Macroprudential Policies and Housing Prices-A New Database and Empirical Evidence for Central, Eastern, and Southeastern Europe

37 Pages Posted: 1 Nov 2012

See all articles by Jerome Vandenbussche

Jerome Vandenbussche

International Monetary Fund (IMF)

Ursula Vogel

Deutsche Bundesbank; Frankfurt School of Finance & Management gemeinnützige GmbH

Enrica Detragiache

International Monetary Fund (IMF) - European Department

Date Written: December 2012

Abstract

Several countries in Central, Eastern and Southeastern Europe used a rich set of prudential instruments in response to last decade’s credit and housing boom and bust cycles. We collect detailed information on these policy measures in a comprehensive database covering 16 countries at a quarterly frequency. We use this database to investigate whether the policy measures had an impact on housing price inflation. Our evidence suggests that some—but not all—measures did have an impact. These measures were changes in the minimum CAR and non-standard liquidity measures (marginal reserve requirements on foreign funding, marginal reserve requirements linked to credit growth).

Keywords: Business cycles, Central Eastern and Southeastern Europe, Cross country analysis, Databases, Eastern Europe, Economic models, Housing prices, Housing prices., Macroprudential Policy, Macroprudential policies, bank capital, bank credit, bank exposures, bank for international settlement, bank of international settlements, bank subsidiary, banking, banking crisis, banking sector, banking sector stability, banking supervisors, banking system, banking systems, banking union, capital adequacy, capital adequacy ratio, capital base, capital requirement, central bank, foreign exchange, inflation, liquidity ratio, loan classification, local currency loans, marginal reserve requirement, marginal reserv

JEL Classification: E52, E44, G21

Suggested Citation

Vandenbussche, Jerome and Vogel, Ursula and Detragiache, Enrica, Macroprudential Policies and Housing Prices-A New Database and Empirical Evidence for Central, Eastern, and Southeastern Europe (December 2012). IMF Working Paper No. 12/303. Available at SSRN: https://ssrn.com/abstract=2169749

Jerome Vandenbussche (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

Ursula Vogel

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

Frankfurt School of Finance & Management gemeinnützige GmbH ( email )

Sonnemannstraße 9-11
Frankfurt am Main, 60314
Germany

Enrica Detragiache

International Monetary Fund (IMF) - European Department ( email )

700 19th Street NW
Washington, DC 20431
United States

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