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Simulating the impact of borrower-based macroprudential policies on mortgages and the real estate sector in Austria – evidence from the Household Finance and Consumption Survey 2014

Author

Listed:
  • Nicolas Albacete

    () (Oesterreichische Nationalbank, Economic Analysis Division)

  • Peter Lindner

    () (Economic Analysis Division)

Abstract

In this paper we simulate the impact on house prices and credit available of different macroprudential restrictions on household mortgages in Austria. We apply the methodology developed in the literature for credit register-based information and extend it to the use of survey data. This allows us to make use of the data gleaned from the most recent wave of the Household Finance and Consumption Survey (HFCS) in Austria to investigate the linkages between macroprudential policy and credit supply. We find that of the three standard credit ratio-based criteria – loan to value (LTV), debt to income (DTI) and debt service to income (DSTI) – for most households, the income-based criteria (DTI followed by DSTI) are the binding ones, while the role of LTV is limited. The relationship between credit supply and house prices is found to be positive, but weak. We simulate various macroprudential scenarios and find that macroprudential measures may potentially have sizeable effects on the credit available to households for financing real estate. Furthermore, it can be seen that – as expected – macroprudential policy tends to affect less affluent mortgage holders (although at the median, mortgage holders are more affluent than the general household population). The results also show that the simulated macroprudential policy measures trigger smaller changes of house prices.

Suggested Citation

  • Nicolas Albacete & Peter Lindner, 2017. "Simulating the impact of borrower-based macroprudential policies on mortgages and the real estate sector in Austria – evidence from the Household Finance and Consumption Survey 2014," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 33, pages 52-68.
  • Handle: RePEc:onb:oenbfs:y:2017:i:33:b:1
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    File URL: https://www.oenb.at/dam/jcr:7d23eb8e-9550-4eb0-8247-acb92021a91a/06_Albacete_Lindner_fsr33.pdf
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    References listed on IDEAS

    as
    1. repec:eee:jhouse:v:41:y:2018:i:c:p:153-167 is not listed on IDEAS
    2. Nicolas Albacete & Pirmin Fessler & Martin Schürz, 2012. "Risk Buffer Profiles of Foreign Currency Mortgage Holders," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 23, pages 58-71.
    3. Nicolas Albacete & Judith Eidenberger & Gerald Krenn & Peter Lindner & Michael Sigmund, 2014. "Risk-Bearing Capacity of Households – Linking Micro-Level Data to the Macroprudential Toolkit," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 27, pages 95-110.
    4. Nicolas Albacete & Peter Lindner, 2015. "Foreign currency borrowers in Austria – evidence from the Household Finance and Consumption Survey," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 29, pages 93-109.
    5. Kelly, Robert & McCann, Fergal & O’Toole, Conor, 2018. "Credit conditions, macroprudential policy and house prices," Journal of Housing Economics, Elsevier, vol. 41(C), pages 153-167.
    6. Nicolas Albacete & Pirmin Fessler, 2010. "Stress Testing Austrian Households," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 19, pages 72-91.
    7. Nicolas Albacete & Pirmin Fessler & Peter Lindner, 2016. "The distribution of residential property price changes across homeowners and its implications for financial stability in Austria," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 31, pages 62-81.
    8. Nicolas Albacete & Karin Wagner, 2009. "Housing Finance of Austrian Households," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 62-92.
    9. Nicolas Albacete & Peter Lindner, 2013. "Household Vulnerability in Austria – A Microeconomic Analysis Based on the Household Finance and Consumption Survey," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 25, pages 57-73.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    macroprudential policy; house price development; mortgage market; HFCS;

    JEL classification:

    • D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
    • D14 - Microeconomics - - Household Behavior - - - Household Saving; Personal Finance
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • R21 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Housing Demand
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

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