Taming Housing and Financial Market Instability: The Effect of Heterogeneous Banking Regulations. A Case Study for the German Banking Market Based on the German Systemic Risk Buffer

B aun, Julia; Bu gho , Hans-Pe e
A icle
Taming Housing and Financial Ma ke Ins abili y: The E ec o
He e ogeneous Banking Regula ions. A Case S udy o he Ge man
Banking Ma ke Based on he Ge man Sys emic Risk Bu e
C edi and Capi al Ma ke s – K edi und Kapi al
P o ided in Coope a ion wi h:
Duncke & Humblo , Be lin
Sugges ed Ci a ion: B aun, Julia; Bu gho , Hans-Pe e (2024) : Taming Housing and Financial Ma ke
Ins abili y: The E ec o He e ogeneous Banking Regula ions. A Case S udy o he Ge man Banking
Ma ke Based on he Ge man Sys emic Risk Bu e , C edi and Capi al Ma ke s – K edi und Kapi al,
ISSN 2199-1235, Duncke & Humblo , Be lin, Vol. 57, Iss. 1/4, pp. 81-106,
h ps://doi.o g/10.3790/ccm.2024.1447404
This Ve sion is a ailable a :
h ps://hdl.handle.ne /10419/324950
S anda d-Nu zungsbedingungen:
Die Dokumen e au EconS o dü en zu eigenen wissenscha lichen
Zwecken und zum P i a geb auch gespeiche und kopie we den.
Sie dü en die Dokumen e nich ü ö en liche ode komme zielle
Zwecke e iel äl igen, ö en lich auss ellen, ö en lich zugänglich
machen, e eiben ode ande wei ig nu zen.
So e n die Ve asse die Dokumen e un e Open-Con en -Lizenzen
(insbesonde e CC-Lizenzen) zu Ve ügung ges ell haben soll en,
gel en abweichend on diesen Nu zungsbedingungen die in de do
genann en Lizenz gewäh en Nu zungs ech e.
Te ms o use:
Documen s in EconS o may be sa ed and copied o you pe sonal
and schola ly pu poses.
You a e no o copy documen s o public o comme cial pu poses, o
exhibi he documen s publicly, o make hem publicly a ailable on he
in e ne , o o dis ibu e o o he wise use he documen s in public.
I he documen s ha e been made a ailable unde an Open Con en
Licence (especially C ea i e Commons Licences), you may exe cise
u he usage igh s as speci ied in he indica ed licence.
h ps://c ea i ecommons.o g/licenses/by/4.0/
Taming Housing and Financial Ma ke Ins abili y:
The E ec o He e ogeneous Banking Regula ions
A Case S udy o he Ge man Banking Ma ke Based
on he Ge man Sys emic Risk Bu e
Julia B aun* and Hans-Pe e Bu gho **
Abs ac
Du ing he las decade, p ope y p ices in Ge many s eadily app ecia ed and eached
an all- ime high in 2022. In he wake o he global inancial c isis ha was igge ed by a
housing ma ke bubble in he U.S., banking au ho i ies in oduced an addi ional sys em-
ic isk bu e . This bu e aims o co e in a lexible way sys emic isk ha is no ad-
d essed by o he capi al adequacy equi emen s, e. g., in ce ain ma ke segmen s. In Ge -
many, om Feb ua y 2023 onwa ds, a sys emic isk bu e o 2 % is applied o all expo-
su es ha a e secu ed by esiden ial p ope y. We in oduce a he e ogeneous agen -based
model o a housing and a inancial ma ke o assess he abili y o his new egula o y
measu e o dampen ins abili y in he housing ma ke and mi iga e eedback e ec s on
he inancial sec o . Conduc ing di e en compu a ional expe imen s e eals ha impos-
ing a sec o al sys emic isk bu e has no s abilizing e ec on he housing ma ke . How-
e e , he banking sec o ge s mo e sound i banks a e obliged o he bu e . The bu e
cons ains ma ke ac i i ies in he housing ma ke and es ic s housing ansac ions,
cons uc ions, and homeowne ship. These nega i e e ec s o an addi ional capi al e-
qui emen can be diminished i he bu e is aligned o he indi idual business models o
inancial in e media ies and hei ins i u ional amewo ks. I di e en bank ypes a e
subjec o ailo ed bu e a ios, he ola ili y o he housing ma ke can be educed, he
inancial ma ke can be s abilized and mac oeconomic ac i i ies in he housing ma ke
can be cushioned.
* D .Julia B aun is he Head o P oduc Managemen Financing a Wüs en o Bau-
spa kasse AG. She is he co esponding au ho o his pape and can be con ac ed ia
e-mail a julia.b aun@wues en o .de.
** P o . D . Hans-Pe e Bu gho is ull p o esso o Banking and Financial Se ices a
he Uni e si y o Hohenheim, S u ga , Ge many. He can be con ac ed ia e-mail a
bu [email p o ec ed].
Acknowledgemen : We would like o exp ess ou since e g a i ude o he anonymous
e e ee o hei aluable eedback and insigh ul commen s, which signi ican ly con ib-
u ed o he imp o emen o his esea ch.
C edi and Capi al Ma ke s, 57 (2024) 1 – 4: 81 – 106
h ps://doi.o g/10.3790/ccm.2024.1447404
Scien i ic Pape s
Open Access– Licensed unde CC BY 4.0 (h ps://c ea i ecommons.o g/licenses/by/4.0).
Duncke & Humblo · Be lin
82 Julia B aun and Hans-Pe e Bu gho
C edi and Capi al Ma ke s, 57 (2024) 1 – 4
Keywo ds: Real es a e inance, housing ma ke cycles, housing ma ke s abili y, Basel III,
inancial egula ion, coun e cyclical capi al bu e , agen -based model, compu a ional
economics
JEL Classi ica ion: E32, E37, E44, G21, G28, R31
I. In oduc ion
Du ing and in he a e ma h o he inancial c isis, he Ge man housing ma -
ke was compa ably s able, while se e al o he coun ies expe ienced a deep de-
cline in eal es a e p ices. The U.S. ma ke had o eco d a p ice d op o app ox-
ima ely 50 index poin s (S a is a 2023a).1 In con as , he p ope y p ice index o
Ge many only o ei ed a maximum o 5 index poin s in 2008 and 2009 com-
pa ed o 2004 (S a is a 2023b).2 As ea ly as 2010, p ices s a ed o eco e sligh -
ly. Since hen, p ope y p ices in Ge many s eadily app ecia ed and eached an
all- ime high in 2022 (S a is a 2023b). The ze o-in e es a e policy igge ed by
he inancial c isis ueled c edi demand. The esul ing inc ease in he money
supply pu upwa d p essu e on eal es a e p ices. Bo h phenomena, he e ec s o
he inancial c isis as well as he de elopmen o p ope y p ices in ecen yea s
display he close in e connec edness be ween he housing and he inancial
ma ke .
