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Prepared by Ichiro Fukunaga and Manrique Saenz.
Pongsaparn et al. (2017) shows that the Bank of Thailand’s measures on LTV ratio have been effective in moderating housing credit growth. In the global context, a cross-country panel regression analysis of the effects of macroprudential measures on household credit growth across advanced and emerging market economies, including Thailand, is reported in the October 2017 GFSR Chapter 2, Box 2.5 (IMF, 2017).
The framework of Anand, Delloro, and Peiris (2014) is extended to incorporate housing sector and household debt, following Gerali et al. (2010). Details of the model will be explained in the forthcoming working paper.
The banking sector in the model encompasses all types of financial intermediaries (including Specialized Financial Institutions) and does not distinguish different mandates and business models among them.
“Impatient households” can also be interpreted as liquidity-constrained households in this model.
Using some alternative financial gaps, including a house price gap, does not change the results substantively.
Another possible combination of policy rules, namely a modified Taylor rule with a counter-cyclical LTV rule, is examined in Corbacho et al. (2018). Its outcomes fall in the middle of those of (ii) and (iii).
For illustrative purpose, we set some large values to the parameters of the policy responses to credit gaps in the counter-cyclical LTV rule and the modified Taylor rule.