Calibration of Borrower-based Macroprudential Measures for Mortgage Exposures: Rigorous Approach and Its Application to the Czech Republic

Hejlová, Hana; Holub, Libor; Plašil, Miroslav

doi:10.18267/j.pep.769

Cited by 3 publications

(1 citation statement)

References 7 publications

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“…The instruments have been implemented in line with the ESRB (2013) recommendation and the CNB's macroprudential policy strategy (CNB, 2020b). For more details about borrower-based measures, see Hejlová et al (2021).…”

Section: Literature Reviewmentioning

confidence: 99%

Modelling Household Mortgage Debt: the case of the Czech Republic

Fiala¹

2022

Prague Economic Papers

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This paper deals with Czech household mortgage debt and its determinants in the period 1Q2005-2Q2021. Our analysis focuses on the variables determining the level of mortgage debt from both short-and long-term perspectives. Our contribution is two-fold. Firstly, we examine the relationship between the selected variables within a cross-correlation analysis. The results confirm the positive dependency of household mortgage debt and real GDP, real gross average income and the level of house prices. By contrast, a negative relationship was identified for real interest rates, the unemployment rate and the inflation rate. Secondly, we explore the ARDL and EC models and identify one cointegration relationship. Our results confirm that house prices and real wages are determinants of household mortgage debt in the long-term perspective. However, a wider range of variables plays a role in the short run, including house prices, real gross average income, inflation and long-term interest rates. Moreover, our model indicates the insignificance of unemployment in both the short and long run.

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Section: Literature Reviewmentioning

confidence: 99%

Modelling Household Mortgage Debt: the case of the Czech Republic

Fiala¹

2022

Prague Economic Papers

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Cooling the mortgage loan market: The effect of borrower-based limits on new mortgage lending

Hodula

Melecký

Pfeifer

et al. 2023

Journal of International Money and Finance

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Price Bubbles in the Real Estate Markets - Analysis and Prediction

Dec

Główka

Masiukiewicz³

2022

Wseas Transactions on Business and Economics

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The article concerns the issue of price bubbles on the markets, with particular emphasis on the specificity of the real estate market. Up till now, more than a decade after the subprime crisis, there is no accurate enough method to predict price movements, their culmination and, eventually, the burst of price and speculative bubbles on the markets. Hence, the main goal of the article is to present the possibility of early detection of price bubbles and their consequences from the point of view of the surveyed managers. The following research hypothesis was verified: price bubbles on the real estate market cannot be excluded, therefore constant monitoring and predictive analytics of this market are needed. In addition to standard research methods (desk research or statistical analysis), the authors conducted their own survey on a group of randomly selected managers from Portugal and Poland in the context of their attitude to crises and price bubbles. The obtained results allowed us to conclude that managers in both analysed countries are different relating the effects of price bubbles to the activities of their own companies but are similar (about 40% of respondents) expecting quick detection and deactivation of emerging bubbles by the government or by central bank. Nearly 40% of Polish and Portuguese managers claimed that the consequences of crises must include an increased responsibility of managers for their decisions, especially those leading to failures.

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Calibration of Borrower-based Macroprudential Measures for Mortgage Exposures: Rigorous Approach and Its Application to the Czech Republic

Cited by 3 publications

References 7 publications

Modelling Household Mortgage Debt: the case of the Czech Republic

Modelling Household Mortgage Debt: the case of the Czech Republic

Cooling the mortgage loan market: The effect of borrower-based limits on new mortgage lending

Price Bubbles in the Real Estate Markets - Analysis and Prediction

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