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题名The effects of macroprudential policy on Hong Kong’s housing market: a multivariate ordered probit-augmented vector autoregressive approach
作者
发表日期2021-02-01
发表期刊Empirical Economics
ISSN/eISSN0377-7332
卷号60期号:2页码:633-660
摘要

This study evaluates the effects of macroprudential policy on Hong Kong’s housing market using a multivariate ordered probit-augmented vector autoregressive model (MOP-VAR). The proposed MOP-VAR extends the conventional dummy policy variable approach by allowing explicit measurement of time-varying policy intensities that underlie policy rules, and thus facilitates analyses of bilateral relationship between house prices and multiple policy instruments when endogeneity exits among the instruments’ intensities and prices. An impulse response analysis suggests that the dampening effect of macroprudential tightening is stronger and more instantaneous on transactions than on prices. The eventual outcome as indicated by conditional forecasts is dominated by a strong and prolonged own price response to house price shocks and other external developments that undermine the policy’s effectiveness. Moreover, over the long haul, a combination of a stamp duty and stress test tends to be more effective than restricting the loan-to-value ratio in triggering a trend reversal in house prices, despite the government’s preference for the latter. The out-of-sample probabilistic forecasts of policy changes are mostly consistent with the observable outcomes.

关键词Bayesian Hong Kong Housing market Macroprudential policy Multivariate ordered probit Vector autoregression
DOI10.1007/s00181-019-01765-7
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收录类别SSCI
语种英语English
WOS研究方向Business & Economics ; Mathematical Methods In Social Sciences
WOS类目Economics ; Social Sciences, Mathematical Methods
WOS记录号WOS:000619443500004
Scopus入藏号2-s2.0-85074013742
引用统计
被引频次:1[WOS]   [WOS记录]     [WOS相关记录]
文献类型期刊论文
条目标识符https://repository.uic.edu.cn/handle/39GCC9TT/8426
专题个人在本单位外知识产出
通讯作者Fung, Michael K.
作者单位
1.Financial Secretary's Office, Central Government Offices, Hong Kong SAR Government, Admiralty, Hong Kong, China
2.School of Accounting and Finance, Hong Kong Polytechnic University, Kowloon, Li Ka Shing Tower, Hung Hom, Hong Kong, China
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GB/T 7714
Chow, William W.,Fung, Michael K. The effects of macroprudential policy on Hong Kong’s housing market: a multivariate ordered probit-augmented vector autoregressive approach[J]. Empirical Economics, 2021, 60(2): 633-660.
APA Chow, William W., & Fung, Michael K. (2021). The effects of macroprudential policy on Hong Kong’s housing market: a multivariate ordered probit-augmented vector autoregressive approach. Empirical Economics, 60(2), 633-660.
MLA Chow, William W.,et al."The effects of macroprudential policy on Hong Kong’s housing market: a multivariate ordered probit-augmented vector autoregressive approach". Empirical Economics 60.2(2021): 633-660.
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