LTV Ratio Regulations and House Prices in a Small Open Economy with Heterogeneous Households
1
조회
0
다운로드
1
인용
0
참고문헌
키워드
초록
Macro-prudential regulations, such as loan-to-value (LTV) ratio ceiling, are implemented in several economies to stabilize the financial market and macro-economy, in addition to conventional stabilization policies. This study constructs a small open economy model with heterogeneous households and house price fluctuations and examines the effects of LTV ratio regulation. Results of the model show that tightening the LTV ratio ceiling has considerable contractionary effects in a small open economy, but the effects are much smaller in a closed economy due to the general equilibrium effects of endogenous interest adjustment.
Abstract
Macro-prudential regulations, such as loan-to-value (LTV) ratio ceiling, are implemented in several economies to stabilize the financial market and macro-economy, in addition to conventional stabilization policies. This study constructs a small open economy model with heterogeneous households and house price fluctuations and examines the effects of LTV ratio regulation. Results of the model show that tightening the LTV ratio ceiling has considerable contractionary effects in a small open economy, but the effects are much smaller in a closed economy due to the general equilibrium effects of endogenous interest adjustment.
참고문헌 (18)
- Correia, I., "Business Cycles in a Small Open Economy", European Economic Review, 39(6), pp.1089~1113 (1995)
- Guerrieri, L., "Collateral Constraint and Macroeconomic Asymmetries", Journal of Monetary Economics, 90, pp.28~49 (2017)
- Guerrieri, V., "Credit Crises, Precautionary Savings, and the Liquidity Trap", The Quarterly Journal of Economics, 132(3), pp.1427~1467 (2017)
- Hintermaier, T., "The Method of Endogenous Gridpoints with Occasionally Binding Constraint among Endogenous Variables", Journal of Economic Dynamics and Control, 34(10), pp.2074~2088 (2010)
- Huggett, M., "The Risk-free Rate in Heterogeneous-agent Incomplete-insurance Economies", Journal of Economic Dynamics and Control, 17(5-6), pp.953~969 (1993)
- Iacoviello, M., "House Prices, Borrowing Constraint and Monetary Policy in the Business Cycles", American Economic Review, 95(3), pp.739~764 (2005)
- Iacoviello, M., "Housing Market Spillovers: Evidence from an Estimated DSGE Model", American Economic Journal: Macroeconomics, 2(2), pp.125~164 (2010)
- Do Loan-to-Value and Debt-to-Income Limits Work?, "Igan, D.", ~, pp.Evidence from Korea. IMF Working Paper 297 (2011)
- LTV and DTI Limits-Going Granular, "Jacome L. I.", ~, pp.IMF Working Paper 154 (2015)
- 정용승, "Macroprudential and Monetary Policies: Implications for House Prices and Household Debt", Seoul Journal of Economics, 28(2), pp.143~169 (2015), 경제연구소[DOI]
- Justiniano, A., "Household Leveraging and Deleveraging", Review of Economic Dynamics, 18(1), pp.3~20 (2015)
- Kaplan, G., "Monetary Policy According to HANK", American Economic Review, 108(3), pp.697~743 (2018)
- 김선빈, "조세·재정정책이 노동시장에 미치는 영향: 동태적 일반균형분석", KDI Journal of Economic Policy, 30(2), pp.185~223 (2008), 한국개발연구원[DOI]
- Mendoza, E. G., "Real Business Cycles in a Small Open Economy", American Economic Review, 81(4), pp.797~818 (1991)
- Mian, A., "The Great Recession: Lessons from Microeconomic Data", American Economic Review, 100(2), pp.51~56 (2010)
- Mian, A., "Household Debt and Business Cycles Worldwide", The Quarterly Journal of Economics, 132(4), pp.1755~1817 (2017)
- Neumeyer, P. A., "Business Cycles in Emerging Economies: the Role of Interest Rates", Journal of Monetary Economics, 52(2), pp.345~380 (2005)
- Tauchen, G., "Finite State Markov-chain Approximations to Univariate and Vector Autoregressions", Economic Letters, 20(2), pp.177~181 (1986)