Macroeconomic implications of mortgage loan requirements: an agent-based approach
Tóm tắt
Từ khóa
Tài liệu tham khảo
Anderson G, Bunn P, Pugh A, Uluc A (2014) The potential impact of higher interest rates on the household sector: evidence from the 2014 NMG Consulting survey. Bank England Q Bull 54(4):419–433
Axtell R, Farmer D, Geanakoplos J, Carella E, Conlee B, Goldstein J, Hendrey M, Kalikman P, Masad D, Palmer N, Yang Cy (2014) An agent-based model of the housing market bubble in metropolitan Washington, DC Tech. rep., Deutsche bundesbank spring conferences on housing markets and the macroeconomy
Baffoe-Bonnie J (1998) The dynamic impact of macroeconomic aggregates on housing prices and stock of houses: a national and regional analysis. J Real Estate Finance Econ 17(2):179–197
Baptista R, Farmer JD, Hinterschweiger M, Low K, Tang D, Uluc A (2016) Macroprudential policy in an agent-based model of the UK housing market. Bank England, Staff Working Paper No 619, pp 1–50
Battiston S, Farmer JD, Flache A, Garlaschelli D, Haldane AG, Heesterbeek H, Hommes C, Jaeger C, May R, Scheffer M (2016) Complexity theory and financial regulation. Science 351(6275):818–819
Benartzi S, Thaler RH (1995) Myopic loss aversion and the equity premium puzzle. Q J Econ 110(1):73–92
Bjarnason T, Erlingsson EJ, Ozel B, Stefansson H, Sturluson JT, Raberto M (2015) Macroeconomic effects of varied mortgage instruments studied using agent-based model simulations. Tech. rep., working papers 2017/10, Economics Department, Universitat Jaume I, Castellon (Spain)
Blum J, Hellwig M (1995) The macroeconomic implications of capital adequacy requirements for banks. Eur Econ Rev 39(3):739–749
Borsch-Supan A (1994) Housing market regulations and housing market performance in the United States, Germany, and Japan. In: Social protection versus economic flexibility: is there a trade-off?, University of Chicago Press
Bubb R, Krishnamurthy P (2015) Regulating against bubbles: how mortgage regulation can keep main street and wall street safe–from themselves. SSRN scholarly paper ID 2558110, Social Science Research Network, Rochester, NY
Carroll CD (2001) A theory of the consumption function, with and without liquidity constraints. J Econ Perspect 15(3):23–45
Case KE, Glaeser EL, Quigley JM (eds) (2009) Housing markets and the economy: risk, regulation, and policy: essays in honor of Karl E. Case. Lincoln Institute of Land Policy, Cambridge, MA
Catte P, Girouard N, Price R, André C (2005) The contribution of housing markets to cyclical resilience. OECD Econ Stud 2004(1):125–156
Caverzasi E, Godin A (2015) Post-keynesian stock-flow-consistent modelling: a survey. Camb J Econ 39(1):157–187
Cincotti S, Raberto M, Teglio A (2010) Credit money and macroeconomic instability in the agent-based model and simulator Eurace. Econ Op Access Op Assess E-J 4(2010-26):1–32
Dagher J, Fu N (2011) What fuels the boom drives the bust; regulation and the mortgage crisis. IMF working paper 11/215, international monetary fund
Dawid H, Gemkow S, Harting P, Kabus K, Neugart M, Wersching K (2008) Skills, innovation, and growth: an agent-based policy analysis. J Econ Stat 228(2+3):251–275
Deaton A (1992) Household saving in ldcs: credit markets, insurance and welfare. Scand J Econ 94(2):253–273
Deloitte (2014) Property index overview of European residential markets: European housing 2013. Tech. rep., Deloitte Real Estate. 3rd edn
Dubecq S, Ghattassi I (2009) Consumption-wealth ratio and housing returns. Tech. Rep. 264, Banque de France
ECB (2013) Monthly Bulletin October, 2013. Tech. Rep. ISSN 1725-2822, European Central Bank
Erlingsson EJ, Teglio A, Cincotti S, Stefansson H, Sturluson JT, Raberto M (2014) Housing market bubbles and business cycles in an agent-based credit economy. Econ Op Access Op Assess E-J 8(2014-8):1–42
Erlingsson EJ, Ozel B, Teglio A, Stefansson H, Sturluson JT, Raberto M (2016) Wealth and income inequality dynamics andcredit rationing: an agent-based approach. Tech. rep., Universitat Jaume I
FI (2014) The swedish mortgage market 2014. Tech. rep, FinansInspektionen Mortgage Survey
FSA (2011) Mortgage Market Review: Proposed package of reforms. Tech. rep., The Financial Services Authority
Gallegati M, Greenwald B, Richiardi MG, Stiglitz EJ (2008) The asymmetric effect of diffusion processes: risk sharing and contagion. Glob Econ J 8(3)
