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

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 i...

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Published inJournal of money, credit and banking Vol. 47; no. S1; pp. 343 - 377
Main Authors VANDENBUSSCHE, JÉRÔME, VOGEL, URSULA, DETRAGIACHE, ENRICA
Format Journal Article
LanguageEnglish
Published Columbus Blackwell Publishing Ltd 01.03.2015
Wiley (Variant)
Ohio State University Press
Subjects
and Southeastern Europe
Business cycles
Capital
Central
Credit
Credit market
E44
E52
Eastern
Economic analysis
Economic theory
Europe
financial stability
G21
Home loans
Households
Housing prices
Inflation
Liquidity
macroprudential regulation
Monetary policy
Studies
South East Europe
Eastern Europe
Central Europe
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Summary: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).
Bibliography:ArticleID:JMCB12206
istex:68B75ACB5C17B1253BA4A80700C1BA59FAAD1B09
ark:/67375/WNG-KMCNSDBM-4
http://www.frankfurt‐school.de/content/en/research/publication/workingpapers.html?year=2014
The views expressed in this paper are those of the authors and do not necessarily represent the views of the IMF or its Executive Board or the Deutsche Bundesbank.
The authors benefited from comments by the editors, Bob DeYoung and Thorsten Beck, our discussant Stefan Gerlach, one anonymous referee, Piyabha Kongsamut, Jiaqian Chen, Deniz Igan, Heedon Kang, Christoph Klingen, Vance Martin, Camelia Minoiu, Jacek Osinski, seminar participants at the Bundesbank, ECB, IMF, 2013 Infiniti conference, 2013 IFABS conference, and 2013 Dallas Fed/JMCB/IMF conference. They also wish to thank Residential Advisors (Warsaw) and the Bank of Albania for sharing their housing prices data. Four online appendices and the database are published as Frankfurt School Working Paper No. 214 and can be downloaded from
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ISSN:0022-2879
1538-4616
DOI:10.1111/jmcb.12206