期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2016
出版社：European Central Bank
摘要：We develop an integrated micro-macro model framework that is based on household surveydata for a subset of the EU countries that the Household Finance and Consumption Survey(HFCS) contains. The model can be used for conducting scenario and sensitivity analyses withregard to the factors that drive households' income and expenses as well as their asset valuesand hence the structure of their balance sheet. Moreover, we use it for the purpose of assessingthe ecacy of borrower-based macroprudential instruments, namely loan-to-value (LTV) ratioand debt service to income (DSTI) ratio caps. The simulation results from the model can beattached to bank balance sheets and their risk parameters to derive the impact of the policymeasures on their capital position. The model framework also allows quantifying the macroe-conomic feedback e ects that would result from the policy-induced reduction of demand formortgage loans. The model allows answering the question as to which of the two measures |LTV or DSTI caps | are more e ective, both with respect to their ability to reduce householdloss rates as well as their impact on the economy.
