发表状态 | 已发表Published |
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
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ISSN/eISSN | 0377-7332 |
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 |
DOI | 10.1007/s00181-019-01765-7 |
URL | 查看来源 |
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 | |
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 |
推荐引用方式 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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