Journalartikel

Jahr der Veröffentlichung: 2015

Seiten: 1-4

Zeitschrift: Economics Letters

Bandnummer: 135

DOI Link: https://doi.org/10.1016/j.econlet.2015.07.021

Verlag: Elsevier

Abstract: 

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.

Harvard-Zitierstil: Tillmann, P. (2015) Estimating the effects of macroprudential policy shocks: A Qual VAR approach, Economics Letters, 135, pp. 1-4. https://doi.org/10.1016/j.econlet.2015.07.021

APA-Zitierstil: Tillmann, P. (2015). Estimating the effects of macroprudential policy shocks: A Qual VAR approach. Economics Letters. 135, 1-4. https://doi.org/10.1016/j.econlet.2015.07.021