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Macroprudential Policies and Housing Prices: A New Database and Empirical Evidence for Central, Eastern, and Southeastern Europe
Author(s) -
VANDENBUSSCHE JÉRÔME,
VOGEL URSULA,
DETRAGIACHE ENRICA
Publication year - 2015
Publication title -
journal of money, credit and banking
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.763
H-Index - 108
eISSN - 1538-4616
pISSN - 0022-2879
DOI - 10.1111/jmcb.12206
Subject(s) - boom , economics , bust , inflation (cosmology) , market liquidity , capital (architecture) , monetary economics , reserve requirement , monetary policy , capital requirement , database , finance , central bank , macroeconomics , incentive , geography , physics , archaeology , environmental engineering , theoretical physics , computer science , microeconomics , engineering
Several countries in Central, Eastern, and Southeastern Europe used a rich set of prudential instruments during the recent credit and housing boom and bust cycles. We construct a comprehensive database of these policy measures covering 16 countries at a quarterly frequency. We use this database to investigate whether the policy measures had an impact on housing price inflation. The measures that appeared to be effective were capital measures (minimum capital adequacy ratio, maximum ratio of lending to households to share capital) and nonstandard liquidity measures (marginal reserve requirements (MRRs) on foreign funding, MRRs linked to credit growth).