The Effect of the Countercyclical Capital Buffer on the Stability of the Housing Market

Julia Braun, Hans-Peter Burghof, Dag Einar Sommervoll
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Abstract

After the great turmoil of the latest financial crisis, the criticism of the regulatory frameworks became increasingly stronger. The rules that banks needed to comply with are presumed to be procyclical and unable to prevent and mitigate the extent of strong financial and economic cycles. As a result, Basel III introduced a set of macroprudential tools to overcome these regulatory shortfalls. One tool that strives to counteract the issue of procyclicality is the countercyclical capital buffer (\(CCyB\)). This paper introduces a heterogeneous agent-based model that investigates the implication of the new regulatory measure. We develop a housing and a financial market where economic agents trade residential property that is financed by financial institutions. To examine the macroeconomic performance of the \(CCyB\), we evaluate the dynamics of key stability indicators of the housing and the financial market under four different market conditions: in an undisturbed market and in times of three different structural shocks. Computational experiments reveal that the \(CCyB\) is effective in stabilizing the housing and the financial market in all market settings. The new macroprudential tool helps to mitigate economic fluctuations and to stabilize market conditions, especially in the aftermath of a crisis. It is not able to prevent any of the crises tested. However, the extent of the stabilizing effect varies according to market conditions. In the shock scenarios, the \(CCyB\) performs better in dampening market fluctuations and increasing banking soundness than in the base scenario.

Abstract Image

反周期资本缓冲对住房市场稳定性的影响
在最近的金融危机大动荡之后,对监管框架的批评越来越强烈。银行需要遵守的规则被认为是顺周期性的,无法防止和减轻金融和经济强周期的程度。因此,《巴塞尔协议三》引入了一套宏观审慎工具,以克服这些监管缺陷。逆周期资本缓冲器(countercyclical capital buffer)就是努力应对顺周期性问题的工具之一。本文引入了一个基于异质代理的模型,以研究新监管措施的影响。我们建立了一个住房和金融市场,在这个市场上,经济行为主体交易由金融机构融资的住宅物业。为了考察 \\(CCyB\) 的宏观经济表现,我们评估了住房和金融市场在四种不同市场条件下的关键稳定性指标的动态变化:在市场未受干扰的情况下以及在三种不同的结构性冲击下。计算实验表明,在所有市场环境下,\(CCyB\ )都能有效地稳定住房和金融市场。新的宏观审慎工具有助于缓解经济波动和稳定市场状况,尤其是在危机之后。它并不能预防任何一场危机。不过,稳定作用的程度因市场条件而异。在冲击情景下,与基本情景相比,CCyB\ 在抑制市场波动和提高银行稳健性方面表现更好。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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