An Estimated DSGE Model to Analyze Housing Market Policies in Hong Kong SAR
IMF Working Papers, April 13, 2018
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- An Estimated DSGE Model to Analyze Housing Market Policies in Hong Kong SAR
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Bibliographic details
- Authors: Pau Rabanal
- Published: April 13, 2018
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781484347577.001
Summary and key findings
- During the last decade, Hong Kong SAR experienced a large increase in house prices and credit, prompting several rounds of tightening macroprudential rules and increases in stamp duty taxes.
- The paper finds that, without these policies:
- House prices would have been 10.5 percent higher.
- The household credit-GDP ratio would have been 14 percent higher.
- The implemented measures have helped reduce house price appreciation and household leverage.
Model structure and extensions
- Baseline model: small open economy real business cycle (RBC) model.
- Extensions included:
- A housing sector.
- Financial frictions.
- Foreign demand for the domestic housing stock.
Data and estimation
- Estimation method: Bayesian methods.
- Sample period: data for Hong Kong SAR between 1996 and 2017.
Policy analysis and implications
- Evaluates effectiveness of:
- Tightened macroprudential rules (including LTV cap and LTV ratio considerations).
- Increased stamp duty taxes (transaction tax).
- Main implication: macroprudential and tax measures were effective in moderating house price growth and household leverage.
Content in this bundle
- An Estimated DSGE Model to Analyze Housing Market Policies in Hong Kong SAR, WP/18/90, April 2018