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

Author/Editor: Jerome Vandenbussche ; Ursula Vogel ; Enrica Detragiache
Publication Date: December 27, 2012
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
Summary: 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).
Series: Working Paper No. 12/303
Subject(s): Macroprudential Policy | Eastern Europe | Housing prices | Business cycles | Cross country analysis | Economic models | Databases

Publication Date: December 27, 2012
ISBN/ISSN: 9781475550139/1018-5941 Format: Paper
Stock No: WPIEA2012303 Pages: 39
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