Macroprudential Policies and Housing Prices-A New Database and Empirical Evidence for Central, Eastern, and Southeastern Europe

By J. Vandenbussche, U. Vogel, E. Detragiache. Social Science Research Network, 2012

242 citations recorded by the source corpus.

Several countries in Central, Eastern, and Southeastern Europe used a rich set of prudential instruments during the recent credit and housing boom and bust cycles. We construct a comprehensive database of these policy measures covering 16 countries at a quarterly frequency. We use this database to investigate whether the policy measures had an impact on housing price inflation. The measures that appeared to be effective were capital measures (minimum capital adequacy ratio, maximum ratio of lending to households to share capital) and nonstandard liquidity measures (marginal reserve requirements (MRRs) on foreign funding, MRRs linked to credit growth).

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/859d86716e9a6e0aa7263fde7bd2c0d40b0a39c8

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Citations in the corpus

Cross-Border Prudential Policy Spillovers: How Much? How Important? Evidence from the International Banking Research Network (2016, background): “Examples include Bruno and Shin (2014), International Monetary Fund (2011), Jiménez et al. (2012), and Vandenbussche, Vogel, and Detragiache (2015).”
What do we know about the effects of macroprudential policy (2018, unknown): “Vandenbussche et al. (2012) collected information on macroprudential policy measures related to house prices in a database for 16 countries in Central, Eastern, and South-Eastern Europe at a quarterly frequency.”
Comparative assessment of macroprudential policies (2015, background): “Vandenbussche et al (2012) also construct a data set on various types of macroprudential measures taken by central and eastern European countries.”
Can non-interest rate policies stabilize housing markets? Evidence from a panel of 57 economies (2016, background): “More recent work on the CEE economies by Vandenbussche et al. (2012) found that certain types of macroprudential policies, including capital adequacy ratios and non-standard liquidity measures, influenced house price inflation.”
Digging Deeper--Evidence on the Effects of Macroprudential Policies from a New Database (2019, methodology): “14 Cerutti et al. (2017b) The GMPI and national sources 2000Q1- 2014Q4 64 9 Q Yes -”
The costs of macroprudential policy (2018, methodology): “By definition, in such a research design a decrease in the maximum LTV ratio by 10 4One exception is Vandenbussche et al. (2015). They quantify relative strength of different types of policy action by using conversion coefficients on changes in the regulatory capital ratio, the reserve requirement r”
How Effective are Macroprudential Policies? An Empirical Investigation (2017, background): “Case studies from emerging Europe ( Vandenbussche et al., 2012 ) and Asia ( Craig and Hua, 2011 ) show that macroprudential tools, especially housing measures, limited house price growth in those regions.”