Financial accele a o heo ies ha e long been indica ing hese mu ual depend-
encies (Be nanke and Ge le 1995; Be nanke e  al. 1999; Kiyo aki and Moo e
1997; Hamme sland and Jacobsen 2008). Howe e , un il he inancial c isis,
banking egula ion mainly ocused on mic op uden ial measu es o supe ise
he soundness o inancial ins i u ions. The global economic b eakdown caused
by lax lending, isky business p ac ices, and excessi e le e age o banks pu em-
phasis on in e disciplina y egula ion and he design and implemen a ion o
mac op uden ial policies.
As a esponse, he Basel Commi ee on Banking Supe ision (BCBS) passed
he Basel III Acco ds ha shall be applied by all in e na ionally ac i e banks
(BCBS 2017a). These s anda ds aim a s eng hening he egula ion, supe i-
sion, and isk managemen o banks by in oducing a di e se se o mac op u-
den ial measu es (BCBS 2011). Two pa icula ools o he Basel III ules a e he
coun e cyclical capi al bu e (
CCyB
) and he sys emic isk bu e
( )
SyRB . The
CCyB
aims o mi iga e he p ocyclical e ec s o he exis ing egula o y equi e-
men s. I allows na ional au ho i ies o impose an addi ional capi al a io in
1 This s a is ic eco ds he S&P/Case-Shille eal es a e index o he U.S. om 1987 o
2021 while Janua y 2000 = 100.
2 This s a is ic eco ds he Ge man eal es a e p ice de elopmen om 2004 o 2022 on
a qua e ly basis while Q1 2004 = 100.
Taming Housing and Financial Ma ke Ins abili y 83
C edi and Capi al Ma ke s, 57 (2024) 1 – 4
imes o excessi e c edi g ow h ha se es as a bu e o p o ec inancial ins i-
u ions agains u u e po en ial losses (BCBS 2019b). In ecessional imes, i can
be eleased o ensu e ha banks con inue o supply su icien c edi . The
SyRB
is in ended o mi iga e isks a ising om domes ic o Eu opean exposu es o
pa icula economic sec o s ha may lead o dis up ion in he domes ic inan-
cial sec o o he domes ic eal economy (Deu sche Bundesbank 2022). Bo h
ools complemen he p e ailing capi al adequacy equi emen s o banks.
As o Feb ua y 1s , 2022, he Ge man egula o y au ho i y in oduced a
CCyB
o
0.75%
and a
SyRB
o exposu es secu ed by esiden ial p ope y o
2.0%
ha
has o be applied om Feb ua y 1s , 2023 (BaFin 2022a; BaFin 202b). Bo h a-
ios oblige banks o expand hei equi y. While he in oduced
CCyB
a ec s all
kinds o exposu es equally, he
SyRB
especially ocuses on mo gage lending.
The ise in
CAR
inc eases he cos o inancing esiden ial p ope y, hus e-
s aining he supply o c edi o housing in es men . Due o he mu ual de-
pendencies be ween he housing ma ke and he inancial ma ke , i can be as-
sumed ha he igh ened
CAR
a ec eal es a e lending and housing ma ke
cycles. Fu he mo e, he in oduc ion o his sec o al
SyRB
a ec s indi idual
banks o a a ying ex en since acco ding o business models and isk a e sions,
banks ea u e di e en olumes o mo gage exposu es.
The s udy by B aun (2023), ex ending he amewo k se in B aun e  al.
(2022), e eals ha he s abili y o he housing and he inancial ma ke can be
imp o ed i di e en ypes o inancial ins i u ions a e obliged o comply wi h
di e en le els o
CAR
. Gi en hese insigh s, his pape es s whe he his also
applies in he case o he
SyRB
. We ex end he agen -based model o B aun
(2023) by in oducing he equi emen ha banks need o hold an addi ional
2.0%
o equi y when inancing homeowne ship. Doing his, we i s in es iga e
how his measu e a ec s he housing ma ke and he inancial ma ke . Fu he -
mo e, we e alua e whe he i is easonable om he pe spec i e o inancial and
housing ma ke soundness o subjec di e en ypes o inancial in e media ies
o he same o o di e en egula o y equi emen s in he special case o he sec-
o al
SyRB
o mo gage lending.
The compu a ional expe imen e eals ha he sec o al
SyRB
imposed in
Ge many, is no e ec i e in mi iga ing sec o al isk a ising om he housing
ma ke . Housing ma ke ola ili y is no educed i all banks need o hold an ad-
di ional
2.0%
o equi y o exposu es ha a e secu ed by esiden ial p ope y.
Howe e , he solidi y o he inancial ma ke is inc eased. Due o a mo e p o-
ound equi y base, banks display a lowe p obabili y o insol ency. This posi i e
e ec comes wi h ad e se mac oeconomic cons ain s on he housing ma ke .
The highe equi y equi emen s limi housing ma ke ac i i y. A di e en ia ion
o he capi al equi emen s o di e en ypes o in e media ies in housing i-
nance could alle ia e hese cons ain s wi hou endange ing inancial s abili y.
84 Julia B aun and Hans-Pe e Bu gho
C edi and Capi al Ma ke s, 57 (2024) 1 – 4
We in oduce lowe
CAR
o he housing inancing ac i i ies o he specialized
Ge man building and loan associa ions (Bauspa kassen, BLs). Ruled by hei
special law, Ge man BLs’ business p ac ices a e ocused on he inancing o es-
iden ial p ope y, which makes hem pa icula ly e icien o cushion housing
ma ke ac i i ies. In e es ingly, he di e en ia ion in capi al equi emen also el-
e a es he o e all solidi y o he banking sec o .
The es o his pape is o ganized as ollows. Sec ion 2 b ie ly in oduces he
model o B aun (2023) and he model ex ension de eloped o his s udy. The
esul s o he compu a ional expe imen s a e p esen ed in sec ion 3. Sec ion 4
concludes.
II. Model S uc u e
1. O e iew
The model used o his case s udy is in oduced by B aun (2023). I ep e-
sen s a mac oeconomic eal es a e business cycle model ea u ing a housing
ma ke and a inancial ma ke and belongs o he class o agen -based compu a-
ional models (ABM). The agen -based app oach o economics add esses he
modeling o economic sys ems, inco po a ing hei eal-wo ld complexi y and
adap i i y. I eplica es eal-wo ld economies in which agen s wi h de ia ing ex-
pec a ions in e ac wi h each o he and impac ma ke de elopmen endoge-
nously. These agen s a e he e ogeneous in e ms o hei cha ac e is ics, and
hei expec a ions abou u u e ma ke condi ions, and hey a e adap i e o
changing en i onmen s. Inco po a ing hese ea u es, ABMs a e supe io o dy-
namic s ochas ic equilib ium models (DSGE) ha a e cha ac e ized by he a-
ional beha io o a s ylized agen , in ini e o esigh , and ma ke equilib ium
(Acke man 2002; Ga eo e al. 2008). An ABM se s up an en i onmen in which
mic oscopic agen beha io agg ega es in o mac oeconomic dynamics (Fa me
and Foley 2009; Dosi 2012; Ki man 2016). In ha , i allows s udying c edi and
liquidi y ma ke dynamics ha a e a ec ed by he e ogeneous agen -specific sol-
ency and liquidi y isks. Rela ing o his, an ABM is a pa icula ly sui able ap-
p oach o policy analysis and o assess he impac o changing egula o y e-
qui emen s on housing and c edi ma ke dynamics.
