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Macroprudential Policies and Housing Price: A New Database and Empirical Evidence for Central, Eastern, and Southeastern Europe
Author:
Mr. Jerome Vandenbussche
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Ms. Ursula Vogel null

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Ms. Enrica Detragiache
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Series:
IMF Working Papers
Volume/Issue:
Volume 2012: Issue 303
Language:
English
Publication Date:
27 Dec 2012
DOI:
https://doi.org/10.5089/9781475550139.001
ISBN:
9781475550139
ISSN:
1018-5941
Pages:
39
Keywords:
WP; housing price; capital adequacy ratio; foreign currency; liquidity ratio; credit growth; error correction term; Macroprudential policies; Central Eastern and Southeastern Europe; Housing prices; forex mortgage; price index; Reserve requirements; Credit; Capital adequacy requirements; Currencies; Baltics; Global
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IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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).
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund