Macroprudential Policies and Housing Price: A New Database and Empirical Evidence for Central, Eastern, and Southeastern Europe

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)., and seminar participants in the IMF's European Department and inter-departmental working group on macroprudential policies. They also wish to thank Residential Advisors (Warsaw) and the Bank of Albania for sharing their housing prices data. The database of prudential instruments in CESEE can be downloaded at www.imf.org at the same location as this working paper.