Gareth A, Philip B, Pugh A (2014) Uluc A (2014) The potential impact of higher interest rates on the household sector: evidence from the 2014 NMG consulting survey. Bank of England Q Bull Q4:419–433
Ge J (2014) Who creates housing bubbles? An agent-based study. In: Alam SJ, Parunak HVD (eds) Multi-agent-based simulation XIV, vol 8235. Springer, Berlin, pp 143–150
Gharaie E, Blismas N, Wakeield R (2012) Little’s law for the US house building industry. In: Tommelein ID, Pasquire CL (eds) 20th annual conference of the international group for lean construction. San Diego, USA
Gilbert N, Howksworth JC, Swinney PA (2009) An agent-based model of the English housing market. Technosocial Predictive Analytics, Papers from the 2009 AAAI Spring Symposium, Technical Report SS-09-09, Stanford, California, USA
Kydland FE, Rupert P, Sustek R (2012) Housing dynamics over the business cycle. NBER working paper 18432, National Bureau of Economic Research, Inc
Labini PS (1995) Why the interpretation of the cobb-douglas production function must be radically changed. Struct Change Econ Dyn 6(4):485–504 https://EconPapers.repec.org/RePEc:eee:streco:v:6:y:1995:i:4:p:485-504
Levin EJ, Wright RE (1997) The impact of speculation on house prices in the united kingdom. Econ Model 14(4):567–585
Meh CA, Terajima Y, Chen DX, Carter T (2009a) Household debt, assets, and income in canada: a microdata study. Tech. Rep. 2009-7, Bank of Canada
Meh CA, Terajime Y, Chen DX, Carter T (2009b) Household debt, assets, and income in canada: a microdata study. Tech. Rep. ISSN 1914-0558, Bank of Canada
Muellbauer J (2012) When is a housing market overheated enough to threaten stability? Tech. Rep. 623, University of Oxford, Department of Economics, discussion paper series
Muellbauer J, Murphy A (2008) Housing markets and the economy: the assessment. Oxford Rev Econ Policy 24(1):1–33
Raberto M, Teglio A, Cincotti S (2008) Prospect theory behavioral assumptions in an artificial financial economy. In: Schredelseker K (ed) Complexity and artificial markets. Lecture Notes in Economics and Mathematical Systems, vol 614, pp 55–66. Springer
Raberto M, Teglio A, Cincotti S (2012) Debt deleveraging and business cycles. An agent-based perspective. Econ Op Access, Op Assess E-J 6(2012-27):1–49
Richiardi M (2015) The future of agent-based modelling. Economics papers, economics group, Nuffield College, University of Oxford No 2015-W06
Rossi P (2008) L’offerta di mutui alle famiglie: caratteristiche, evoluzione e differenze territoriali. I risultati di un’indagine campionaria. Questioni di Economia e Finanza 13:1–28
Santos JA (2001) Bank capital regulation in contemporary banking theory: a review of the literature. Financ Mark Inst Instrum 10(2):41–84
Saunders A, Allen L (2010) Credit risk measurement in and out of the financial crisis. Wiley, Hoboken
Shaikh A (1974) Laws of production and laws of algebra: the humbug production function. Rev Econ Stat 56(1):115–120
Skingsley C (2007) Households’ debt under microscope. Sabos finansdag, Operaterrassen, Stockholm
Stiglitz JE (1997) The role of government in the economies of developing countries. In: Keynote address to the annual world bank conference on development economics. The World Bank, Washington, DC
Svensson LE (2014a) The household debt ratio is an unsuitable risk measure–there are much better ones. Eknomistas platform: speeches. https://ekonomistas.se/
Svensson LE (2014b) Resilience, debt, and net worth: has resilience increased with higher debt-to-income ratios? Tech. rep., The Institute for International Economic Studies, Stockholm University
Taylor JB (1993) Discretion versus policy rule in practice. J Monet Econ 39:195–214
Teglio A, Raberto M, Cincotti S (2010) Balance sheet approach to agent-based computational economics: the Eurace project. In: Combining soft computing and statistical methods in data analysis, advances in intelligent and soft computing, vol 77. Springer, Berlin, pp 603–610
Teglio A, Raberto M, Cincotti S (2012) The impact of banks’ capital adequacy regulation on the economic system: an agent-based approach. Adv Complex Syst 15(supp02):1250,040
Tesfatsion L (2003) Agent-based computational economics: modeling economies as complex adaptive systems. Inf Sci 149(4):262–268
Tesfatsion L, Judd K (2006) Agent-based computational economics, handbook of computational economics, vol 2. North Holland
Yeh A, Twaddle J, Frith M (2005) Basel II: a new capital framework. Tech. rep., Reserve Bank of New Zealand: Bulletin, vol. 68, no. 3