A DSGE-Based Assessment of Nonlinear Loan-to-Value Policies: Evidence from Hong Kong
In the wake of the 2008-2009 global financial crisis, the macroeconomic discussion has returned to the topic of proactive macroprudential policies. One proactive approach, the use of loan-to-value (LTV) policies to curb booming property markets, has long been used by Hong Kong’s monetary authorities to actively manage and mitigate the potential fallout from housing price bubbles. Here, we analyse the merits of this countercyclical macroprudential policy in a New Keynesian DSGE model. We conclude that nonlinear LTV policy rules implemented in reaction to episodes of high property price inflation can limit transmission of housing price cycle effects to the real economy.
|Date of creation:||02 May 2012|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: + 358 10 831 2268
Fax: + 358 10 831 2294
Web page: http://www.suomenpankki.fi/bofit_en/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Benito, Andrew & Mumtaz, Haroon, 2009. "Excess Sensitivity, Liquidity Constraints, And The Collateral Role Of Housing," Macroeconomic Dynamics, Cambridge University Press, vol. 13(03), pages 305-326, June.
- Angelini, Paolo & Neri, Stefano & Panetta, Fabio, 2012.
"Monetary and macroprudential policies,"
Working Paper Series
1449, European Central Bank.
- Lambertini, Luisa & Mendicino, Caterina & Teresa Punzi, Maria, 2013.
"Leaning against boom–bust cycles in credit and housing prices,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 37(8), pages 1500-1522.
- Luisa Lambertini & Caterina Mendicino & Maria Teresa Punzi, 2011. "Leaning Against Boom-Bust Cycles in Credit and Housing Prices," Working Papers 201101, Center for Fiscal Policy, Swiss Federal Institute of Technology Lausanne, revised Mar 2011.
- Luisa Lambertini & Caterina Mendicino & Maria Teresa Punzi, 2011. "Leaning Against Boom-Bust Cycles in Credit and Housing Prices," Working Papers CELEG 1104, Dipartimento di Economia e Finanza, LUISS Guido Carli.
- Luisa Lambertini & Caterina Mendicino & Maria Tereza Punzi, 2011. "Leaning Against Boom-Bust Cycles in Credit and Housing Prices," Working Papers w201108, Banco de Portugal, Economics and Research Department.
- Tom Holden, 2010.
"Products, patents and productivity persistence: A DSGE model of endogenous growth,"
Economics Series Working Papers
512, University of Oxford, Department of Economics.
- Holden, Tom, 2011. "Products, patents and productivity persistence: A DSGE model of endogenous growth," Dynare Working Papers 4, CEPREMAP.
- Giovanni Dell'Ariccia & Pau Rabanal & Christopher W. Crowe & Deniz Igan, 2011. "Policies for Macrofinancial Stability: Options to Deal with Real Estate Booms," IMF Staff Discussion Notes 11/02, International Monetary Fund.
- Deniz Igan & Heedon Kang, 2011. "Do Loan-To-Value and Debt-To-Income Limits Work? Evidence From Korea," IMF Working Papers 11/297, International Monetary Fund.
- Darracq Pariès, Matthieu & Notarpietro, Alessandro, 2008. "Monetary policy and housing prices in an estimated DSGE for the US and the euro area," Working Paper Series 0972, European Central Bank.
- Olivier Jeanne & Anton Korinek, 2010.
"Managing Credit Booms and Busts: A Pigouvian Taxation Approach,"
Working Paper Series
WP10-12, Peterson Institute for International Economics.
- Jeanne, O. & Korinek, A., 2010. "Managing Credit Booms and Busts : A Pigouvian Taxation Approach," Discussion Paper 2010-108S, Tilburg University, Center for Economic Research.
- Jeanne, Olivier & Korinek, Anton, 2010. "Managing Credit Booms and Busts: A Pigouvian Taxation Approach," CEPR Discussion Papers 8015, C.E.P.R. Discussion Papers.
- Olivier Jeanne & Anton Korinek, 2010. "Managing Credit Booms and Busts: A Pigouvian Taxation Approach," NBER Working Papers 16377, National Bureau of Economic Research, Inc.
- Michael Funke & Michael Paetz, 2011.
"Housing Prices and the Business Cycle: An Empirical Application to Hong Kong,"
Quantitative Macroeconomics Working Papers
21112b, Hamburg University, Department of Economics.
- Funke, Michael & Paetz, Michael, 2013. "Housing prices and the business cycle: An empirical application to Hong Kong," Journal of Housing Economics, Elsevier, vol. 22(1), pages 62-76.
- Dan Andrews & Aida Caldera Sánchez & Åsa Johansson, 2011. "Housing Markets and Structural Policies in OECD Countries," OECD Economics Department Working Papers 836, OECD Publishing.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "This Time Is Different: Eight Centuries of Financial Folly," Economics Books, Princeton University Press, edition 1, volume 1, number 8973.
When requesting a correction, please mention this item's handle: RePEc:hhs:bofitp:2012_011. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Päivi Määttä)
If references are entirely missing, you can add them using this form.