The Effectiveness of Marco-prudential Policy Instruments——Research Based on Data of Mainland China, Hong Kong SAR and South Korea

Abstract

Abstract:

With macro-prudential policy studied more and more deeply, the effectiveness of marco-prudential policy instruments has at-tracted more and more attention. Most of the empirical literature indicates that macro-prudential instruments have been effective in curb-ing excessive credit and asset price growth. This paper builds an indicator to describe macro-prudential policy actions and builds dynamic panel data models based on the data of mainland China, Hong Kong SAR and South Korea. Result of the models proves that the tighte-ning macro-prudential instruments have a restraining effect on credit growth and house price growth. This paper also analyzes the effec-tiveness of different types and different directions of macro-prudential policy instruments. The reserve requirement ratio, LTV and DTI are the most effective instruments on credit growth, and effect of tightening instruments is more significant on credit growth. The LTV and DTI are the most effective instruments on house price growth, and effect of expanding instruments is more significant on house price growth.

Key words: marco-prudential policy Instruments, credit growth, house price growth

Ye Huan. The Effectiveness of Marco-prudential Policy Instruments——Research Based on Data of Mainland China, Hong Kong SAR and South Korea[J]. , 2018, 30(2): 42-51.

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