The model o B aun (2023) eplica es a housing ma ke and a inancial ma -
ke . The housing ma ke is popula ed by wo ypes o he e ogeneous agen s:
buye s and selle s. Po en ial house buye s seek o acqui ing esiden ial p ope y
acco ding o hei indi idual ci cums ances and hei p e e ences o housing
in es men s. Selle s e alua e ongoing ma ke condi ions and o m expec a ions
abou u u e ma ke de elopmen s. Based on his, hey decide whe he o sell
hei exis ing p ope ies o keep hem, specula ing o u u e house p ice app e-

Taming Housing and Financial Ma ke Ins abili y 85
C edi and Capi al Ma ke s, 57 (2024) 1 – 4
cia ions. Toge he wi h esiden ial cons uc ion i ms, hey s a e housing supply.
The inancial ma ke ’s supply side is popula ed by wo ypes o inancial in e -
media ies, con en ional banks (CBs) and building and loan associa ions (BLs),
he demand side by he acqui e s o housing. Following he maxim o p o i
maximiza ion, banks decide whe he o inance esiden ial p ope y o in es
a ailable unds in an al e na i e in es men po olio. Rela ed o his, banks dis-
play a decisi e coun e pa in mo gage lending. They enable home seeke s o
become homeowne s and, a he same ime, decide by whom and when a esi-
den ial p ope y can be bough . The model inco po a es wo binding con-
s ain s: while po en ial buye s a e cons ained in bo owing, banks a e con-
s ained in conduc ing business acco ding o he egula o y equi emen s o Ba-
sel III. In de ail, banks need o comply wi h he applicable egula ions o
CAR
including a
CCyB
. Based on his, we ex end he exis ing model and u he sub-
jec banks o ano he egula o y measu e, he
SyRB
. As in oduced by Ge man
na ional au ho i ies, i applies o all exposu es secu ed by esiden ial p ope y
and, hus, di ec ly impac s he housing ma ke .
The housing ma ke and he inancial ma ke o m a mac oeconomic en i-
onmen . In each ma ke , agen s in e ac wi h each o he and c ea e endogenous
ma ke s uc u es. Th ough c oss-ma ke in e ac ions, ma ke pa icipan s u -
he impac adjacen ma ke s and c ea e eedback e ec s om he housing o
he inancial ma ke and ice e sa. Due o he close in e connec edness and he
mu ual dependencies o bo h ma ke s, changing ma ke condi ions a ec bo h
ma ke s o a ying ex en s. In he ollowing, we examine whe he he egula o y
SyRB
, in oduced by Ge man au ho i ies o all ypes o inancial in e media ies
equally, achie es i s egula o y goal o mi iga e sys emic isk o igina ing om
he housing ma ke .3
2. The Housing Ma ke
The housing ma ke o B aun (2023) and B aun e al. (2022) is cha ac e ized
by households and esiden ial cons uc ion i ms ha ade esiden ial p ope y.
Po en ial house buye s de i e u ili y om owning a dwelling and consuming
o he consume goods. They ea n a pe iodical income ha is ully spen in each
pe iod, and hey a e endowed wi h a ixed amoun o equi y which is ully spen
on he housing in es men . Fu he mo e, buye s a e adap i e agen s ha e alu-
a e p e ious ma ke condi ions and make indi idual assump ions abou u u e
ma ke de elopmen s. E e y po en ial buye is cha ac e ized by indi idual
measu es o hese cha ac e is ics. This ensu es a su icien deg ee o he e ogene-
i y in housing demand.
3 No e: In he ollowing, we b ie ly explain he ele an model ea u es o his case
s udy. Fo de ailed explana ion, see B aun (2023).
86 Julia B aun and Hans-Pe e Bu gho
C edi and Capi al Ma ke s, 57 (2024) 1 – 4
A he beginning o each pe iod, buye s e alua e pe sonal and ongoing ma -
ke condi ions and conside he possibili y o homeowne ship. Via he indi idu-
al u ili y pa ame e s o consump ion and esiden ial p ope y, only hose agen s
en e he housing ma ke who posi i ely assess owning a housing uni . Income
and a ailable equi y cons ain housing in es men and de e mine a po en ial
buye ’s maximum pe iodical expendi u e o buying a esiden ial p ope y. This
amoun s a es a po en ial buye ’s ese a ion p ice. Based on pas p ice in o ma-
ion, he o ms a p ice expec a ion ha may de ia e om he ese a ion p ice,
and he s a es a bid ha is he minimum o he expec ed p ice and he ese a-
ion p ice.
Real es a e selle s can ei he be households who sell al eady exis ing own-
e -occupied dwellings, o esiden ial p ope y i ms ha build and sell new
ones. Bo h a e agen s wi h he e ogeneous a i udes owa d ma ke de elopmen .
Based on pas ma ke pe o mance and indi idual ma ke sen imen s, hey de-
cide e e y pe iod anew whe he o p o ide housing supply. A selle only o e s
his housing uni o sale i he assumes ha selling and in es ing eed up liquid-
i y in an al e na i e in es men bea s highe p o i han keeping he dwelling
and specula ing o house p ice app ecia ion in u u e pe iods. To o m an ask
p ice, he adjus s his ese a ion p ice which is he p e iously obse ed p ice le -
el acco ding o his pe cei ed ma ke powe which co esponds o whe he a
buye ’s o a selle ’s ma ke p e ails.
A ansac ion o esiden ial p ope y akes place i a buye ’s bid equals o ex-
ceeds a selle ’s ese a ion p ice. The model de ia es om classical app oaches
ha de e mine one equilib ium p ice. Ins ead, i ollows he app oach o Fila o-
a, Pa ke , and an de Veen (2007) and allows p ices o be buil by bila e al bid-
ding. The auc ion p ocess is modeled as a i s -p ice-sealed bid auc ion. Bids a e
assigned o o e s in descending o de h ough which he model implici ly ac-
coun s o quali y di e ences o eal es a e objec s. As in eali y, he house p ice
index and i s de elopmen o e ime is he key measu e o agen s o assess cu -
en ma ke condi ions and o m expec a ions abou u u e de elopmen s. I is
calcula ed as he mean o he p ices o all ansac ions ha ha e been conduc ed
du ing one pe iod.
3. The Financial Ma ke
The inancial ma ke ’s supply side ea u es wo ypes o inancial in e media -
ies: CBs and BLs. Bo h o hem a e economic ins i u ions ha aim o maximize
p o i . To achie e his, e e y bank ollows i s indi idual pe cep ion o ma ke
condi ions and o ms expec a ions abou u u e p ice de elopmen s. Based on
his, hey build hei own in es men s a egy and decide how o alloca e unds.
