects
Modelización basada en agentes; Mercado inmobiliario; Política macroprudencial; Medidas basadas en el prestatario; Sector de la inversión en vivienda de alquiler; Agent-based modelling; Housing market; Macroprudential policy; Borrower-based measures; Buy-to-let sector; Economía urbana y vivienda; Bancos centrales y otras autoridades monetarias; Factores de producción y distribución; España
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