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Effects of LTV announcements in EU economies

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  • Dimitris Mokas
  • Massimo Giuliodori

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.

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  • Dimitris Mokas & Massimo Giuliodori, 2021. "Effects of LTV announcements in EU economies," Working Papers 704, DNB.
    • Handle: RePEc:dnb:dnbwpp:704
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    More about this item

    Keywords

    Macroprudential Policy; Loan-to-value Ratios; Cost of Credit; Local Projections;
    All these keywords.

    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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