The model se ing o e s h ee in es men oppo uni ies o bo h bank ypes.
Taming Housing and Financial Ma ke Ins abili y 87
C edi and Capi al Ma ke s, 57 (2024) 1 – 4
They can ei he hold cash, g an mo gages o po en ial house buye s o in es
in ano he isky asse which is supposed o be a di e si ied ma ke po olio o
inancial asse s ha ep esen s any al e na i e in es men oppo uni ies o
banks. Cash ea ns no in e es and is supposed o be isk- ee (BCBS 2017b).
G an ing loans as well as in es ing in he al e na i e ma ke po olio
AI
, in
con as , gene a es p o i ha is associa ed wi h de aul and/o p ice isk.
Acco ding o he Acco ds o Basel III, banks need o hold a su icien amoun
o equi y o abso b losses ha may a ise due o isky business ac i i ies. The cap-
i al adequacy equi emen s
( )
CAR a e de ined as a bank’s Common Equi y Tie 1
capi al
( )
1CET ela i e o i s o al isk-weigh ed asse s (
RWA
) which mus mee
a minimum le el o 4.5 %.
The la es inancial c ises lead o a s ong consensus ha he banking egula-
ion in o ce was no su icien . Ins ead o mi iga ing i s ex en , i u he exac-
e ba ed he collapse by p ocyclical egula o y equi emen s (Blundell-Wignall
and A kinson 2010; Goodha and Ho mann 2007; Kowalik 2011). The coun e -
cyclical capi al bu e (
CCyB
) is a new mac op uden ial ool, designed o mi i-
ga e he p ocyclicali y o p e ious egula o y equi emen s and a oid des abili-
za ion o he economy by excessi e c edi g ow h (BCBS 2019b; IMF 2011). The
CCyB
complemen s he minimum-
CAR
and igh ens banks’ business ac i i ies
(BCBS 2019b). This se o ules cons ains banks’ in conduc ing isky business.
Ano he egula o y ool in oduced by Basel III is he sys emic isk bu e
( )
SyRB . I is in ended o coun e ac sys emic isks which could lead o se e e
economic dis up ion, wi h se ious e ec s on he domes ic inancial sec o o he
domes ic eal economy (Deu sche Bundesbank 2022). I complemen s he
CAR
and he
CCyB
and aims o add ess sys emic isks ha a e no co e ed by hem
(Eu opean Sys emic Risk Boa d 2023). The bu e can be imposed by na ional
au ho i ies o domes ic o Eu opean exposu es as well as o speci ic economic
sec o s. While he e is no maximum limi o he
SyRB
, i s minimum le el is
0.5%
. In 2022, he Ge man Fede al Financial Supe iso y Au ho i y (Bundesan-
s al ü Finanzdiens leis ungsau sich ) decided o in oduce a
SyRB
on a sec-
o al basis o all exposu es ha a e secu ed by esiden ial p ope y. This impos-
es Ge man banks om Feb ua y 2023 o hold an addi ional
2.0%
o equi y
when esiden ial p ope y is inanced and colla e alized by he espec i e dwell-
ing.
We ex end he model o B aun (2023) by he
SyRB
and es i s e ec s on he
housing and he mo gage lending ma ke . In his app oach, he in e ac ing
banks need o comply wi h he s a ic minimum le el o
CAR
which is:
(1)
( ) ( )
11
**
T AI
CET CET
CAR RWA w T w AI
= = ³Î
+ wi h
4.5 %Î=
,
88 Julia B aun and Hans-Pe e Bu gho
C edi and Capi al Ma ke s, 57 (2024) 1 – 4
whe e a bank’s
RWA
ep esen i s asse s weigh ed each acco ding o i s isk o
de aul acco ding o he guidelines o he BCBS (BCBS 2019a).4
The
CCyB
ex ends
CAR
and imposes banks o u he capi al equi emen s in
imes o excessi e c edi g ow h ha is judged o be associa ed wi h a build-up
o sys em-wide isk. To model his mac op uden ial egula ion, p e ious c edi
g ow h is used as an indica o o accoun o economic and inancial cycles. The
CCyB
, deno ed by m
κ
, a ies be ween 0 2.5%
m
κ
££ and is calcula ed as:
(2)
0
* 0
min
mmax
max
M
o M
MM
o
MM
M
o
M
κ
κκ
κ
∆
∆∆
Θ
Θ
∆
Θ
ì
ï
ï£
ï
ï
ï
ï
ï
ï
ï
= <<
í
ï
ï
ï
ï
ï
ï³
ï
ï
ï
î
,
whe e
M
M
∆
is he pe cen age change o agg ega e mo gages om he p e ious
o he cu en pe iod and
Θ
is he h eshold o mo gage g ow h abo e which
m
κ
is se a i s maximum.5 Acco ding o p e ailing ma ke condi ions, he min-
imum equi emen o capi al o banks is
( ) ( )
3
1
**
m
T AI
CET
CAR w M w AI
κ
= ³Î +
+ whe e 3
4.5% 7.0%
m
κ
£Î + £ .
The
SyRB
only needs o be p o ided o mo gages ha a e secu ed by esi-
den ial p ope y bu only
1 CET
may be used o mee he bu e equi emen s
(Deu sche Bundesbank 2022). This inc eases
CAR
o esiden ial exposu es o:
(3)
( )
11
*
TT
T
CET CET
CAR RWA w T
= = ³Î wi h
6.5%
T
Î=
.
The egula ing au ho i y imposes he in oduced egula o y equi emen s o
Basel III o all ypes o inancial in e media ies equally. Banking sys ems, how-
e e , o en cons i u e o di e en banking ins i u ions. The unde lying model o
his case s udy in oduces a di e si ied inancial ma ke ha is popula ed by wo
4 Acco ding o he egula o y se up, cash is isk- ee. Equi y ins umen s a e assigned
a isk weigh o 100 %. The isk weigh o mo gage loans depends on he cus om LTV o
he bo owe . Acco ding o he BCBS, he LTV is de ined as he mo gage amoun di ided
by he alue o he p ope y. This implies a LTV a io o he model o
( )
i
TE
LTV P
-
=.
The isk weigh s o he espec i e LTVs a e summa ized in Table 4 in he appendix. Fo
de ailed in o ma ion see BCBS (2017b).
5 In he simula ion esul s p esen ed below,
5%Θ=
. This ep esen s he a e age
long- ime inc ease o mo gage loans in Ge many (Ge man Cen al Bank 2019).
