Estimating the effects of macroprudential policy shocks: A Qual VAR approach

Peter Tillmann

Economics Letters, 2015, vol. 135, issue C, 1-4

Abstract: This paper proposes a Qual VAR, i.e. a VAR augmented by qualitative variables, to estimate the effects of lowering maximum loan-to-value (LTV) ratios, a key macroprudential policy tool. We use Korea as a case study, where LTV ratios have been used frequently as a policy instrument. The Qual VAR has several advantages over competing methods. We conclude that a macroprudential tightening is effective in dampening credit growth and reducing the appreciation of house prices.

Keywords: Macroprudential policy; Qual VAR; LTV; House prices (search for similar items in EconPapers)
JEL-codes: E32 E44 E52 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:135:y:2015:i:c:p:1-4

DOI: 10.1016/j.econlet.2015.07.021

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