The effect of borrower-specific loan-to-value policies on household debt, wealth inequality and consumption volatility: An agent-based analysis

Tarne, Ruben; Bezemer, Dirk; Theobald, Thomas

doi:10.1016/j.jedc.2022.104526

Cited by 11 publications

(8 citation statements)

References 47 publications

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“…Our findings are in line with the Franklin Et al. (2021) that argue that household debt could amplify exogenous shocks, like economic shocks or the pandemic.In detail our findings shows that COVID-19 shocks adversely affect mainly household credit and thereby household finances Tarne et al (2022). argue that enhancing access to credit to the households with lower level of assets, like first time property buyers, leads to the most substantial reductions in household debt, wealth inequality and consumption volatility.…”

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confidence: 65%

“…Tarne et al . (2022) argue that enhancing access to credit to the households with lower level of assets, like first time property buyers, leads to the most substantial reductions in household debt, wealth inequality and consumption volatility.…”

Section: Discussionmentioning

confidence: 99%

“…UK households debt repayment during COVID-19 Tarne et al (2022) argue that enhancing access to credit to the households with lower level of assets, like first time property buyers, leads to the most substantial reductions in household debt, wealth inequality and consumption volatility. Our findings confirm that providing credit and lending to households is key to overcome the negative shock of COVID-19 on household finances.…”

Section: Discussionmentioning

confidence: 99%

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Why do households repay their debt in UK during the COVID-19 crisis?

Mamatzakis

Tsionas

Ongena

2023

JES

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PurposeIn this paper, the authors investigate whether coronavirus disease 2019 (COVID-19) impacts household finances, like household debt repayments in the UK.Design/methodology/approachThis paper employs a vector autoregressive (VAR) model that nests neural networks and uses Mixed Data Sampling (MIDAS) techniques. The authors use data information related to COVID-19, financial markets and household finances.FindingsThe authors' results show that household debt repayments' response to the first principal component of COVID-19 shocks is negative, albeit of low magnitude. However, when the authors employ specific COVID-19-related data like vaccines and tests the responses are positive, insinuating the underlying dynamic complexities. Overall, confirmed deaths and hospitalisations negatively affect household debt repayments. The authors also report low persistence in household debt repayments. Generalised impulse response functions (IRFs) confirm the main results. As draconian measures, the lockdowns are eased and the COVID-19 shocks are diminishing, and household financial data converge to the levels prior to the pandemic albeit with some lags.Originality/valueTo the best of the authors' knowledge, this is the first study that examines the impact of the pandemic on household debt repayments. The authors' findings show that policy response in the future should prioritise innovation of new vaccines and testing.

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confidence: 65%

Section: Discussionmentioning

confidence: 99%

Section: Discussionmentioning

confidence: 99%

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Why do households repay their debt in UK during the COVID-19 crisis?

Mamatzakis

Tsionas

Ongena

2023

JES

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“…9 6 First-time buyers assigned to an income percentile Ξ 𝑖 > 0.069 have marginal propensity to consume out of disposable income (𝛼 𝑖 ) of 0.641. This diverges from Tarne, Bezemer, and Theobald (2022). See section 4.4 in the Appendix for the calibration of these values.…”

Section: Changes To the Modelmentioning

confidence: 91%

“…Another policy could aim at dampening house price boom phases, for instance by implementing macroprudential credit restrictions. This paper contributes to the existing literature by improving the agent-based housing market model by Tarne, Bezemer, and Theobald (2022) to include a more realistic housing wealth effect on consumption so that it is not active for all households, but only for those close to their borrowing constraint. The newly introduced parameters are then calibrated to match key stylized facts about the UK housing market and the characteristics of financially vulnerable households.…”

Section: Introductionmentioning

confidence: 99%

Housing cycles and their regulation: an agent-based analysis

Tarne

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Is it done? Are you sure? If I have learned anything, then that there is always another step to do. These past years have been challenging, intense, but also very rewarding. I would not be here without the immense support of a many people. I extend my heartfelt thanks to all those that helped me get here. First and foremost I want to express my gratitude to my two supervisors Prof. Dr. Dirk Bezemer and Dr. Thomas Theobald. Dirk, your guidance and conversations over the years have been invaluable to me. Even though I was in Groningen only for a few months and the rest in Düsseldorf and mostly in Berlin, our communication worked very well for me. I could always count on your timely feedback and support during critical times, helping me navigate through (some self-created) obstacles. I truly appreciated our discussions, where you consistently pushed me to improve my thinking and understanding.Thomas, thank you for your support and helping getting my grips on the agent-based model I was working with. You were always honest with me and gave so much of your time to supporting me. I remember how after so many meetings we were both sitting there with rauchenden Köpfen, but most of the time feeling we understood more. I will never forget you helping me to write my research proposal close to a deadline in your free time on a Saturday night, every sentence crafted with sweat and the help of coca cola. I came a long way since then as there is now finally enough Butter bei die Fische.Another big thanks goes to the IMK in Düsseldorf, who funded most of my PhD and who gave me something like a home. I really enjoyed the time I spent at the institute, the lunch breaks with economic and political discussions, and all your supportive encouragements when I was struggling with my work. Thank you

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