Taming Housing and Financial Ma ke Ins abili y 95
C edi and Capi al Ma ke s, 57 (2024) 1 – 4
Figu e 1: House p ice dynamics in he simula ion scena ios13
Figu e 1 p esen s he house p ice dynamics in he h ee di e en simula ion
scena ios o e ime. The p ope y p ices de elop qui e simila ly in all o he
compu ed ma ke se ings. These mo emen s indica e only a sligh impac o an
addi ional sec o al egula o y bu e on he housing ma ke . This indica ion is
con i med by Table 3. Table 3 p o ides he s a is ical p ope ies o he e alua ed
scena ios. We analyze he model ia compu e simula ions by unning ex ensi e
Mon e Ca lo simula ion expe imen s composed o 100 independen uns. The
ola ili y o housing p ices, indica ed by hei s anda d de ia ion, shows a ma -
ginal inc ease in housing p ice ola ili y i all bank ypes need o hold an addi-
ional
2.0%
o equi y when hey inance owne -occupied dwellings. This indi-
ca es ha a c oss-ins i u ional in oduced
SyRB
is no able o imp o e he s abil-
i y o he eal es a e ma ke . Ins ead, i diminishes i s solidi y, e en i only o a
ma ginal amoun . Concluding om his esul , a homogenously applied
SyRB
ails in achie ing i s egula o y goals. The bu e ha is in ended o coun e ac
sec o al isks is no e ec i e in lowe ing housing ma ke ola ili y. I we a y he
amoun o he
SyRB
o BLs and oblige hem o hold only an addi ional
0.5%
o
equi y, he esul s change. The s anda d de ia ion o house p ices dec eases and
he ma ke ge s mo e s able. Housing ma ke dynamics ge less ola ile, and he
sec o al isk a ising om he p ope y ma ke can be mi iga ed.
13 No e: The igu e displays he de elopmen o end-adjus ed housing ma ke cycles
o one exempla y simula ion un in which exogenous ac o s such as in la ion o changes
in ma ke in e es a es a e no conside ed.
1000
1500
2000
2500
3000
3500
4000
1 10 19 28 37 46 55 64 73 82 91 100
0.00% 2.00%/2.00% 2.00%/0.50%

96 Julia B aun and Hans-Pe e Bu gho
C edi and Capi al Ma ke s, 57 (2024) 1 – 4
Table 3
S a is ical measu es o he simula ion scena ios
SyRB-Scena io 0.0 %* 2.0 %/2.0 % 2.0 %/0.5 %
House P ice Min 2.036.396 2.153.500 1.995.770
Max 3.571.386 3.587.295 3.582.119
Mean 2.922.757 2.962.311 2.901.063
S d 210.157 211.213 183.972
Mo gage In e es Ra e Min 0.002 0.012 0.011
Max 0.069 0.075 0.073
Mean 0.027 0.036 0.034
S d 0.015 0.015 0.009
Non-De aul
P obabili y
Min 0.095 0.052 0.031
Max 0.975 0.817 0.995
Mean 0.726 0.746 0.706
S d 0.017 0.018 0.013
T ansac ion Ra e Min 0.000 0.000 0.000
Max 0.744 0.766 0.800
Mean 0.197 0.163 0.185
S d 0.046 0.050 0.037
Homeowne ship Ra e Min 0.000 0.000 0.000
Max 0.699 0.719 0.736
Mean 0.157 0.134 0.150
S d 0.038 0.041 0.030
Cons uc ion Ra e Min 0.000 0.000 0.000
Max 0.720 0.629 1.363
Mean 0.058 0.048 0.059
S d 0.016 0.018 0.053
Loan Amoun Min 1.000 30.350 26.113
Max 726.605.75 622.002.72 720.470.23
Mean 125,258.42 109,264.73 115,695.71
S d 33,635.89 37,278.20 27,500.11
No. o Loans sum 2065 1958 2045
Taming Housing and Financial Ma ke Ins abili y 97
C edi and Capi al Ma ke s, 57 (2024) 1 – 4
SyRB-Scena io 0.0 %* 2.0 %/2.0 % 2.0 %/0.5 %
Mo gage Ma ke
Pene a ion
CBs 0.569 0.660 0.521
BLs 0.431 0.340 0.479
Z-Sco e Min 2.037 2.312 2.467
Max 3.238 3.398 3.299
Mean 2.370 2.748 2.836
S d 0.285 0.150 0.145
*Base scena io
As shown in p e ious s udies, he mo gage lending p ac ices o BLs help o
s abilize he housing ma ke cycles and o p e en eal es a e c ises (B aun e al.
2022; Mol e e e al. 2017). These insigh s a e con i med by he esul s om he
compu a ional expe imen s conduc ed in his s udy. The mo gage ma ke pen-
e a ion o he wo in es iga ed bank ypes e eals ha , he highe he ma ke
pene a ion o BLs, he lowe he s anda d de ia ion o housing p ices (Table 3).
In he base scena io, in which CBs and BLs do no ha e o comply wi h he
SyRB
, CBs sligh ly domina e he mo gage lending ma ke (0.569 s. 0.431).
When he sec o al bu e is in oduced o bo h inancial ins i u ions equally,
BLs o ei ma ke sha es. The
SyRB
pa icula ly a ec s BLs due o hei s ong-
e ocus on p ope y inancing. Holding an addi ional amoun o equi y o lend
o dwellings inc eases he cos o mo gage g an ing. As such, BLs need o e-
jec applican s and a e es ic ed in business oppo uni ies. The loss o ma ke
sha es is in a o o he CBs ha p o i om oughe lending condi ions o BLs.
As CBs end o lend p ocyclical, housing ma ke s abili y su e s. I BLs only
need o hold
0.5%
as
SyRB
, hey gain ma ke sha es. The mo gage ma ke pen-
e a ion o BLs eaches 0.479 while his o CBs is 0.521 The lowe
CAR
in com-
pa ison o CBs enable BLs o expand hei co e business. This p omo es compe-
i ion ha posi i ely a ec s housing ma ke s abili y.
The in oduc ion o he
SyRB
inc eases he cos s o mo gage lending o i-
nancial ins i u ions. To compensa e o hese cos s, banks aise mo gage in e -
es a es. This can also be seen in Table 3. In he
2.0% / 2.0% -
scena io, in e es
a es ise o 0.036. In he
2.0% / 0.5% -
scena io, in e es a es ise o a lowe
ex en han in he
2.0% / 2.0% -
scena io, i. e., o 0.034. In con as o BLs, CBs
chose eely be ween al e na i e in es men oppo uni ies. This induces highe
indi e ence a es o CBs ha d i e mo gage in e es a es. Since BLs’ special
egula ion limi s hei in es men op ions and hus ocuses hei business on
housing inancing, he mo gage in e es a es cha ged by hem a e lowe . The
ma ke pene a ion o he inancial ins i u ions in he espec i e scena ios leads
o highe in e es a es in he
2.0% / 2.0% -
scena io, while an inc eased ma ke
98 Julia B aun and Hans-Pe e Bu gho
C edi and Capi al Ma ke s, 57 (2024) 1 – 4
ac i i y o BLs in he
2.0% / 0.5% -
scena io p e en s high mo gage in e es
a es.14
An inc ease in mo gage in e es a es induced by highe
CAR
makes housing
in es men mo e expensi e and damages housing a o dabili y. As a esul , mo e
p ospe ous bo owe s in e ms o highe ini ial equi y and lowe LTVs will ge
a loan p e e en ially. This makes he non-de aul p obabili y in he
2.0% / 2.0%
SyRB
-en i onmen ise o 0.746. In he
2.0% / 0.5%
SyRB
-en i onmen , he
non-de aul p obabili y u he imp o es o 0.706. One eason o a lowe p ob-
abili y o de aul and mo e p o ound bo owe s in he
2.0% / 0.5%
-scena io
migh be he ac ha BLs also use endogenously c ea ed cus ome in o ma ion
o decide abou lending ins ead o mainly ocusing on ma ke de elopmen s.
