Research Paper
Modelling the distribution of mortgage debt
Publication details
Summary
This paper presents an approach to modelling the flow and the stock of mortgage debt, using loan-level data. Our approach allows us to consider different macroeconomic scenarios for the housing market, lenders’ and borrowers’ behaviour, and different calibrations of macroprudential policy interventions in a consistent way. This, in turn, allows us to take a forward-looking view about potential risks stemming from the distribution of mortgage debt, as well as assess the impact of potential macroprudential policies in a forward-looking manner.