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

Jerome Vandenbussche, Ursula Vogel and Enrica Detragiache ()

No 2012/303, IMF Working Papers from International Monetary Fund

Abstract: 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).

Keywords: WP; housing price; capital adequacy ratio; foreign currency; liquidity ratio; credit growth; error correction term; Macroprudential policies; Central Eastern and Southeastern Europe; Housing prices; forex mortgage; price index; Reserve requirements; Credit; Capital adequacy requirements; Currencies; Baltics; Global (search for similar items in EconPapers)
Pages: 39
Date: 2012-12-27
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Citations: View citations in EconPapers (45)

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Related works:
Journal Article: Macroprudential Policies and Housing Prices: A New Database and Empirical Evidence for Central, Eastern, and Southeastern Europe (2015)
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