These esul s indica e ha a
SyRB
posi i ely a ec s bo owe s abili y. Howe e ,
he e ec is mo e p onounced i di e en ins i u ional bank ypes ha e o com-
ply wi h an indi idual bu e size.
The posi i e e ec o a sec o al
SyRB
on bo owe ’s non-de aul p obabili y
coincides, howe e , wi h diminished housing ma ke ac i i y. Inc eased capi al
cos s o banks and mo e expensi e inancing condi ions o po en ial buye s
lowe he ansac ion a e o dwellings o 0.163 in he
2.0% / 2.0%
-scena io,
compa ed o 0.197 in he base scena io. An addi ional bu e o
2.0%
o all
bank ypes signi ican ly a ec s housing ma ke dynamics and cons ains ma ke
ac i i ies. I BLs need o hold only
0.5%
ins ead o
2.0%
, he ansac ion a e is
0.185. Since a equi emen o
0.5% SyRB
o BLs and
2.0%
o CBs also inc eas-
es cos s, he loss in he ansac ion a e o houses om he base scena io canno
be ully compensa ed, bu is, a leas , g ea ly educed. Due o hei special egu-
la o y equi emen s, BLs s ill align hei business ac i i ies on housing inancing
and a e hus able o cushion ac i i ies in he housing ma ke .
The same holds ue o he a e o homeowne ship. In he baseline scena io,
i measu es 0.157. A
2.0%
sec o al
SyRB
o all bank ypes pushes he a io
down o 0.134. Mo e se e e inancing condi ions p e en po en ial buye s om
ob aining eal es a e inancing. Al hough mo e se e e inancing condi ions
build a mo e p o ound bo owe base, i educes housing a o dabili y. An addi-
ional sec o al bu e limi s homeowne ship o mo e p ospe ous bo owe s, i. e.,
bo owe s wi h highe ini ial equi y and lowe LTVs. The homeowne ship a e
eco e s almos comple ely o 0,150 i BLs a e exclusi ely subjec o a lowe
SyRB
. This is induced by wo e ec s. Fi s , he lowe in e es a e le el ini ia ed
by s onge BLs dampens expendi u e o housing in es men . This is also con-
i med by he lowe mean p ice o houses. Second, BLs decide in a o o mo -
gage g an ing no only acco ding o ini ial equi y o LTV le els. Ins ead, hey
14 No e: Ope a ional cos s o g an ing mo gages a e no conside ed in his model.
Thus, mo gage in e es a es indica e bank e u ns.
Taming Housing and Financial Ma ke Ins abili y 99
C edi and Capi al Ma ke s, 57 (2024) 1 – 4
also accoun o bo owe in o ma ion ob ained du ing he cus ome ela ion-
ship. On his in o ma ional basis, BLs expand access o eal es a e inancing and
enable homeowne ship o a b oade sha e o he popula ion.
Jus like he ansac ion and homeowne ship a e, he cons uc ion a e de-
c eases i a
2.0%
sec o al bu e is in oduced. I amoun s o 0.058 in he base
scena io and 0.048 in he
2.0% / 2.0% -
scena io. Highe expendi u es o hous-
ing in es men lowe he demand o esiden ial p ope y. As a esul , cons uc-
ion i ms cu b housing cons uc ion. Unlike he ansac ion a e and he home-
owne ship a e, he cons uc ion a e in he
2.0% / 0.5% -
scena io, wi h 0.59,
e en exceeds ha o he o he wo scena ios. Thus, he s able housing ma ke
si ua ion and mode a e ma ke ac i i ies boos cons uc ion in he
2.0% / 0.5% -
scena io.
The loan amoun as well as he numbe o g an ed mo gages con i m he
p eceding esul s. Compa ed o he
SyRB -
scena ios, banks accep mo gages
mos gene ously when hey do no ha e o comply wi h a sec o al
SyRB
. The
mean alue o he o e ed loan amoun as well as he numbe o accep ed loans
exceed hose o he o he wo scena ios. When an addi ional bu e is in o-
duced, banks educe lending o acqui ing a esiden ial p ope y, ei he because
he e a e mo e p o i able in es men op ions o because hey a e o ced o do so
in o de o comply wi h he egula o y equi emen s. Since he ela i e impo -
ance o he mo gage exposu e o BLs exceeds his o CBs, BLs a e pa icula ly
a ec ed by igh ened
CAR
o his business a ea. As a esul , hey need o e-
duce hei exposu e conside ably, he eby sac i icing ma ke sha es. A lowe
SyRB
o BLs limi s hei business ac i i ies o a lesse ex en and cushions he
demand o eal es a e inancing. This, in u n, posi i ely a ec s housing ma ke
s abili y and mac oeconomic ac i i ies.
The mean alue o he Z-sco e in a egula o y en i onmen wi hou sec o al
SyRB
eaches 2.307. In he
2.0% / 2.0% SyRB -
scena io i amoun s o 2.748.
Highe Z-sco es imply a lowe p obabili y o banks’ insol ency (Hesse and Čihák
2007; Lepe i and S obel 2015). Thus, ou esul unsu p isingly indica es a mo e
s able banking sec o i banks a e equi ed o main ain a highe equi y base. The
ex ension o
CAR
inc eases banks’ loss abso bency capaci y and hus imp o es
he esilience o he banking sec o . This s abili y-enhancing e ec , howe e ,
comes a an expense. I cons ains ma ke in e ac ions and es ic s po en ial
home buye s’ accessibili y o mo gage lending. Fu he mo e, i coincides wi h a
limi ed possibili y o acqui ing esiden ial p ope y, and i mi iga es mac oeco-
nomic s abili y.
Subjec ing BLs exclusi ely o a lowe
SyRB
, in ou compu a ional en i on-
men o
0.5%
, u he inc eases banking soundness, wi h a Z-sco e o 2.836. A
high addi ional sec o al bu e es ic s BLs om conduc ing hei adi ional
banking business, which is inhe en ly mo e s able han his o CBs (B aun 2023;
100 Julia B aun and Hans-Pe e Bu gho
C edi and Capi al Ma ke s, 57 (2024) 1 – 4
Mol e e 2019). As a esul o hei o ei ed ma ke pene a ion, he s abili y o
he housing ma ke as well as his o he banking sec o is lowe . In con as o
his, lowe
CAR
o BLs lead o a highe mo gage ma ke pene a ion ha pos-
i i ely a ec s mic o- and mac op uden ial solidi y.
