Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5058338 | Economics Letters | 2015 | 4 Pages |
Abstract
â¢A Qual VAR is used to estimate a macroprudential tightening.â¢Evidence for Korea.â¢A macroprudential shock reduces credit growth and house prices.
This paper proposes a Qual VAR, i.e. a VAR augmented by qualitative variables, to estimate the effects of lowering maximum loan-to-value (LTV) ratios, a key macroprudential policy tool. We use Korea as a case study, where LTV ratios have been used frequently as a policy instrument. The Qual VAR has several advantages over competing methods. We conclude that a macroprudential tightening is effective in dampening credit growth and reducing the appreciation of house prices.
Related Topics
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Authors
Peter Tillmann,