DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM -BASED ASSESSMENT OF NONLINEAR MACROPRUDENTIAL POLICIES: EVIDENCE FROM HONG KONG

摘要

In the wake of the 2008-2009 global financial crisis, the macroeconomic discussion has returned to the topic of proactive macroprudential policies. The use of loan-to-value (LTV) policies to curb booming property markets has long been used by Hong Kong's monetary authorities to actively manage the potential fallout from housing price bubbles. In 2013 the Hong Kong authorities supplemented the LTV policies with property transfer taxes. Here, we also analyse the merits of these tax-based macroprudential policies in the dynamic stochastic general equilibrium framework. Furthermore, we calibrate the impact of both countercyclical macroprudential policies employed in conjunction with forward guidance. We conclude that both policy approaches can limit the pace of housing price increases. As regards the comparison of LTV and tax-based measures, it turns out that property acquisition taxes are more effective.