Figu e2 illus a es he dis ibu ion o Z-sco es in all simula ion scena ios. I
e eals ha he mean in he base scena io is posi i ely in luenced by a ew e y
s able ins i u ions ha a e p esen ed as ou lie s. As BLs’ speci ic egula ion c e-
a es a concen a ed business model which is mo e solid han his o CBs and
mo e pe sis en in imes o c isis (B aun 2023; Mol e e 2019), i can be assumed
ha hese a e BLs. Mos o he banks a e sys ema ically wo h-o han in he
o he wo scena ios. The sec o al
SyRB
in he
2.0% / 2.0% -
scena io boos s he
mean Z-sco e o a highe le el. A highe sha e o BLs in e ac ing in he
2.0% / 0.5% -
scena io s abilizes he o e all banking sec o and c ea es he high-
es Z-sco e le el o all simula ion scena ios. In bo h la e scena ios, a hypo he -
ical egula o migh be oubled by a se o nega i e ou lie s, bu less so in he
hi d scena io.
Figu e 2: Z-sco es o he simula ion scena ios15
Figu e 3 displays he e olu ion o he mean Z-sco es o he h ee simula ion
scena ios o e ime. In all o he scena ios, he Z-sco es each a peak close o he
s a ing poin o he simula ion. This co esponds o ising house p ices om
pe iod 7 and an associa ed ise o he
CCyB
. In imes o highly app ecia ing
p ice dynamics and excessi e g ow h in c edi exposu es, banks need o aise
15 No e: The igu e shows he dis ibu ion o Z-sco es o one exempla y simula ion
un.
Z-Sco e
1,0
1,5
2,0
2,5
3,0
3,5
0.00% 2.00%/2.00% 2.00%/0.50%

Taming Housing and Financial Ma ke Ins abili y 101
C edi and Capi al Ma ke s, 57 (2024) 1 – 4
capi al bu e s. In he ensuing down u n, he bu e is eleased, which leads he
Z-sco es o a s able le el in all compu a ional en i onmen s. They de elop
s eadily o e ime while he mean alue o he Z-sco e in he
2.0% / 0.5% -
sce-
na io exceeds his o he o he scena ios o e he whole simula ion pe iod. In
he base scena io, a e he ini ial peak, he mean Z-sco e displays he lowes
alues o all h ee scena ios.
Figu e 3: De elopmen o Z-sco e means in he simula ion scena ios16
IV. Conclusions
In he a e ma h o he inancial c isis, exis ing banking egula ion was highly
c i icized. P e ailing egula o y ules we e no able o p e en o mi iga e he
ex en o he c isis ha lead o global economic down u ns. In esponse o ha ,
he BCBS passed he Basel III Acco ds. The e ised ules on banking supe i-
sion in oduce a di e se se o mic o- and mac op uden ial measu es ha aim o
s eng hen he egula ion and isk managemen o banks. One pa icula ool o
he pos -c isis e o m o Basel III is he
SyRB
. I can be in oduced by na ional
au ho i ies o coun e ac sys emic isk ha is no add essed by he p e ailing
CAR
and he
CCyB
. In he con ex o s eadily ising eal es a e p ices du ing he
las decade, he Ge man au ho i y decided o implemen a sec o al
SyRB
ha
speci ically add esses he eal es a e ma ke . F om Feb ua y 1s , 2023, e e y
bank is obliged o main ain an addi ional
2.0%
o equi y o exposu es ha a e
secu ed by esiden ial p ope y.
16 No e: The igu e shows he de elopmen o Z-sco e means o one exempla y simu-
la ion un.
1,0
1,5
2,0
2,5
3,0
3,5
1 10 19 28 37 46 55 64 73 82 91 100
Z-Sco e
Time Pe iod
0.00% 2.00%/2.00% 2.00%/0.50%
102 Julia B aun and Hans-Pe e Bu gho
C edi and Capi al Ma ke s, 57 (2024) 1 – 4
In his pape , we ex end he model o B aun (2023) and in es iga e he e ec-
i eness o a sec o al equi y bu e designed acco ding o Ge man condi ions o
mi iga e sec o al isk a ising in he housing ma ke . The model cons i u es a
housing and a inancial ma ke . The housing ma ke is popula ed by po en ial
home buye s and selle s. Acco ding o indi idual condi ions and expec a ions,
hey decide whe he hey wan o acqui e o sell esiden ial p ope y. The inan-
cial ma ke consis s o wo ypes o inancial in e media ies, CBs and BLs. In-
co po a ing wo bank ypes, he model c ea es a di e se inancial ma ke ha
e lec s he banking sec o in Ge many. Banks ei he hold cash, inance housing,
o in es in an al e na i e in es men po olio. They a e cons ained in con-
duc ing business by he egula o y ules o Basel III. We ex end he unde lying
model by an obliga o y
SyRB
o
2.0%
ha complemen s he al eady exis ing
CAR
and he
CCyB
. Th ough inancing housing in es men s, banks highly a -
ec he housing ma ke . All agen s in his model a e cha ac e ized by he e oge-
neous ea u es ha in luence hei decisions. By in e ac ing wi h each o he ,
hey c ea e endogenous housing ma ke cycles.
To s udy he impac o a sec o al
SyRB
on he housing and he inancial ma -
ke , we conduc se e al compu a ional expe imen s ha a e examined indi idu-
ally and compa ed o each o he . The i s simula ion scena io p esen s ma ke
condi ions wi hou a
SyRB
. Banks a e only subjec ed o he
CAR
and he
CCyB
acco ding o Basel III. This egula o y en i onmen se es as a base scena io. In
he second scena io, we in oduce he sec o al bu e o
2.0%
and in es iga e
how ma ke de elopmen s change. As a hi d en i onmen , we c ea e he e oge-
neous obliga ions o he wo in e ac ing bank ypes. Due o hei special legal
and egula o y se ing, BLs’ business model is highly concen a ed on he i-
nancing o housing in es men . Thus, a sec o al
SyRB
ha add esses he eal
es a e ma ke pa icula ly a ec s hei business ac i i ies. We lowe BLs’
SyRB
-obliga ion o
0.5%
. This is an in e es ing scena io o in es iga e, as p e ious
s udies e eal ha BLs’ business model is inhe en ly s able and able o s abilize
housing ma ke ola ili y (B aun 2023; B aun e al. 2022; Mol e e e al. 2017).
