Macroprudential Policies and Housing Prices: A New Database and Empirical Evidence for Central, Eastern, and Southeastern Europe

Vandenbussche, Jérôme; Vogel, Ursula; Detragiache, Enrica

doi:10.1111/jmcb.12206

Cited by 176 publications

(123 citation statements)

References 47 publications

Supporting

Mentioning

118

Contrasting

Order By: Relevance

“…Primarily focusing on the Irish experience, Duffy (2012) argued that the effectiveness of LTV as policy tool is not conclusive, especially given the fact that this policy is used in conjunction with other monetary and fiscal policies. In another study covering central, eastern, and southeastern European countries that analyzed various macroprudential policy tools, Vandenbussche, Vogel, and Detragiache (2012) found that LTV does not have a significant impact on housing prices although it had the expected sign.…”

Section: Effectiveness Of Loan-to-value As a Macroprudential Tool: Exmentioning

confidence: 96%

Loan-to-Value Policy as a Macroprudential Tool: The Case of Residential Mortgage Loans in Asia

2015

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Asian Development Bank InstituteThe Working Paper series is a continuation of the formerly named Discussion Paper series; the numbering of the papers continued without interruption or change. ADBI's working papers reflect initial ideas on a topic and are posted online for discussion. ADBI encourages readers to post their comments on the main page for each working paper (given in the citation below). Some working papers may develop into other forms of publication. The views expressed in this paper are the views of the author and do not necessarily reflect the views or policies of ADBI, ADB, its Board of Directors, or the governments they represent. ADBI does not guarantee the accuracy of the data included in this paper and accepts no responsibility for any consequences of their use. Terminology used may not necessarily be consistent with ADB official terms.Working papers are subject to formal revision and correction before they are finalized and considered published.Asian Development Bank Institute Kasumigaseki Building 8F 3-2-5 Kasumigaseki, Chiyoda-ku Tokyo 100-6008, Japan AbstractCredit creation in the housing market has been a key source of systemic financial risk, and therefore is at the center of the debate on macroprudential policies. The loan-to-value (LTV) ratio is a widely used macroprudential tool aimed at moderating mortgage loan creation, and its effectiveness needs to be estimated empirically. This paper is unique in that it analyzes the effect of LTV on mortgage lending, the direct channel of influence, using a large sample of banks in 10 Asian economies. It uses estimation techniques to deal with the large presence of outliers in the data. Robust-to-outlier estimations show that economies with LTV polices have expanded residential mortgage loans by 6.7% per year, while non-LTV economies have expanded by 14.6%, which suggests LTV policies have been effective.

show abstract

Section: Effectiveness Of Loan-to-value As a Macroprudential Tool: Exmentioning

confidence: 96%

Loan-to-Value Policy as a Macroprudential Tool: The Case of Residential Mortgage Loans in Asia

2015

View full text Add to dashboard Cite

show abstract

“…And, in the case of measures aimed at strengthening the banking system (such as dynamic provisioning), even when they fail to stop a boom, they argue that such tools may still help to cope with the bust. Vandenbussche, Vogel, and Detragiache (2012) investigate for countries in Central, Eastern and Southeastern Europe whether prudential policy measures had an impact on housing price inflation. Their evidence suggests that measures like capital ratio requirements and non-standard liquidity measures (marginal reserve requirements on foreign funding, marginal reserve requirements linked to credit growth) helped slow down housing price inflation.…”

Section: B Effectiveness Of Mapp: Existing Studiesmentioning

confidence: 99%

Macro-Prudential Policies to Mitigate Financial System Vulnerabilities

Claessens

Ghosh²,

Mihet³

2014

IMF Working Papers

113

101

View full text Add to dashboard Cite

Macro-prudential policies (MaPP), aimed at reducing systemic financial risk, have become part of the toolkit of policy makers in many emerging markets (EMs) and some advanced countries (ACs). We review the analytical foundations for such policies. We then use panel data regression to analyze changes in balance sheets of some 2800 banks in 48 countries over 2000-2010 to identify those MaPP most effective in reducing financial cycles. We find that debt-to-income caps, loan-to-value ratios, and limits on credit growth foreign currency lending are effective in reducing leverage, asset and non-core to core liabilities growth during boom times, while countercyclical buffers (such as reserve requirements, limits on profit distribution, and dynamic provisioning) help mitigate declines in bank leverage and asset growth in adverse times. We conclude that MaPP can be important elements of the policy toolkit aimed at overall systemic risk mitigation, especially for EMs exposed to international shocks, but need to be properly designed and calibrated. _________________________

show abstract

“…On the pricing channel, some studies on residential mortgage investigate or casually report the relationship between lending and property prices, and thereby examine the implications of imposing an LTV cap on the credit cycle, although they rely on aggregated data and/or they only check bivariate correlations (e.g., Gerlach and Peng 2005, Iacoviello 2005, Igan and Kang 2011, Barlevy and Fisher 2012, Vandenbussche et al 2013, Kuttner and Shim 2013.…”

mentioning

confidence: 99%

Lending Pro-Cyclicality and Macro-Prudential Policy: Evidence from Japanese LTV Ratios

et al. 2013

View full text Add to dashboard Cite

Using a unique micro dataset compiled from the real estate registry in Japan, we examine more than 400,000 loan-to-value (LTV) ratios for business loans to draw implications for the efficacy of caps on LTV ratios as a macro-prudential policy measure. We find that the LTV ratio exhibits counter-cyclicality through the business cycle. We also find that borrowers obtaining high-LTV loans performed no worse ex-post than those with lower LTV loans. Our findings imply that a fixed cap on LTV ratios might not only be ineffective in curbing loan volume in boom periods but also inhibit well-performing firms from borrowing.

show abstract

Macroprudential Policies and Housing Prices: A New Database and Empirical Evidence for Central, Eastern, and Southeastern Europe

Cited by 176 publications

References 47 publications

Loan-to-Value Policy as a Macroprudential Tool: The Case of Residential Mortgage Loans in Asia

Loan-to-Value Policy as a Macroprudential Tool: The Case of Residential Mortgage Loans in Asia

Macro-Prudential Policies to Mitigate Financial System Vulnerabilities

Lending Pro-Cyclicality and Macro-Prudential Policy: Evidence from Japanese LTV Ratios

Contact Info

Product

Resources

About