Systemic risk must include the housing market, though economists have not generally focused on it. We begin construction of an agent-based model of the housing market with individual data from Washington, DC. Twenty years of success with agent-based models of mortgage prepayments give us hope...

On 15th November 2012 in Copenhagen, SUERF and Nykredit in association with Danmarks Nationalbank organised a conference on “Property prices and real estate financing in a turbulent world.” The papers included in this SUERF Study are based on contributions to the conference.

The confluence of three trends in the U.S. residential housing market - rising home prices, declining interest rates, and near-frictionless refinancing opportunities - led to vastly increased systemic risk in the financial system. Individually, each of these trends is benign, but when they occur...

On 15th November 2012 in Copenhagen, SUERF and Nykredit in association with Danmarks Nationalbank organised a conference on "Property prices and real estate financing in a turbulent world". The papers included in this SUERF Study are based on contributions to the conference.

The global financial crisis heralded a new era of macroprudential mortgage regulations such as loan-to-value and loan-to-income restrictions. Such measures safeguard the financial system but can lead to credit access difficulties, in particular for first-time buyers. In this paper, we examine...

Longer-term mortgages would enhance both consumer choice and financial stability, but regulatory changes are needed to help them develop into a significant part of the Canadian residential mortgage market, says a new report from the C.D. Howe Institute.In “One More Case for Longer-Term...

We study how employment documentation requirements and out-of-pocket closing costs constrain mortgage refinancing. These frictions, which bind most severely during recessions, may significantly inhibit monetary policy pass-through. To study their effects on refinancing, we exploit an FHA policy...

In this paper the authors present an agent-based model of a credit network economy. The artificial economy includes different economic agents that interact using simple behavioral rules through various markets, i.e., the consumption goods market, the labor market, the credit market and the...

This paper investigates the housing and mortgage markets by means of an agent-based macroeconomic model of a credit network economy. A set of computational experiments have been carried out in order to explore the effects of different households’ creditworthiness conditions required by banks...