Effects of LTV announcements in EU economies

Dimitris Mokas and Massimo Giuliodori

Working Papers from DNB

Abstract: Earlier studies on macroprudential policies focus on implementation dates and ignore potential anticipation effects. We collect monthly data on announcements of loan-to-value (LTV) ratio restrictions covering EU economies during 2000-2019. We show that announcements of LTV policies can have a sizeable impact on household credit, house prices and household durable goods consumption. New mortgage lending rates appear to increase following the announcement of an LTV ratio restriction. The estimated contractionary effects are driven mostly by binding actions and actions with non-discretionary components, suggesting that the design of macroprudential policies matters for their effectiveness.

Keywords: Macroprudential Policy; Loan-to-value Ratios; Cost of Credit; Local Projections (search for similar items in EconPapers)
JEL-codes: E58 G21 G28 (search for similar items in EconPapers)
Date: 2021-01
New Economics Papers: this item is included in nep-cba, nep-mac and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:dnb:dnbwpp:704

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