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A High Resolution Agent-based Model of the Hungarian Housing Market

Author

Listed:
  • Bence Mero

    (Magyar Nemzeti Bank (Central Bank of Hungary))

  • Andras Borsos

    (Magyar Nemzeti Bank (Central Bank of Hungary))

  • Zsuzsanna Hosszu

    (Magyar Nemzeti Bank (Central Bank of Hungary))

  • Zsolt Olah

    (Magyar Nemzeti Bank (Central Bank of Hungary))

  • Nikolett Vago

    (Magyar Nemzeti Bank (Central Bank of Hungary))

Abstract

This paper presents a complex, modular, 1:1 scale model of the Hungarian residential housing market. All the 4 million households and their relevant characteristics are represented based on empirical micro-level data coming from the Central Credit Information System, the Pension Payment database and transaction data of property sales collected by the National Tax and Customs Administration and the largest real estate agencies. The model features transactions in the housing and rental markets, a construction sector, buy-to-let investors, housing loans, house price dynamics and a procyclical banking sector regulated by a macroprudential authority. The flats in the model are characterized with detailed attributes regarding their size, state and neighbourhood quality. Households choose the flat with the highest consumer surplus according to standard utility maximization theory. Additionally, we have also implemented demographic trends, including childbearing, marriage and inheritance. This way the model is suitable for analysing various types of macroprudential, fiscal and monetary policies as well as for the assessment of exogenous shock scenarios. Initiating the model simulation from 2018, it managed to reproduce the number of transactions and the observed house price dynamics in most of the regions of Hungary for 2018-2019, while the volume of new housing loans and their distribution regarding income deciles and loan-to-value ratios were also in compliance with the empirical data.

Suggested Citation

  • Bence Mero & Andras Borsos & Zsuzsanna Hosszu & Zsolt Olah & Nikolett Vago, 2022. "A High Resolution Agent-based Model of the Hungarian Housing Market," MNB Working Papers 2022/6, Magyar Nemzeti Bank (Central Bank of Hungary).
    • Handle: RePEc:mnb:wpaper:2022/7
    as

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    File URL: https://www.mnb.hu/letoltes/mnb-wp-2022-7-final-1.pdf
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    References listed on IDEAS

    as
    1. Trent Saunders & Peter Tulip, 2020. "A Model of the Australian Housing Market," The Economic Record, The Economic Society of Australia, vol. 96(S1), pages 1-25, June.
    2. Margarita Rubio & Mariarosaria Comunale, 2017. "Lithuania in the Euro Area: Monetary Transmission and Macroprudential Policies," Eastern European Economics, Taylor & Francis Journals, vol. 55(1), pages 29-49, January.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    agent-based modelling; macroprudential policy; housing market; housing loans;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • D1 - Microeconomics - - Household Behavior
    • D31 - Microeconomics - - Distribution - - - Personal Income and Wealth Distribution
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • R21 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Housing Demand
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

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