## boxfigure3-4-1

## Source details

**Canonical URL:** [boxfigure3-4-1](https://www.imf.org/-/media/files/publications/gfsr/2018/april/chapter-3/csv/boxfigure3-4-1.csv)

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### Dataset focus and scope
- Title: Figure 3.4.1. Macroprudential Tools Indirectly Reduce House Price Synchronicity
- Sample description:
  - Total number of demand-side events is 47
  - Estimated panel regressions use data for 41 countries spanning the period 1990:Q2–2016:Q4
  - Synchronicity is based on the quasi-correlation of house price gaps with the global cycle
  - A country is classified in the high-synchronicity group when its average syncronicity (over the sample period) with the global cycle is above the 50th percentile in the sample, and vice versa

### Methodology notes
- Panel 1 depicts the average year-over-year house price growth for high-synchronicity and low-synchronicity countries within a period of plus or minus five quarters around the implementation of demand-side macroprudential policies (MPPs). Demand-side MPPs include limits to debt-service-to-income and loan-to-value (LTV) ratios. t = 0 is identified as the first quarter in which demand-side MPPs were implementated within the plus-or-minus-five-quarter window.
- Panel 2 depicts estimated average effects of macroprudential tools on house price synchronicity with the global cycle (refers to through-the-cycle regressions). Solid bars show statistically significant standardized coefficients at the 10 percent confidence level.
- Regressions control for business cycle synchronicity, financial integration, and global financial conditions. All regressors are lagged one quarter.
- For more details about the macroprudential tools database and estimation details, see Annex 3.3 on the methodology for Box 3.4.

### Macroprudential tool groupings (as defined in dataset notes)
- Supply side (loans):
  - limits on credit growth
  - loan loss provisions
  - loan restrictions
  - limits on foreign currency loans
- Supply side (capital):
  - capital requirements
  - conservation buffers
  - the leverage ratio
  - the countercyclical capital buffer
- Supply side (general):
  - reserve requirements
  - liquidity requirements
  - limits on foreign exchange positions
- Demand-side:
  - limits to debt-service-to-income ratios
  - limits to loan-to-value (LTV) ratios
- All loans measures include demand side and supply side (loans)
- Fiscal-based measures include taxes such as ad valorem, seller’s and buyer’s stamp duty, or other taxes

### Key observed time-series values (Panel 1 excerpt: Average year-over-year house price growth around MPP implementation)
- Time (in quarters; MPP = 1 at time 0)
  - -5:
    - Low synchronicity countries (at or below 50th percentile): 1.805914
    - High synchronicity countries (above 50th percentile): 0.6927824
  - -4:
    - Low synchronicity countries (at or below 50th percentile): 0.332965
    - High synchronicity countries (above 50th percentile): 1.761305
  - -3:
    - Low synchronicity countries (at or below 50th percentile): 0.2297878
    - High synchronicity countries (above 50th percentile): 2.853588
  - -2:
    - Low synchronicity countries (at or below 50th percentile): 2.289073
    - High synchronicity countries (above 50th percentile): 4.230881

### Findings implied by the dataset
- Demand-side MPPs (limits to debt-service-to-income and LTV ratios) are the focus of the event study window and are associated with differing average house price growth paths for low- and high-synchronicity countries in the five-quarter window around implementation.
- Estimated panel regressions (through-the-cycle) assess the average effects of a broad set of macroprudential tools on house price synchronicity with the global cycle, with statistical significance assessed at the 10 percent confidence level for reported standardized coefficients.

*Source: IMF staff estimates.*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2018/april/chapter-3/csv/boxfigure3-4-1.csv_