Can macroprudential policies curb house price booms? International evidence
|Autor:||Mgr. Ondřej Šváb|
|Rok:||2021 - letní|
|Vedoucí:|| prof. Roman Horváth Ph.D.
|Typ práce:|| Diplomová
Finance, finanční trhy a bankovnictví
|Abstrakt:||This thesis examines the effectiveness of macroprudential policies on reducing
housing price growth in the international database of 56 countries with the use
of GMM and fixed effects between 2000 and 2017. The macroprudential index is
added to the dynamic panel data model where the housing price index is regressed
on housing price determinants as the economic growth or unemployment rate.
The analysis is also conducted on the sample of countries with a higher market
share of owners with a mortgage as there is a higher opportunity to control
the housing market through the credit channel. Nevertheless, results show that
we do not have enough evidence to state that macroprudential policies curb
house price booms. Contrarily, the effect seems to work in the opposite direction
which is probably caused by a reverse causality between the growth of real estate
prices and the implementation of macroprudential tools. The debt-to-income
restriction is the only tool that decreases housing price growth according to
the fixed effects model. Detailed counterfactual analysis of the Czech market
proposes only a slight impact of the loan-to-value measure on the apartment
price development according to one out of four predictions.