 Effects of LTV announcements in EU economiesDimitris Mokas and Massimo Giuliodori Journal of International Money and Finance, 2023, vol. 133, issue C Abstract: Earlier empirical studies on the effects of macroprudential policies focus on implementation dates and, in most cases, ignore potential anticipation effects. In this paper, we collect monthly data on announcements of loan-to-value (LTV) ratio restrictions covering 18 EU economies during the period 2000–2019. We show that announcements of LTV tightening policies can have a sizeable negative impact on household credit, house prices, and household durable goods consumption. We find that the estimated contractionary effects on household credit are driven by announcements with delayed implementation, whereas the effects on house prices are driven by announcements with quick implementation. We also show that the above contractionary effects are stronger following announcements of binding actions and actions without speed limits, 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) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000396 DOI: 10.1016/j.jimonfin.2023.102838 Access Statistics for this article Journal of International Money and Finance is currently edited by J. R. Lothian More articles in Journal of International Money and Finance from Elsevier |
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