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Can non-interest rate policies stabilise housing markets? Evidence from a panel of 57 economies

01 Dec 2013-Research Papers in Economics (Bank for International Settlements)-
TL;DR: In this article, the authors investigated the effectiveness of nine non-interest rate policy tools, including macro-prudential measures, in stabilising house prices and housing credit, and found that only the DSTI ratio limit has a significant effect on housing credit growth when they use mean group and panel event study methods.
Abstract: Using data from 57 countries spanning more than three decades, this paper investigates the effectiveness of nine non-interest rate policy tools, including macroprudential measures, in stabilising house prices and housing credit. In conventional panel regressions, housing credit growth is significantly affected by changes in the maximum debt-service-to-income (DSTI) ratio, the maximum loan-to-value ratio, limits on exposure to the housing sector and housing-related taxes. But only the DSTI ratio limit has a significant effect on housing credit growth when we use mean group and panel event study methods. Among the policies considered, a change in housing-related taxes is the only policy tool with a discernible impact on house price appreciation.
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TL;DR: Using a recent IMF survey and expanding on previous studies, the authors document the use of macro-prudential policies for 119 countries over the 2000-13 period, covering many instruments.
Abstract: Using a recent IMF survey and expanding on previous studies, we document the use of macroprudential policies for 119 countries over the 2000-13 period, covering many instruments. Emerging economies use macroprudential policies most frequently, especially foreign exchange related ones, while advanced countries use borrower-based policies more. Usage is generally associated with lower growth in credit, notably in household credit. Effects are less in financially more developed and open economies, however, and usage comes with greater cross-border borrowing, suggesting some avoidance. And while macroprudential policies can help manage financial cycles, they work less well in busts.

559 citations


Cites methods or result from "Can non-interest rate policies stab..."

  • ...We also cross-checked GMPI-responses with those in other surveys (e.g., Kuttner and Shim, 2013; Crowe et al., 2011) as well as our own web-based and other searches, all to further ensure a high quality dataset....

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  • ...In addition, we cross-checked responses n this database with other surveys (e.g., Kuttner and Shim, 2013 nd Crowe et al., 2011) and material published by country authorties to further ensure a high quality dataset....

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Journal ArticleDOI
TL;DR: In this article, the authors construct an index of macro-prudential policies in 57 advanced and emerging economies covering the period from 2000:Q1 to 2013:Q4, with tightenings and easings recorded separately.

274 citations

Journal ArticleDOI
TL;DR: Macro-prudential policies, such as caps on loan to value ratios, limits on credit growth and other balance-sheet restrictions, countercyclical capital and reserve requirements and surcharges, and Pigouvian levies, have become part of the policy paradigm in emerging markets and developed countries alike as discussed by the authors.

229 citations

Posted Content
TL;DR: In this article, a comparative assessment of the effectiveness of macro-prudential policies in 12 Asia-pacific economies, using comprehensive databases of domestic macro-priential policies and capital flow management (CFM) policies is provided.
Abstract: This paper provides a comparative assessment of the effectiveness of macroprudential policies in 12 Asia-Pacific economies, using comprehensive databases of domestic macroprudential policies and capital flow management (CFM) policies. We find that banking sector CFM polices and bond market CFM policies are effective in slowing down banking inflows and bond inflows, respectively. We also find some evidence of spillover effects of these policies. Finally, regarding the interaction of monetary policy and macroprudential policies, our empirical findings suggest that macroprudential policies are more successful when they complement monetary policy by reinforcing monetary tightening, than when they act in opposite directions.

168 citations

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TL;DR: In this paper, the authors collected detailed information on these policy measures in a comprehensive database covering 16 countries at a quarterly frequency and used this database to investigate whether the policy measures had an impact on housing price inflation.
Abstract: Several countries in Central, Eastern and Southeastern Europe used a rich set of prudential instruments in response to last decade’s credit and housing boom and bust cycles. We collect detailed information on these policy measures in a comprehensive database covering 16 countries at a quarterly frequency. We use this database to investigate whether the policy measures had an impact on housing price inflation. Our evidence suggests that some—but not all—measures did have an impact. These measures were changes in the minimum CAR and non-standard liquidity measures (marginal reserve requirements on foreign funding, marginal reserve requirements linked to credit growth).

158 citations

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TL;DR: In this article, event study methods are described including some of the potential complications of the approach, and an example is included to illustrate the approach and to illustrate how the impact of an economic event can be measured by examining security prices surrounding the event.
Abstract: The event study is an important research tool in economics and finance. The goal of an event study is to measure the effects of an economic event on the value of firms. Event study methods exploit the fact that, given rationality in the marketplace, the effects of an event will be reflected immediately in security prices. Thus the impact can be measured by examining security prices surrounding the event. In this paper event study methods are described including some of the potential complications. An example is included to illustrate the approach.

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Journal ArticleDOI
TL;DR: In this paper, the authors proposed a GLS matrix weighted estimator for a panel data set, which uses simple weighted average rather than a matrix-weighted average, and showed that this estimator is more efficient than using a simple matrix weighted average.
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