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

By Jerome Vandenbussche, Ursula Vogel, Enrica Detragiache

December 27, 2012

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Format: Chicago

Jerome Vandenbussche, Ursula Vogel, and Enrica Detragiache. Macroprudential Policies and Housing Price: A New Database and Empirical Evidence for Central, Eastern, and Southeastern Europe, (USA: International Monetary Fund, 2012) accessed November 21, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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).

Subject: 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

Publication Details

Pages:

39
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2012/303
Stock No:

WPIEA2012303
ISBN:

9781475550139
ISSN:

1018-5941

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