Authors:
Tamás Balás Magyar Nemzeti Bank

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Ádám Banai Magyar Nemzeti Bank

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Zsuzsanna Hosszú
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The risks of household lending are still a major issue in Hungarian banking. The proportion of non-performing loans is rising continuously. We constructed a model to find those factors which have significant effect on the probability of default of households’ mortgages. We also used this model to calibrate the optimal level of household mortgages’ payment-to-income ratios, which is important from a regulatory point of view. Our results show that the denomination of the loan and the indebtedness of the household are crucial factors in the performance of the loan. We also show that loans contracted via agents are riskier than others. The results carry two important messages from a regulatory perspective. Prescribing the same payment-to-income (PTI) ratios for HUF and FX loans may be unnecessarily restrictive for the former and excessively permissive for the latter. The uniform regulation of households with different income levels may also lead to undesired anomalies.

  • Balás, T.Banai, Á.Hosszú, Zs. (2015): A nemteljesitési valószínűség és az optimális PTI-szint modellezése egy háztartási kérdőíves felmérés felhasználásával (Modelling Probability of Default and Optimal PTI Level by Using a Household Survey). MNB Occasional Papers, No. 117.

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  • Banai, Á.Hosszú, Zs.Kör:mendi, Gy.Sóvágó, S.Szegedi, R. (2013): Stress Testing at the Magyar Nemzeti Bank. MNB Occasional Papers, No. 109.

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  • Basso, H.S.Calvo-Gonzalez, O.Jurgilas, M. (2007): Financial Dollarization — The Role of Banks and Interest Rates. Working Paper Series, 748, European Central Bank.

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  • Berlinger, E.Walter, Gy. (2013): Unortodox javaslat a devizahitelek rendezésére (Unorthodox Suggestion for Solving the FX Loan Problem). Hitelintézeti Szemle, 12(6): 469494.

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  • Bethlendi, A. (2011): Policy Measures and Failures on Foreign Currency Household Lending in Central and Eastern Europe. Acta Oeconomica, 61(2): 193223.

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  • Blanco, R.Gimeno, R. (2012): Determinants of Default Ratios in the Segment of Loans to Households in Spain. Banco de Espana Working Papers, 1210.

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  • Borio, C.E.V.Shim, I. (2007): What can (Macro-)Prudential Policy do to Support Monetary Policy? BIS Working Papers, No. 242.

  • Gáspár, K.Varga, Zs. (2011): A bajban lévő lakáshitelesek elemzése mikroszimulációs modellezéssel (Analysis of Mortgage Borrowers in Distress, Using Micro-Simulation Modelling). Közgazdasági Szemle, LVIII June: 529542.

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  • Holló, D. (2009): Risk Developments on the Retail Mortgage Loan Market. MNB Bulletin, October: 1318.

  • Holló, D.Papp, M. (2007): Assessing Household Credit Risk: Evidence from a Household Survey. MNB Occasional Papers, No. 70.

  • Hosszú, Zs. (2011): Pre-Crisis Household Consumption Behaviour and Its Heterogeneity according to Income, on the Basis of Micro Statistics. MNB Bulletin, October: 2835.

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  • Hudecz, A. (2013): Parallel Stories: FX Lending to Households in Poland, Romania and Hungary, 1997K–2011. Acta Oeconomica, 63(3): 257286.

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  • Király, J.Banai, Á. (2012): A „flow” és a „stock” árnyalatai (gazdasági esszé a devizahitelezés kapcsán) (Shades of ‘Flow’ and ‘Stock’ [Economic Essay on Foreign Currency Lending]). In: Muraközy, L. (ed.): Feldobott kő? Tények és tendenciák a 21. században (A Stone Cast? Facts and Trends in the 21st Century). Budapest: Akadémiai Kiadó.

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  • La Cava, G.Simon, J. (2003): A Tale of Two Surveys: Household Debt and Financial Constraints in Australia. Research Discussion Paper, No. 08–2003. Reserve Bank of Australia.

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  • Lydon, R.McCarthy, Y. (2013): What Lies Beneath? Understanding Recent Trends in Irish Mortgage Arrears. The Economic and Social Review, Economic and Social Studies, 44(1): 117150.

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  • Magyar Nemzeti Bank (MNB) (2011): Report on Financial Stability. November.

  • May, O.Tudela, M. (2005): When is Mortgage Indebtedness a Financial Burden to British Households? A Dynamic Probit Approach. Working Paper, No. 277/2005, Bank of England.

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  • Mian, A., — Sufi, A. (2011): House Prices, Home Equity-Based Borrowing, and the US Household Leverage Crisis. American Economic Review, American Economic Association, 101(5): 21322256.

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  • Zettelmeyer, J.Nagy, P.M.Jeffrey, S. (2010): Addressing Private Sector Currency Mismatches in Emerging Europe. EBRD Working Paper, No. 115.

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Senior editors

Editors-in-Chief: István P. Székely, Dóra Győrffy

Editor(s): Judit Kálmán

Associate Editors

  • Péter Benczúr, Joint Joint Research Center, European Commission
  • Dóra Benedek, International Monetary Fund
  • Balázs Égert, OECD
  • Dániel Prinz, World Bank
  • Rok Spruk, University of Ljubljana, School of Economics and Business, Slovenia

Editorial Board

  • Anders Åslund, Georgetown University and Advisory Council of CASE, USA
  • István Benczes, Corvinus University of Budapest, Hungary 
  • Agnieszka Chłoń-Domińczak, SGH Warsaw School of Economics, Poland
  • Fabrizio Coricelli, University of Siena, Italy
  • László Csaba, Corvinus University of Budapest, Hungary and Central European University, Austria
  • Beáta Farkas, Faculty of Economics and Business Administration, University of Szeged, Hungary
  • Péter Halmai, Budapest University of Technology and Economics, and National University of Public Service, Hungary
  • Martin Kahanec, Central European University, Austria
  • Michael Landesmann, The Vienna Institute for International Economic Studies (WIIW), Austria
  • Péter Mihályi, Corvinus University of Budapest, Hungary
  • Debora Revoltella, European Investment Bank

Corvinus University of Budapest
Department of Economics
Fővám tér 8 Budapest, H-1093, Hungary
E-mail: judit.kalman@uni-corvinus.hu

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2023  
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Acta Oeconomica
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Acta Oeconomica
Language English
Size B5
Year of
Foundation
1966
Volumes
per Year
1
Issues
per Year
4
Founder Magyar Tudományos Akadémia
Founder's
Address
H-1051 Budapest, Hungary, Széchenyi István tér 9.
Publisher Akadémiai Kiadó
Publisher's
Address
H-1117 Budapest, Hungary 1516 Budapest, PO Box 245.
Responsible
Publisher
Chief Executive Officer, Akadémiai Kiadó
ISSN 0001-6373 (Print)
ISSN 1588-2659 (Online)

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