Macroprudential Policies and Housing Price: A New Database and Empirical Evidence for Central, Eastern, and Southeastern Europe
IMF Working Papers, December 27, 2012
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- Macroprudential Policies and Housing Price: A New Database and Empirical Evidence for Central, Eastern, and Southeastern Europe
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Bibliographic details
- Authors: Jerome Vandenbussche, Ursula Vogel, Enrica Detragiache
- Published: December 27, 2012
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781475550139.001
Overview and scope
- Authors: Jerome Vandenbussche, Ursula Vogel, Enrica Detragiache
- Date: December 27, 2012
- Type: IMF Working Paper No. 2012/303
- Pages: 39
- Volume: 2012
- Issue: 303
- DOI: https://doi.org/10.5089/9781475550139.001
- ISBN: 9781475550139
- ISSN: 1018-5941
Data and methodology
- Comprehensive database covering 16 countries at a quarterly frequency.
- Database documents detailed information on prudential policy measures used in response to credit and housing boom and bust cycles in Central, Eastern and Southeastern Europe.
- Empirical strategy: use the database to investigate whether policy measures had an impact on housing price inflation.
Key findings
- Some—but not all—macroprudential measures had an impact on housing price inflation.
- Specific measures found to have an impact:
- Changes in the minimum CAR (capital adequacy ratio).
- Non-standard liquidity measures:
- Marginal reserve requirements on foreign funding.
- Marginal reserve requirements linked to credit growth.
Policy-relevant implications (from the paper)
- A rich set of prudential instruments were actively used by several countries in Central, Eastern and Southeastern Europe during the last decade’s credit and housing cycles.
- Targeted adjustments to minimum CAR and to marginal reserve requirements (both on foreign funding and linked to credit growth) are associated with measurable effects on housing price inflation, while other measures in the toolkit did not show a statistically detectable impact in the study.
Subjects and keywords
- Subjects: Capital adequacy requirements, Credit, Currencies, Financial regulation and supervision, Housing prices, Monetary policy, Money, Prices, Reserve requirements
- Keywords: Baltics, capital adequacy ratio, Capital adequacy requirements, Central Eastern and Southeastern Europe, Credit, credit growth, Currencies, error correction term, foreign currency, forex mortgage, Global, housing price, Housing prices, liquidity ratio, Macroprudential policies, price index, Reserve requirements, WP
Macroprudential Policies and Housing Price: A New Database and Empirical Evidence for Central, Eastern, and Southeastern Europe, Jerome Vandenbussche; Ursula Vogel; Enrica Detragiache, IMF Working Papers 2012, 303 (2012).
Content in this bundle
- 1. Summary Statistics