## figure2-12

## Source details

**Canonical URL:** [figure2-12](https://www.imf.org/-/media/files/publications/gfsr/2019/april/english/ch2data/charts/figure2-12.pdf)

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### Key findings
- Macroprudential policy measures have a statistically significant level-shifting effect on house prices at risk (reducing downside risk) in panels 1 and 2.
- The macroprudential policy variable used is based on a three-year rolling window of debt-service-to-income and loan-to-value measures, and is purged for credit to GDP to remove potential endogeneity.
- For advanced economies (panels 3 and 4), monetary policy, as captured by predicted residuals of a feedback rule (see Online Annex 2.1), has a significant effect—initially increasing downside risks, but less so over time.
- Total capital inflows (as a percentage of GDP) at the 95th percentile tend to increase upside risks to house prices, and at the 5th percentile, they tend to increase downside risks to house prices (panel 5).
- Proxies for changes in capital flow management measures appear to reduce downside risks to house prices over some intermediate horizons (panel 6).
- Dashed lines in panels 1–4 denote 95 percent confidence bounds for statistical significance and dots in panels 5 and 6 show statistical significance at the 10 percent level or higher.

### Details by panel
- Panel 1. Advanced Economies: Macroprudential Policy
  - Tightening of macroprudential policy seems to improve the house prices at risk measure.
  - Dashed lines denote 95 percent confidence bounds for statistical significance.
- Panel 2. Emerging Market Economies: Macroprudential Policy
  - Tightening of macroprudential policy seems to improve the house prices at risk measure.
  - Dashed lines denote 95 percent confidence bounds for statistical significance.
- Panel 3. Advanced Economies: Monetary Policy
  - Monetary policy shocks have a significant effect (initially increasing downside risks, but less so over time).
  - Dashed lines denote 95 percent confidence bounds for statistical significance.
- Panel 4. Emerging Market Economies: Monetary Policy
  - Monetary policy shocks have no significant impact on house prices at risk over longer horizons, nor in emerging markets.
  - Dashed lines denote 95 percent confidence bounds for statistical significance.
- Panel 5. Advanced Economies: Capital Inflows
  - Total capital inflows (as a percentage of GDP) at the 95th percentile tend to increase upside risks to house prices.
  - At the 5th percentile, capital inflows tend to increase downside risks to house prices.
  - Dots show statistical significance at the 10 percent level or higher.
- Panel 6. Advanced Economies: Capital Inflow and Real Estate Restrictions at the 5th Percentile
  - Proxies for changes in capital flow management measures appear to reduce downside risks to house prices over some intermediate horizons.
  - Dots show statistical significance at the 10 percent level or higher.

### Notes and interpretation
- The macroprudential policy variable is constructed from debt-service-to-income and loan-to-value measures using a three-year rolling window and is purged for credit to GDP to remove potential endogeneity.
- Monetary policy effects are derived from predicted residuals of a feedback rule (see Online Annex 2.1).
- Confidence and significance indicators:
  - Dashed lines in panels 1–4 denote 95 percent confidence bounds.
  - Dots in panels 5 and 6 indicate statistical significance at the 10 percent level or higher.
- Summary caption: "Figure 2.12. Effects of Macroprudential and Monetary Policy and Capital Flows on House Prices at Risk"

*Source: IMF staff calculations.*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2019/april/english/ch2data/charts/figure2-12.pdf_