2021
DOI: 10.2139/ssrn.3891583
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Macroprudential Policy Analysis via an Agent Based Model of the Real Estate Sector

Abstract: In this paper, we extend and calibrate with Italian data the Agent-based model of the real estate sector described in Baptista et al., 2016. We design a novel calibration methodology that is built on a multivariate moment-based measure and a set of three search algorithms: a low discrepancy series, a machine learning surrogate and a genetic algorithm. The calibrated and validated model is then used to evaluate the effects of three hypothetical borrower-based macroprudential policies: an 80 per cent loan-to-val… Show more

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Cited by 6 publications
(3 citation statements)
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References 28 publications
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“…Farmer, et al (2020) develop a financial system-wide stress-testing simulation model with heterogeneous agents. Catapano, et al (2021) implement ABM to model the outcome of macroprudential policies in the real estate sector. Bonabeau (2002) documents the usage of ABM to model several aspects of the dynamics of stock markets.…”
Section: Literature Reviewmentioning
confidence: 99%
“…Farmer, et al (2020) develop a financial system-wide stress-testing simulation model with heterogeneous agents. Catapano, et al (2021) implement ABM to model the outcome of macroprudential policies in the real estate sector. Bonabeau (2002) documents the usage of ABM to model several aspects of the dynamics of stock markets.…”
Section: Literature Reviewmentioning
confidence: 99%
“…Carro et al (2023) improve Baptista et al (2016)'s model, code, description, and calibration. Other studies calibrate this type of model to Denmark (Cokayne 2019), Italy (Catapano et al 2021), Spain (Carro 2023), and the Netherlands in the last chapter of this thesis. They find significant effects of credit conditions on house prices, while the effect is lower in Italy, where households tend to be indebted less.…”
Section: Credit Conditionsmentioning
confidence: 99%
“…tivation for the house purchase, which is usually considered by central banks (Central Bank of Ireland 2021a).Second, from the perspective of the growing agent-based literature in economics, we contribute to the strand of studies that examines the effect of macroprudential policies using an agent-based model calibrated on key variables of an economy's financial cycle(Cardaci 2018;Catapano et al 2021;Cokayne 2019). This type of economic model is particularly appropriate for our research questions related to mortgage measures because, in addition to borrower heterogeneity, it allows us to study the effect of macroprudential policies on the household wealth distribution(Carpantier, Olivera, and Van Kerm 2018).…”
mentioning
confidence: 99%