The expe imen s e eal ha a sec o al
SyRB
ha is in oduced o all ypes o
inancial in e media ies equally misses i s egula o y aim. The isk a ising om
he housing ma ke , measu ed by he s anda d de ia ion o housing p ices, can-
no be mi iga ed. Ins ead, i is sligh ly inc eased. The highe capi al equi emen
inc eases he cos o inancing esiden ial p ope y. This induces banks o aise
mo gage in e es a es. Inc eased expendi u es o housing in es men limi he
possibili y o po en ial buye s o acqui e housing. This dampens housing de-
mand and dep esses mac oeconomic ac i i ies in he housing ma ke . The
SyRB
cons ains housing ansac ions and cons uc ions and es ic s homeowne -
ship. As BLs a e pa icula ly a ec ed by a sec o al
SyRB
, hey a e, o some de-
g ee, squeezed ou o he mo gage ma ke and o ei ma ke sha es. Howe e ,
he
SyRB
pe o ms well wi h ega d o banking soundness. The s eng hened
Taming Housing and Financial Ma ke Ins abili y 103
C edi and Capi al Ma ke s, 57 (2024) 1 – 4
equi y base p o ides capi al o abso b po en ial losses and hus educes he isk
o bank insol encies. This ad an age, howe e , comes a he expense o ad e se
mac op uden ial e ec s in he housing ma ke .
Exclusi ely educing he
SyRB
-le el o BLs o
0.5%
while holding his o CBs
ixed shows ha he new egula o y measu e can be able o ul ill i s aim wi h
ega d o he housing ma ke . I he amoun o
SyRB
is lowe ed o BLs, he ol-
a ili y o housing p ices is educed and housing ma ke cycles a e mo e s able.
BLs can expand ma ke sha es. This lowe s mo gage in e es a es, which posi-
i ely a ec s housing demand due o dec eased expendi u es o buying a home.
Housing ansac ions and cons uc ions pick up, and he a io o homeowne s
eaches a highe le el han in he
2.0% / 2.0% -
en i onmen . The inc eased
mo gage lending by BLs posi i ely a ec s housing ma ke p ice s abili y while
p o ec ing he gene al ac i i y le el in he eal es a e ma ke ha is endange ed
by he in oduc ion o a espec i e sec o al
SyRB
. A he same ime, i also en-
hances he solidi y o he banking sec o . The Z-sco e o he
2.0% / 0.5% -
sce-
na io exceeds he le el o he o he simula ion scena ios and e i ies ha BLs’
business p ac ices ele a e he solidi y o he inancial sec o .
This case s udy o a sec o al
SyRB
on housing inancing p o ides insigh s in o
i s impac on he housing ma ke and he inancial ma ke . The indings e eal
ha i is possible o dampen sys emic isk and s abilize he inancial ma ke
while a he same ime ensu ing mac oeconomic ac i i ies i he
SyRB
is p op-
e ly designed, i. e., i i is applied on di e en ypes o inancial in e media ies
wi h explici ega d o hei speci ic cha ac e is ics and ensuing business mod-
els, and, consequen ly, a di e en a es. This esul has a poli ical implica ion
ha can be use ul in u u e discussions abou he design o egula o y capi al
adequacy equi emen s.
Appendix
Table 4 summa izes he eques ed isk weigh s o LTV le els acco ding o he BCBS
(BCBS, 2017b).
Table 4
Risk weigh able o esiden ial eal es a e exposu e
LTV ≤ 50 % 60 % < LTV ≤ 80 % 80 % < LTV ≤ 90 % 90 % < LTV ≤ 100 % LTV > 100 %
Risk
weigh 20 % 25 % 30 % 40 % 70 %
104 Julia B aun and Hans-Pe e Bu gho
C edi and Capi al Ma ke s, 57 (2024) 1 – 4
Re e ences
Acke man, F. (2002): S ill dead a e all hese yea s: in e p e ing he ailu e o gene al
equilib ium heo y. Jou nal o economic me hodology, 9(2), 119 – 139.
BaFin (2022a): Allgemein e ügung zu Ano dnung eines Kapi alpu e s ü sys emische
Risiken nach § 10e KWG. URL h ps://www.ba in.de/Sha edDocs/Ve oe en lichun
gen/DE/Au sich s ech /Ve uegung/ _220331_allg g_sys em isikopu e .h ml.
BaFin (2022b): An izyklische Kapi alpu e : BaFin e läss Allgemein e ügung zu An-
hebung au 0,75 P ozen . URL h ps://www.ba in.de/Sha edDocs/Ve oe en lichungen/
DE/Meldung/2022/meldung_2022_01_31_An izyklische _Kapi alpu e .h ml.
BCBS (2011): Basel III: A global amewo k o mo e esilien banks and banking sys-
ems. Bank o In e na ional Se lemen s. URL h ps://www.bis.o g/publ/bcbs189.pd .
BCBS (2017a): High le el summa y o Basel III e o ms. Bank o In e na ional Se le-
men s. URL h ps://www.bis.o g/bcbs/publ/d424_hlsumma y.pd .
BCBS (2017b): Basel III: Finalising pos -c isis e o ms. Bank o In e na ional Se le-
men s. URL h ps://www.bis.o g/bcbs/publ/d424.h m.
BCBS (2019a): Risk-based Capi al equi emen s – Calcula ion o minimum isk-based
capi al equi emen s. Bank o In e na ional Se lemen s. URL h ps://www.bis.o g/ba
sel_ amewo k/s anda d/RBC.h m.
BCBS (2019b): Risk-based Capi al equi emen s – Bu e s abo e he egula o y mini-
mum. Bank o In e na ional Se lemen s. URL h ps://www.bis.o g/basel_ amewo k/
chap e /RBC/30.h m?in o ce=20191215&published=20191215.
Be nanke, B. S./Ge le , M. (1995): Inside he black box: he c edi channel o mone a y
policy ansmission. Jou nal o Economic Pe spec i es. 9(4). 27 – 48.
Be nanke, B. S./Ge le . M./Gilch is , S. (1999): The financial accele a o in a quan i a i e
business cycle amewo k. In: Taylo . J. B., Wood o d. M. (Eds.). Handbook o Mac o-
economics. Vol. 1.
Blundell-Wignall, A./A kinson, P. (2010): Thinking beyond Basel III: Necessa y solu ions
o capi al and liquidi y. OECD Jou nal: Financial Ma ke T ends, 2010(1), 9 – 33.
Boyd, J. H./Runkle, D. E. (1993): Size and pe o mance o banking i ms: Tes ing he p e-
dic ions o heo y. Jou nal o mone a y economics. 31(1). 47 – 67.
B aun, J (2023): Taming Housing and Financial Ma ke Ins abili y: The E ec o He e o-
geneous Banking Regula ions. Jou nal o Real Es a e Resea ch, 45:4, 511 – 544, h ps://
doi.o g/10.1080/08965803.2023.2206284.
B aun, J./Bu gho , H.-P., Lange , J./Somme oll, D. E. (2022): The Vola ili y o Housing
P ices: Do Di e en Types o Financial In e media ies A ec Housing Ma ke Cycles
Di e en ly? Jou nal o Real Es a e Finance and Economics. h ps://doi.o g/10.1007/
s11146-022-09907-y.
Collyns, C./Senhadji, A. (2003): Lending booms, eal es a e bubbles, and he Asian c isis.
Asse p ice bubbles: he implica ion o mone a y, egula o y and in e na ional poli-
cies. MIT P ess, Camb idge and London, 101 – 25.